In this paper we present a closed analytical formula for the calculation of the CoVaR (respectively Delta CoVaR), which is a macro risk measure introduced by Adrian and Brunnermeier to analyze and quantify the marginal contribution of a given financial institutions to the systemic risk. We...

One of the main challenges for the regulatory authorities in the aftermath of the last financial crisis is to define pragmatical and practicable risk concepts for the control and the regulation of systemic risks. They need for this purpose risk models that on one hand can capture the macro...