Title: How to estimate CoVaR
Authors: Piotr Jaworski - University of Warsaw (Poland) [presenting]
Abstract: CoVaR (conditional Value at Risk) is a newly introduced risk measure which is oriented on systemic risk. If random variables $X$ and $Y$ are modelling our phenomena, say welfares of banks or gains from the investments, CoVaR of $Y$ with respect to $X$ is VaR of conditional $Y$, conditioned on the poor standing of $X$. In more details, $ CoVaR_\beta(Y | X) = VaR_\beta(Y | X \in E)$, where $E$, the Borel subset of the real line, is modelling some adverse event concerning $X$. The basic properties of CoVaR, especially those which depend on the copula of the pair $X,Y$, and some methods of its estimation on the base of empirical data will be presented.