Mercadier, Mathieu and Strobel, Frank (2023) (Simple) ΔCoVaR bounds. Applied Economics Letters, 30 (14). pp. 1874-1881. ISSN 1350-4851
Abstract
We develop simple versions of upper bounds of the widely used systemic risk measure of ΔCoVaR that are straightforward to calculate, and may prove useful as (conservative) benchmarks in an applied context.
Metadata
| Item Type: | Article (Published) |
|---|---|
| Refereed: | Yes |
| Uncontrolled Keywords: | CoVaR; systemic risk; risk measure; probability bounds |
| Subjects: | Business > Finance |
| DCU Faculties and Centres: | DCU Faculties and Schools > DCU Business School |
| Publisher: | Taylor & Francis |
| Official URL: | https://www.tandfonline.com/doi/full/10.1080/13504... |
| Copyright Information: | Authors |
| ID Code: | 32778 |
| Deposited On: | 09 Jun 2026 14:40 by Tam Nguyen . Last Modified 09 Jun 2026 14:40 |
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