Extreme value approach to CoVaR estimation

@inproceedings{Nolde2019ExtremeVA,
  title={Extreme value approach to CoVaR estimation},
  author={Natalia Nolde and Chen Zhou and Mengling Zhou},
  year={2019}
}
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate the risk as well as allow individual institutions to monitor their vulnerability to market movements. One popular measure of systemic risk is the conditional value-at-risk (CoVaR), proposed in Adrian and Brunnermeier (2011). We develop a methodology to estimate… 

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