Erschienen in:FRB of New York Staff Report ; No. 348
Umfang:
1 Online-Ressource (45 p)
Sprache:
Nicht zu entscheiden
DOI:
10.2139/ssrn.1269446
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2011 erstellt
Beschreibung:
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being in distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being in distress and CoVaR in the median state of the institution. From our estimates of CoVaR for the universe of publicly traded financial institutions, we quantify the extent to which characteristics such as leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out-of-sample forecasts of a countercyclical, forwardlooking measure of systemic risk and show that the 2006:Q4 value of this measure would have predicted more than half of realized covariances during the financial crisis