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1. Introduction
2. Presentation outline
3. Value at risk
4. Co-movements in nomal times and in crisis
5. Failure of VaR
6. What is CoVaR?
7. Objectives of CoVaR
8. Formal definition
9. Implication of CoVaR
10. Advantages of using delta CoVaR
11. Conditioning
12. Endogeneity of systemic risk (1)
13. Endogeneity of systemic risk (2)
14. Endogeneity of systemic risk (3)
15. Causality
16. Tail dependence measure and directionality
17. Measuring CoVaR
18. Quantile regression method
19. Quantile regressions: a refresher
20. Value at risk and quantile regression
21. Time varying CoVaR
22. Examples of quantile regressions
23. State variables (1)
24. State variables (2)
25. What 'contributes' to systemic risk?
26. Unconditional delta CoVaR vs. VaR
27. Time series average - delta CoVaR vs. VaR
28. Cross sectional average - delta CoVaR vs. VaR
29. VaR vs. CoVaR: the implication
30. Implication to capital requirement (CR)
31. Costs of CoVaR
32. Advantages of CoVaR - summary
33. Concluding remarks
34. Reference

Topics Covered

• Value at Risk failure
• Systemic Risk
• Need of Conditional Value at Risk
• Properties
• Endogeneity of Systemic Risk
• Tail Dependence Measure
• Estimation Method: Quantile Regression
• Contribution to Systemic Risk
• VaR vs CoVaR
• Capital Requirement Implication
• Costs of CoVaR
• Advantages of CoVaR

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on July 19, 2010
• Archived on April 4, 2022