Girardi, Giulio; Tolga Ergün, A. - In: Journal of Banking & Finance 37 (2013) 8, pp. 3169-3180
We modify Adrian and Brunnermeier’s (2011) CoVaR, the VaR of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows us to...