遇见数据集

CoVaR

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NBER2011-10-01 更新2025-01-04 收录
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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

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2011-10-01
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