CoVaR
收藏NBER2011-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w17454
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资源简介：
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being under distress and the CoVaR
提供机构：
美国国家经济研究局
创建时间：
2011-10-01
