Replication data for: CoVaR
Principal Investigator(s): View help for Principal Investigator(s) Tobias Adrian; Markus K. Brunnermeier
Version: View help for Version V1
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| data | 08/02/2019 09:13:PM | ||
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text/plain | 14.6 KB | 08/02/2019 05:13:PM |
Project Citation:
Project Description
Summary:
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CoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict CoVaR. We also provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk, and show that the 2006:IV value of this measure would have predicted more than one-third of realized CoVaR during the 2007-2009 financial crisis.
Scope of Project
JEL Classification:
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G12 Asset Pricing • Trading Volume • Bond Interest Rates
G17 Financial Forecasting and Simulation
G20 General
E32 Business Fluctuations • Cycles
G01 Financial Crises
C58 Financial Econometrics
G32 Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill
G12 Asset Pricing • Trading Volume • Bond Interest Rates
G17 Financial Forecasting and Simulation
G20 General
E32 Business Fluctuations • Cycles
G01 Financial Crises
C58 Financial Econometrics
G32 Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill
Related Publications
Published Versions
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