{"id":"https://openalex.org/W4246715751","doi":"https://doi.org/10.1257/aer.20120555","title":"CoVaR","display_name":"CoVaR","publication_year":2016,"publication_date":"2016-06-30","ids":{"openalex":"https://openalex.org/W4246715751","doi":"https://doi.org/10.1257/aer.20120555"},"language":"en","primary_location":{"id":"doi:10.1257/aer.20120555","doi":"https://doi.org/10.1257/aer.20120555","is_oa":false,"landing_page_url":"https://doi.org/10.1257/aer.20120555","pdf_url":null,"source":{"id":"https://openalex.org/S23254222","display_name":"American Economic Review","issn_l":"0002-8282","issn":["0002-8282","1944-7981"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310315912","host_organization_name":"American Economic Association","host_organization_lineage":["https://openalex.org/P4310315912"],"host_organization_lineage_names":["American Economic Association"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"American Economic Review","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5079166372","display_name":"Tobias Adrian","orcid":"https://orcid.org/0000-0001-9379-9592","observed_orcids":["https://orcid.org/0000-0001-9379-9592"]},"institutions":[{"id":"https://openalex.org/I43638361","display_name":"Federal Reserve Bank of New York","ror":"https://ror.org/05hwvzg47","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608","https://openalex.org/I43638361"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tobias Adrian","raw_affiliation_strings":["Federal Reserve Bank of New York, Research and Statistics Group, 33 Liberty Street, New York, NY 10045 (e-mail: )"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Federal Reserve Bank of New York, Research and Statistics Group, 33 Liberty Street, New York, NY 10045 (e-mail: )","institution_ids":["https://openalex.org/I43638361"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5034194808","display_name":"Markus Konrad Brunnermeier","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Markus K. Brunnermeier","raw_affiliation_strings":["Bendheim Center for Finance, Department of Economics, Princeton University, Princeton, NJ 08544, NBER, CEPR, and CESIfo (e-mail: )"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bendheim Center for Finance, Department of Economics, Princeton University, Princeton, NJ 08544, NBER, CEPR, and CESIfo (e-mail: )","institution_ids":["https://openalex.org/I20089843"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":258.276,"has_fulltext":false,"cited_by_count":2381,"citation_normalized_percentile":{"value":1.0,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":100},"biblio":{"volume":"106","issue":"7","first_page":"1705","last_page":"1741"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.8036999702453613,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.8036999702453613,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.13339999318122864,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.011599999852478504,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/systemic-risk","display_name":"systemic risk","score":0.9599999785423279},{"id":"https://openalex.org/keywords/covar","display_name":"CoVaR","score":0.8190000057220459},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9309999942779541},{"id":"https://openalex.org/keywords/financial-distress","display_name":"financial distress","score":0.6890000104904175},{"id":"https://openalex.org/keywords/financial-leverage","display_name":"leverage","score":0.652999997138977},{"id":"https://openalex.org/keywords/firm-size","display_name":"firm size","score":0.7310000061988831},{"id":"https://openalex.org/keywords/maturity-mismatch","display_name":"maturity mismatch","score":0.9990000128746033},{"id":"https://openalex.org/keywords/asset-price-booms","display_name":"asset price booms","score":0.9919999837875366},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.878000020980835},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.9160000085830688},{"id":"https://openalex.org/keywords/financial-stability","display_name":"financial stability","score":0.34599998593330383}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6911666393280029},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.6361047625541687},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5721836090087891},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.5344668030738831},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5220053791999817},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.43356266617774963},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.13956019282341003},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.13742265105247498},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12416818737983704},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.11446678638458252},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.10879123210906982}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1257/aer.20120555","doi":"https://doi.org/10.1257/aer.20120555","is_oa":false,"landing_page_url":"https://doi.org/10.1257/aer.20120555","pdf_url":null,"source":{"id":"https://openalex.org/S23254222","display_name":"American Economic Review","issn_l":"0002-8282","issn":["0002-8282","1944-7981"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310315912","host_organization_name":"American Economic Association","host_organization_lineage":["https://openalex.org/P4310315912"],"host_organization_lineage_names":["American Economic Association"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"American Economic Review","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:aea:aecrev:v:106:y:2016:i:7:p:1705-41","doi":null,"is_oa":false,"landing_page_url":"https://www.aeaweb.org/articles?id=10.1257/aer.20120555","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W1528714948","https://openalex.org/W1977970167","https://openalex.org/W1983050180","https://openalex.org/W2037658587","https://openalex.org/W2098291543","https://openalex.org/W2099208941","https://openalex.org/W2104018975","https://openalex.org/W2110994806","https://openalex.org/W2114111702","https://openalex.org/W2116701769","https://openalex.org/W2118549276","https://openalex.org/W2123931028","https://openalex.org/W2125991987","https://openalex.org/W2130659611","https://openalex.org/W2150747312","https://openalex.org/W2334058874","https://openalex.org/W2912248305","https://openalex.org/W2952580930","https://openalex.org/W3022027069","https://openalex.org/W3023221728","https://openalex.org/W3121630491","https://openalex.org/W3121797216","https://openalex.org/W3121823203","https://openalex.org/W3122124451","https://openalex.org/W3122582823","https://openalex.org/W3122823746","https://openalex.org/W3123503831","https://openalex.org/W3123659985","https://openalex.org/W3125719708","https://openalex.org/W3125820270","https://openalex.org/W3126124568","https://openalex.org/W4241653265","https://openalex.org/W4246717377"],"related_works":["https://openalex.org/W613889982","https://openalex.org/W2347071282","https://openalex.org/W2892044735","https://openalex.org/W4301357666","https://openalex.org/W348488691","https://openalex.org/W3124300971","https://openalex.org/W3128025644","https://openalex.org/W4324148033","https://openalex.org/W3138439101","https://openalex.org/W3123381433"],"abstract_inverted_index":{"We":[0,53],"propose":[1],"a":[2,59],"measure":[3,62,74],"of":[4,18,58,63,72,81],"systemic":[5,64],"risk,":[6,65],"\u0394":[7,51,83],"CoVaR,":[8],"defined":[9],"as":[10,40],"the":[11,14,19,69,86],"change":[12],"in":[13],"value":[15,71],"at":[16],"risk":[17],"financial":[20,88],"system":[21],"conditional":[22],"on":[23],"an":[24],"institution":[25],"being":[26],"under":[27],"distress":[28],"relative":[29],"to":[30],"its":[31],"median":[32],"state.":[33],"Our":[34],"estimates":[35],"show":[36,67],"that":[37,68],"characteristics":[38],"such":[39],"leverage,":[41],"size,":[42],"maturity":[43],"mismatch,":[44],"and":[45,66],"asset":[46],"price":[47],"booms":[48],"significantly":[49],"predict":[50],"CoVaR.":[52],"also":[54],"provide":[55],"out-of-sample":[56],"forecasts":[57],"countercyclical,":[60],"forward-looking":[61],"2006:IV":[70],"this":[73],"would":[75],"have":[76],"predicted":[77],"more":[78],"than":[79],"one-third":[80],"realized":[82],"CoVaR":[84],"during":[85],"2007\u20132009":[87],"crisis.":[89],"(JEL":[90],"C58,":[91],"E32,":[92],"G01,":[93],"G12,":[94],"G17,":[95],"G20,":[96],"G32)":[97]},"counts_by_year":[{"year":2026,"cited_by_count":320},{"year":2025,"cited_by_count":355},{"year":2024,"cited_by_count":272},{"year":2023,"cited_by_count":272},{"year":2022,"cited_by_count":245},{"year":2021,"cited_by_count":217},{"year":2020,"cited_by_count":197},{"year":2019,"cited_by_count":148},{"year":2018,"cited_by_count":154},{"year":2017,"cited_by_count":126},{"year":2016,"cited_by_count":46},{"year":2015,"cited_by_count":8},{"year":2014,"cited_by_count":7},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-19T09:35:57.686232","created_date":"2022-05-12T00:00:00"}
