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Implementation of CoVaR, A Measure for Systemic Risk
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Abstract

In recent years we have witnessed how distress can spread quickly through the financial system and threaten financial stability. Hence there has been increased focus on developing systemic risk indicators that can be used by central banks and others as a monitoring tool. For Sveriges Riksbank it is of great value to be able to quantify the risks that can threaten the Swedish financial system CoVaR is a systemic risk measure implemented here with that with that purpose. CoVaR, which stands for conditional Value at Risk, measures a financial institutions contribution to systemic risk and its contribution to the risk of other financial institutions. The conclusion is that CoVaR can together with other systemic risk indicators help get a better understanding of the risks threatening the stability of the Swedish financial system.

Place, publisher, year, edition, pages
2012. , 50 p.
Series
Trita-MAT, ISSN 1401-2286 ; 21
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-102684OAI: oai:DiVA.org:kth-102684DiVA: diva2:555813
Subject / course
Mathematical Statistics
Educational program
Master of Science - Mathematics
Uppsok
Physics, Chemistry, Mathematics
Examiners
Available from: 2012-09-21 Created: 2012-09-21 Last updated: 2012-09-21Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf