We introduce the Conditional Autoregressive Quantile–Located VaR (QL–CoCaViaR), which extends the Conditional Value–at–Risk (Adrian and Brunnermeier, 2016) by using an estimation process capturing the state in which the financial system and a conditioning company are jointly in distress. Furthermore, we include autoregressive components of conditional quantiles to explicitly model volatility clustering and heteroskedasticity. We support our model with a large empirical analysis, in which we use both classical and novel backtesting methods. Our results show that the quantile–located relationships lead to relevant improvements in terms of predictive accuracy during stressed periods, providing a valuable tool for regulators to assess systemic ...
The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the ri...
This paper presents the first methodological proposal of estimation of the ΛVaR . Our approach is dy...
This paper is dedicated to the consistency of systemic risk measures with respect to stochastic depe...
Financial risk control has always been challenging and becomes now an even harder problem as joint e...
This paper extends the Conditional Value-at-Risk approach of Adrian and Brunnermeier (2011) by allow...
In Colombia, the exposition to market risk has increased significantly since 2009. Nonetheless, the ...
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The...
We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institut...
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance f...
We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institut...
We propose a new methodology based on copula functions to estimate CoVaR, the Valueat-Risk (VaR) of ...
In financial market there are many different risk factors surrounding a specified financial firm. Fo...
Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the mos...
The global financial crisis of 2007-2009 revealed the importance of systemic risk: the risk that may...
We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing ...
The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the ri...
This paper presents the first methodological proposal of estimation of the ΛVaR . Our approach is dy...
This paper is dedicated to the consistency of systemic risk measures with respect to stochastic depe...
Financial risk control has always been challenging and becomes now an even harder problem as joint e...
This paper extends the Conditional Value-at-Risk approach of Adrian and Brunnermeier (2011) by allow...
In Colombia, the exposition to market risk has increased significantly since 2009. Nonetheless, the ...
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The...
We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institut...
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance f...
We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institut...
We propose a new methodology based on copula functions to estimate CoVaR, the Valueat-Risk (VaR) of ...
In financial market there are many different risk factors surrounding a specified financial firm. Fo...
Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the mos...
The global financial crisis of 2007-2009 revealed the importance of systemic risk: the risk that may...
We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing ...
The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the ri...
This paper presents the first methodological proposal of estimation of the ΛVaR . Our approach is dy...
This paper is dedicated to the consistency of systemic risk measures with respect to stochastic depe...