We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

where the time variation of the price of risk is a function of the level of the VIX. …

risk is a nonlinear function of market volatility …

' occasionally binding value-at-risk constraints give rise to variation in the pricing of risk that generates time-varying risk in … times of easy financial conditions, growth tends to be high, and risk tends to be low. Monetary policy affects output … directly through the investment-savings curve, and indirectly through the pricing of risk that relates to the tightness of the …