Measuring CoVaR: An Empirical Comparison

Autor: Michele Leonardo Bianchi, Alberto Maria Sorrentino
Rok vydání: 2019
Předmět:
Zdroj: Computational Economics. 55:511-528
ISSN: 1572-9974
0927-7099
DOI: 10.1007/s10614-019-09901-2
Popis: Recent literature has proposed a market-based measure to assess the contribution of a single bank to the systemic risk, i.e. the delta conditional value-at-risk ($$\Delta { CoVaR}$$). This measure could be useful to control the dynamics of systemic risk as perceived by the market. We estimate the $$\Delta { CoVaR}$$ of Italian and main European banks over the time span from January 2007 to December 2018 by considering three possible methodologies: (1) the quantile regression; (2) a closed form formula; (3) a non-parametric method. The estimates based on closed form formula do not differ substantially from those of the other two methodologies, moreover they provide more robust results. Furthermore, we compare the ranking derived by the $$\Delta { CoVaR}$$ with the global systemically important banks (GSIBs) buckets determining additional loss absorbency requirements. We show that there are differences in the ranking defined by the $$\Delta { CoVaR}$$ and the GSIBs bucket allocation provided by the Financial Stability Board even if the $$\Delta { CoVaR}$$ seems to be able to divide the good from the bad, from a systemic risk perspective.
Databáze: OpenAIRE
Externí odkaz: