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Printable Handouts
Navigable Slide Index
- Introduction
- Presentation outline
- Value at risk
- Co-movements in nomal times and in crisis
- Failure of VaR
- What is CoVaR?
- Objectives of CoVaR
- Formal definition
- Implication of CoVaR
- Advantages of using delta CoVaR
- Conditioning
- Endogeneity of systemic risk (1)
- Endogeneity of systemic risk (2)
- Endogeneity of systemic risk (3)
- Causality
- Tail dependence measure and directionality
- Measuring CoVaR
- Quantile regression method
- Quantile regressions: a refresher
- Value at risk and quantile regression
- Time varying CoVaR
- Examples of quantile regressions
- State variables (1)
- State variables (2)
- What 'contributes' to systemic risk?
- Unconditional delta CoVaR vs. VaR
- Time series average - delta CoVaR vs. VaR
- Cross sectional average - delta CoVaR vs. VaR
- VaR vs. CoVaR: the implication
- Implication to capital requirement (CR)
- Costs of CoVaR
- Advantages of CoVaR - summary
- Concluding remarks
- 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
Talk Citation
Hong, K.J. (2010, July 19). Conditional Value at Risk (CoVAR) [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 14, 2024, from https://doi.org/10.69645/NSPR5629.Export Citation (RIS)