skip to primary navigationskip to content

CF weekly workshop - Jimmy Hong

When May 10, 2011
from 05:00 PM to 06:00 PM
Where Winstanley Lecture Theatre, Trinity College
Contact Name
Add event to calendar vCal

Jimmy Hong (Faculty of Economics) presenting.

Title: Analytical CoVaR

Abstract: Conditional Value at Risk (CoVaR) is a newly proposed macro prudential risk measure to capture systemic risk and it is claimed to overcome some problems of traditional VaR. Accordingly, the objective of this paper is to propose an analytical form of CoVaR that shares the advantages of analytical VaR and are readily employable, then to provide a theoretical approach to investigate how analytical CoVaR captures systemic risk when asset and market
returns are independent and when they are autocorrelated. The paper presents empirical backtest using Kupiec’s failure frequency test and Christoffersen’s conditional test to find that the analytical CoVaR exceedances pass both tests while the analytical VaR exceedances does not pass the conditional test. Analytical CoES is presented as an extension to capture loss beyond CoVaR and potential applications of CoVaR are discussed.

« August 2018 »

RSS Feed Latest news

Best Student Paper Award 2018 - registration is now closed

Feb 02, 2018

For the last ten years, Cambridge Finance is offering its Best Student Paper Award. The award comprises a cash honorarium of £1,000 and a certificate is awarded to the author of the best student paper in finance presented during the 2017-2018 academic year.

View all news