CoVaR
<-- Return to the list
Date: 05-20-2009
Start Time:
5:30pm
End Time: 7:30pm
Speaker: Tobias Adrian, Federal Reserve Bank of New York
Location: Park Avenue Plaza at 55 East 52nd Street
ABSTRACT
We propose a measure for systemic risk: CoVaR, the Value-at-Risk
(VaR) conditional on an institution (or the whole financial sector) being under distress. We argue for regulatory requirements that are based on the difference between CoVaR and VaR, capturing an institution's (marginal) contribution to systemic risk. Countercyclical regulation should be based on an institution's characteristics like maturity mismatch and leverage that predict systemic risk contributions. We identify the relevant characteristics and determine their relative weights.
BIO
Tobias Adrian is Assistant Vice President of the Federal Reserve Bank of New York, with the Capital Markets Function of the Research Group. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He contributes to the NY Fed's financial stability policy, particularly its response to the recent financial crisis. He also contributes to weekly monetary policy briefings. Tobias Adrian holds a Ph.D. from MIT and an MSc from LSE. He has taught at MIT and Princeton University.
*There will be a cocktail following the event.
RSVP Required. To RSVP for NYQF Seminars, please complete the RSVP form.