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Conditional Quantile-Located VaR

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Giovanni Bonaccolto

    (University of Enna “Kore”, viale delle Olimpiadi)

  • Massimiliano Caporin

    (University of Padova, Department of Statistical Sciences)

  • Sandra Paterlini

    (EBS Business School, FACT Department–Finance
    University of Trento, Department of Economics and Management)

Abstract

The Conditional Value-at-Risk (CoVaR) has been proposed by Adrian and Brunnermeier (Am Econ Rev 106:1705–1741, 2016) to measure the impact of a company in distress on the Value-at-Risk (VaR) of the financial system. We propose an extension of the CoVaR, that is, the Conditional Quantile-Located VaR (QL-CoVaR), that better deals with tail events, when spillover effects impact the stability of the entire system. In fact, the QL-CoVaR is estimated by assuming that the financial system and the individual companies simultaneously lie in the left tails of their distributions.

Suggested Citation

  • Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Conditional Quantile-Located VaR," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 167-171, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_31
    DOI: 10.1007/978-3-319-89824-7_31
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