Authors: Tobias Adrian and Markus K. Brunnermeier
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The New York Innovation Center bridges the worlds of finance, technology, and innovation and generates insights into high-value central bank-related opportunities.
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Staff Reports
CoVaR
September
2008 Number 348
Revised: September 2014
Revised: September 2014
JEL classification: G01, G10, G18, G20, G28, G32, G38
We propose a measure for systemic risk, ΔCoVaR, defined as the difference between the conditional value at risk (CoVaR) of the financial system conditional on an institution being in distress and the CoVaR conditional on the median state of the institution. Our ΔCoVaR estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict systemic risk contribution. We provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk and show that the 2006:Q4 value of this measure would have predicted more than one-third of realized ΔCoVaR during the financial crisis.
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