Systemic risk is the risk that the defaults of one or more institutions trigger a collapse of the entire financial system. In this paper, we propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress. This measure is similar to Adrian and Brunnermeier’s CoVaR from 2008, but we change the systemic risk from VaR to CVaR. This measure considers severe losses of the financial system beyond VaR. CoCVaR is estimated using CVaR (superquantile) regression. We define the systemic risk contribution of an institution as the difference between CoCVaR conditional on the institution being under distress and the CoCVaR in the median state of the institution. We estimate the systemic risk contributions of the ten largest publicly traded banks in the United States for a sample period February 2000 to January 2015 and compare CoCVaR and CoVaR risk contributions for this period. We find that the new CoCVaR provides a unique perspective on the systemic risk contribution.

中文翻译：

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CoCVaR 方法：系统性风险贡献衡量

系统性风险是指一个或多个机构的违约引发整个金融体系崩溃的风险。在本文中，我们提出了一种衡量系统性风险的方法 CoCVaR，即以机构处于财务困境为条件的金融体系的条件风险价值 (CVaR)。该指标类似于 Adrian 和 Brunnermeier 2008 年的 CoVaR，但我们将系统性风险从 VaR 改为 CVaR。该措施考虑了金融系统在 VaR 之外的严重损失。CoCVaR 是使用 CVaR（超分位数）回归估计的。我们将机构的系统性风险贡献定义为以机构处于困境为条件的 CoCVaR 与机构处于中间状态的 CoCVaR 之间的差异。我们估计了 2000 年 2 月至 2015 年 1 月样本期间美国十大上市银行的系统性风险贡献，并比较了这一时期的 CoCVaR 和 CoVaR 风险贡献。我们发现新的 CoCVaR 为系统性风险贡献提供了独特的视角。