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https://hdl.handle.net/10419/60863
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Adrian, Tobias | en |
dc.contributor.author | Brunnermeier, Markus K. | en |
dc.date.accessioned | 2010-04-28 | - |
dc.date.accessioned | 2012-08-17T14:35:47Z | - |
dc.date.available | 2012-08-17T14:35:47Z | - |
dc.date.issued | 2008 | - |
dc.identifier.uri | http://hdl.handle.net/10419/60863 | - |
dc.description.abstract | We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR and the financial system's VaR. From our estimates of CoVaR for characteristic-sorted portfolios of publicly traded financial institutions, we quantify the extent to which characteristics such as leverage, size, and maturity mismatch predict systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast systemic risk contribution. | en |
dc.language.iso | eng | en |
dc.publisher | |aFederal Reserve Bank of New York |cNew York, NY | en |
dc.relation.ispartofseries | |aStaff Report |x348 | en |
dc.subject.jel | G10 | en |
dc.subject.jel | G18 | en |
dc.subject.jel | G20 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Value at risk | en |
dc.subject.keyword | systemic risk | en |
dc.subject.keyword | adverse feedback loop | en |
dc.subject.keyword | endogenous risk | en |
dc.subject.keyword | risk spillovers | en |
dc.subject.keyword | financial architecture | en |
dc.subject.stw | Finanzmarkt | en |
dc.subject.stw | Risiko | en |
dc.subject.stw | Messung | en |
dc.subject.stw | Risikomaß | en |
dc.subject.stw | Theorie | en |
dc.title | CoVaR | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 587564059 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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