Applying CoVaR to measure systemic market risk: the Colombian case
In: Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010
AbstractIn Colombia, the exposition to market risk has increased significantly since 2009. Nonetheless, the risk codependence among agents has not been analyzed yet from the perspective of this risk. Therefore, this paper presents an approach to estimate such relevance based on CoVaR and quantile regressions. This methodology is flexible enough to allow the estimation of the systemic market risk contribution of banks, pension funds, and between different types of financial institutions. Results suggest that risk codependence among entities increases during distress periods.
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This item is provided by Bank for International Settlements in its series IFC Bulletins chapters with number 34-23.
Other versions of this item:
- Mauricio Arias & Juan Carlos Mendoza & David PÃ©rez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera, Banco de la Republica de Colombia 047, Banco de la Republica de Colombia.
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