A Critical Note on Delta-CoVaR
10 Pages Posted: 2 Feb 2013
Date Written: January 29, 2013
In this note (a) it is demonestrated that Delta-CoVaR suggest by Adrian and Brunnermeier as a measure of systemic risk may produce a wrong ranking of systemic risk and (b) intuitions for this results is provided. In the example detailed below it emerges that the statistic Delta-CoVaR registers lower systemic risk where a reasonable statistic of systemic risk should detect more systemic risk.
Keywords: Systemic Risk, Value at Risk, Copula, CoVaR
JEL Classification: G10, G18, G20, C32, C58
Suggested Citation: Suggested Citation