A Critical Note on Delta-CoVaR

10 Pages Posted: 2 Feb 2013

Date Written: January 29, 2013

Abstract

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

Jaeger-Ambrozewicz, Manfred, A Critical Note on Delta-CoVaR (January 29, 2013). Available at SSRN: https://ssrn.com/abstract=2210045 or http://dx.doi.org/10.2139/ssrn.2210045

Manfred Jaeger-Ambrozewicz (Contact Author)

Hochschule für Technik und Wirtschaft Berlin ( email )

Treskowallee 8
Berlin, 10313
Germany

HOME PAGE: http://www.mathfred.de

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