CoVaR
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- Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
- Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
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More about this item
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2011-10-15 (Banking)
- NEP-CBA-2011-10-15 (Central Banking)
- NEP-ETS-2011-10-15 (Econometric Time Series)
- NEP-FOR-2011-10-15 (Forecasting)
- NEP-RMG-2011-10-15 (Risk Management)
Statistics
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