, study their general dependence consistency and compare their performance in several stochastic models. Our central finding … X  = VaR α ( X ). We prove general results that relate the dependence consistency of CoVaR using conditioning on X …

general dependence consistency and compare their performance in several stochastic models. Our central finding is that … general results that relate the dependence consistency of CoVaR using conditioning on X ≥ VaRα(X) to well established results …