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.

« December 2019 »
December
MoTuWeThFrSaSu
1
2345678
9101112131415
16171819202122
23242526272829
3031

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 - Anne Villamil

Jan 23, 2020

Upper Hall, Peterhouse College, Cambridge CB2 1RD

Cambridge Finance Workshop - Alberto Manconi

Feb 06, 2020

Upper Hall, Peterhouse College, Cambridge CB2 1RD

Cambridge Finance Workshop - Ernst Maug

Feb 20, 2020

KH107, Keynes House, Cambridge Judge Business School

Previous events

Upcoming events