This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

One important source of systemic risk can arise from asset commonality among financial institutions. This indirect … portfolios. In this paper, we propose a new methodology for identifying and assessing banking sector systemic risk stemming from … compute bank portfolio sensitivities to a large number of risk factors (e.g. interest rates, equity prices, credit spreads …

measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure … reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually … inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible …

measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure … reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually … inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible …

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial … system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an … institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an …