Concepedia

Delta Covar

Delta CoVaR is a systemic risk metric that quantifies the incremental conditional value-at-risk of the financial system attributable to the distress of a specific financial institution, thereby distinguishing it from overall system-wide risk measures by isolating institution-specific systemic risk contributions.

19

Publications

827

Citations

57

Authors

45

Institutions

Publications per year

2017–2026

14

Parents

Publications

19

Systemic risk in European sovereign debt markets: A CoVaR-copula approach

Juan C. Reboredo, Andrea Ugolini · Journal of International Money and Finance · 2014 · 257 citations

, , +16

Measuring and testing for the systemically important financial institutions

Carlos Castro, Stijn Ferrari · Journal of Empirical Finance · 2013 · 112 citations

, , +14

A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling

Syed Jawad Hussain Shahzad, Jose Arreola‐Hernandez, Stelios Bekiros et al. · Journal of International Financial Markets Institutions and Money · 2018 · 66 citations

, , +17

A Theoretical and Empirical Comparison of Systemic Risk Measure: MES Versus Delta Covar

Sylvain Benoît, Gilbert Colletaz, Christophe Hurlin · SSRN Electronic Journal · 2012 · 48 citations · Full text

, , +15

Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy

Hélder Ferreira de Mendonça, Rafael Bernardo da Silva · The North American Journal of Economics and Finance · 2017 · 41 citations

, , +13

1–5 of 19

Authors

57

  1. SF
    Stijn Ferrari

    National Bank of Belgium, Belgium

    2 publications · 150 citations

    2

    h-index

  2. SJ
    Syed Jawad Hussain Shahzad

    Montpellier Business School, France

    2 publications · 76 citations

    2

    h-index

  3. SY
    Seong‐Min Yoon

    Pusan National University, South Korea

    1 publications · 10 citations

    1

    h-index

  4. WL
    Wenjin Liu

    Yangtze University, China

    1 publications · 20 citations

    1

    h-index

  5. HL
    Haiming Long

    Hunan University of Finance and Economics, China

    1 publications · 31 citations

    1

    h-index

1–5 of 57

Institutions

45

  1. Universidad del Rosario

    Bogotá, Colombia

    2 h-index

    2 publications

    150 citations

  2. Montpellier Business School

    Montpellier, France

    2 h-index

    3 publications

    142 citations

  3. National Bank of Belgium

    Brussels, Belgium

    2 h-index

    2 publications

    150 citations

  4. City, University of London

    London, United Kingdom

    2 h-index

    2 publications

    39 citations

  5. Sultan Qaboos University

    Muscat, Oman

    1 h-index

    2 publications

    20 citations

  6. Hunan University of Finance and Economics

    Changsha, China

    1 h-index

    2 publications

    62 citations

  7. East China University of Science and Technology

    Shanghai, China

    1 h-index

    1 publications

    21 citations

  8. Rensselaer Polytechnic Institute

    Troy, United States

    1 h-index

    1 publications

    31 citations

1–8 of 45

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 125 citations

    4

    h-index

  2. Journal of International Money and Finance

    1 publications · 257 citations

    1

    h-index

  3. International Journal of Finance & Economics

    IJFE · 1 publications · 10 citations

    1

    h-index

  4. Annals of Operations Research

    1 publications · 20 citations

    1

    h-index

  5. Journal of Financial Economic Policy

    JFEP · 1 publications · 17 citations

    1

    h-index

1–5