Measuring systemic risk in the Nordic countries - An application of CoVaR
Spillover effects and systemic risk contribution of institutions, as measured by their CoVaR and delta-CoVaR respectively, is one way of assessing risk both for an institution in isolation, as well as for regulators and the economy as a whole. CoVaR is the q%-VaR of an institution conditional on another institution already being at its q%-VaR level, whereas delta-CoVaR measures each institution’s
