On dependence consistency of CoVaR and some other systemic risk measures
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- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2014. "Model risk of risk models," LSE Research Online Documents on Economics 59296, London School of Economics and Political Science, LSE Library.
- Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," LSE Research Online Documents on Economics 66365, London School of Economics and Political Science, LSE Library.
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- Marina Resta, 2016. "VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self‐Organizing Maps," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 47-64, January.
- Reboredo, Juan C. & Ugolini, Andrea, 2015. "Systemic risk in European sovereign debt markets: A CoVaR-copula approach," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 214-244.
- Tobias Adrian & Markus K. Brunnermeier, 2016.
"CoVaR,"
American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
- Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
- Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
- Wienand Kölle & Andrea Martínez Salgueiro & Matthias Buchholz & Oliver Musshoff, 2021. "Can satellite‐based weather index insurance improve the hedging of yield risk of perennial non‐irrigated olive trees in Spain?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 65(1), pages 66-93, January.
- Yesol Huh, 2014. "Machines vs. Machines: High Frequency Trading and Hard Information," Finance and Economics Discussion Series 2014-33, Board of Governors of the Federal Reserve System (U.S.).
- Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.
- Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
- Markus Brunnermeier & Simon Rother & Isabel Schnabel & Itay Goldstein, 2020.
"Asset Price Bubbles and Systemic Risk,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(9), pages 4272-4317.
- Schnabel, Isabel & Brunnermeier, Markus & Rother, Simon, 2017. "Asset Price Bubbles and Systemic Risk," CEPR Discussion Papers 12362, C.E.P.R. Discussion Papers.
- Markus Brunnermeier & Simon Rother & Isabel Schnabel, 2019. "Asset Price Bubbles and Systemic Risk," CRC TR 224 Discussion Paper Series crctr224_2019_095, University of Bonn and University of Mannheim, Germany.
- Markus K. Brunnermeier & Simon C. Rother & Isabel Schnabel, 2019. "Asset Price Bubbles and Systemic Risk," NBER Working Papers 25775, National Bureau of Economic Research, Inc.
- Girardi, Giulio & Tolga Ergün, A., 2013. "Systemic risk measurement: Multivariate GARCH estimation of CoVaR," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3169-3180.
- Hélène Cossette & Mélina Mailhot & Étienne Marceau & Mhamed Mesfioui, 2016. "Vector-Valued Tail Value-at-Risk and Capital Allocation," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 653-674, September.
- Bokusheva, Raushan, 2014. "Improving the Effectiveness of Weather-based Insurance: An Application of Copula Approach," MPRA Paper 62339, University Library of Munich, Germany.
- Reboredo, Juan C. & Ugolini, Andrea, 2015. "A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 98-123.
- Kamila Sommer, 2014. "Fertility Choice in a Life Cycle Model with Idiosyncratic Uninsurable Earnings Risk," Finance and Economics Discussion Series 2014-32, Board of Governors of the Federal Reserve System (U.S.).
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This paper has been announced in the following NEP Reports:- NEP-BAN-2012-07-23 (Banking)
- NEP-RMG-2012-07-23 (Risk Management)
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