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Cited by 2,373

The DOI matches its Crossref record; 25 of the 25 references it cites were found in a registry or an index.

CoVaR

Adrian, Tobias, Brunnermeier, Markus K.·2016·American Economic Review
DOI 10.1257/aer.20120555
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Abstract

We propose a measure of systemic risk, Δ CoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict Δ CoVaR. We also provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk, and show that the 2006:IV value of this measure would have predicted more than one-third of realized Δ CoVaR during the 2007–2009 financial crisis. (JEL C58, E32, G01, G12, G17, G20, G32)

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Metadata

Authors
Adrian, T., & Brunnermeier, M. K.
Venue
American Economic Review
Publisher
American Economic Association
Published
2016-07-01
Volume
106
Issue
7
Pages
1705-1741
ISSN
0002-8282 (ISSN-L)
DOI
10.1257/aer.20120555
OpenAlex
W4246715751
Cited by
2,373
References
25
FWCI
261.00
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: CoVaR. https://app.cochat.ai/papers/10.1257/aer.20120555
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Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review. https://doi.org/10.1257/aer.20120555

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.