Hakwa, Brice; Manfred J\"ager-Ambro\.zewicz; Barbara … - arXiv.org - 2012
This paper is devoted to the quantification and analysis of marginal risk contribution of a given single financial institution i to the risk of a financial system s. Our work expands on the CoVaR concept proposed by Adrian and Brunnermeier as a tool for the measurement of marginal systemic risk...