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
iCal

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.

« March 2019 »
March
MoTuWeThFrSaSu
123
45678910
11121314151617
18192021222324
25262728293031

RSS Feed Latest news

Winners of the Best Student Paper Award 2018 announced

Aug 21, 2018

Cambridge Finance is proud to announce the winners of the Best student Paper Award for 2017-2018

View all news

Upcoming events

Cambridge Finance Workshop - Alex Frino

May 02, 2019

Room W4.03, Cambridge Judge Business School

Cambridge Finance Workshop - Ernst-Ludwig von Thadden

May 16, 2019

No 10 North (lower ground)

Cambridge Finance Workshop - Mara Faccio

May 30, 2019

Room W4.03 Cambridge Judge Business School

Previous events

Upcoming events