Original paper
Three regime bivariate normal distribution: a new estimation method for co-value-at-risk, CoVaR
Abstract
We propose a new distribution for estimation of co-value-at-risk, CoVaR, a financial system risk measure conditional on an institution in a financial distress: a three regime bivariate normal (3RN) distribution which is composed of three bivariate normal distributions with asymmetric variance matrices for the right-tail, left-tail and mid-part corresponding to the return of an institution. The distribution captures explicitly the asymmetric...
Paper Details
Title
Three regime bivariate normal distribution: a new estimation method for co-value-at-risk, CoVaR
Published Date
Jul 17, 2019
Journal
Volume
25
Issue
18
Pages
1817 - 1833
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Notes
History