Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Conditional Quantile-Located VaR
Massimiliano Caporin, Giovanni Bonaccolto, Sandra Paterlini

Last modified: 2018-05-10


The Conditional Value-at-Risk (CoVaR) has been proposed by Adrian and Brunnermeier (2015) to measurethe impact of a company in distress on the Value-at-Risk (VaR) of the financialsystem. We propose here an extension of the CoVaR, that is, the ConditionalQuantile-Located VaR (QL-CoVaR), that better deals with tail events, whenspillover effects impact the stability of the entire system. In fact, the QL-CoVaRis estimated by assuming that the financial system and the individual companiessimultaneously lie in the left tails of their distributions.


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