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SU-ΔCoVaR

Author

Listed:
  • Choi, Pilsun
  • Min, Insik
  • Park, Keehwan

Abstract

We have developed a measure for systemic risk under the bivariate SU-normal distribution, and estimated systemic risk conditional upon the VaR of financial institutions. Simulation results show that both the normal and the quantile regression estimates are downward biased relative to the SU-normal estimate for systemic risk.

Suggested Citation

  • Choi, Pilsun & Min, Insik & Park, Keehwan, 2012. "SU-ΔCoVaR," Economics Letters, Elsevier, vol. 115(2), pages 218-220.
    • Handle: RePEc:eee:ecolet:v:115:y:2012:i:2:p:218-220
    DOI: 10.1016/j.econlet.2011.12.002
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    References listed on IDEAS

    as
    1. repec:bla:jfinan:v:58:y:2003:i:2:p:805-820 is not listed on IDEAS
    2. Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    CoVaR; VaR; Systemic risk; SU-normal distribution;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

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