Conditional Value at Risk (CoVAR) [electronic resource] / KiHoon Jimmy Hong.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2010Description: 1 online resource (1 streaming video file (30 min.) : color, sound)Subject(s): Asset-liability management | Financial risk managementOnline resources: Click here to access online | Series Animated audio-visual presentation with synchronized narration.
Title from title frames.
Contents: Value at Risk failure -- Systemic Risk -- Need of Conditional Value at Risk -- Properties -- Endogeneity of Systemic Risk -- Tail Dependence Measure -- Estimation Method: Quantile Regression -- Contribution to Systemic Risk -- VaR vs CoVaR -- Capital Requirement Implication -- Costs of CoVaR -- Advantages of CoVaR.
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Mode of access: World Wide Web.