45 Pages Posted: 19 Sep 2008 Last revised: 17 Oct 2013

See all articles by Tobias Adrian

Tobias Adrian

International Monetary Fund

Markus K. Brunnermeier

Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: September 2011


We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being in distress. We define an institution’s contribution to systemic risk as the difference between CoVaR conditional on the institution being in distress and CoVaR in the median state of the institution. From our estimates of CoVaR for the universe of publicly traded financial institutions, we quantify the extent to which characteristics such as leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out-of-sample forecasts of a countercyclical, forwardlooking measure of systemic risk and show that the 2006:Q4 value of this measure would have predicted more than half of realized covariances during the financial crisis.

Keywords: value at risk, systemic risk, risk spillovers, financial architecture

JEL Classification: G10, G18, G20

Suggested Citation

Adrian, Tobias and Brunnermeier, Markus Konrad, CoVaR (September 2011). FRB of New York Staff Report No. 348, Available at SSRN: or

Tobias Adrian (Contact Author)

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States


Markus Konrad Brunnermeier

Princeton University - Department of Economics ( email )

Bendheim Center for Finance
Princeton, NJ
United States
609-258-4050 (Phone)
609-258-0771 (Fax)

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