Montag, 20. Juni 2016, 16:45 - 18:15 iCal

ISOR Colloquium

"On systemic risk and Conditional Value at Risk (CoVaR)"
Speaker: Piotr Jaworski (Univ. Warsaw)

Lecture Hall 12 (2nd floor)
Oskar-Morgenstern-Platz 1, 1090 Vienna


Conditional Value at Risk (CoVaR) is a measure of influence of a risk factor X on some financial position Y. It was introduced by T.Adrian and M.Brunnermeier in 2008 to quantify how the poor performance of one institution is affecting the other one. As well, it can be applied to compare markets, asset prices and other financial data. The idea is to measure Value at Risk of Y conditioned on X, where random variables X and Y are modelling some financial positions. In my talk I will discuss the possibility of detecting the sources of systemic risk with the help of CoVaR.



[1] Adrian, T., Brunnermeier, M.K.: CoVaR, The American Economic Review 2016 (to appear).

[2] Girardi G., Ergün T.A.: Systemic risk measurement: Multivariate GARCH estimation of CoVar, Journal of Banking & Finance 37, (2013) 3169-3180.

[3] Bernardi M., Durante F., Jaworski P.: CoVaR of families of copulas (to appear).

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
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