/CoVaR-Conditional-VaR-Project

Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.

Primary LanguageJupyter NotebookMIT LicenseMIT

230H-Project

Implementation of CoVaR as described in the Adrian and Brunnermeier (A&B) paper.

CoVaR, or Conditional VaR, is an alternative measure of risk that conditions an institution's loss probability on the health of the entire financial system.

We attempt to replicate and expand the time-frame of the original A&B paper.

See Code/VaR Construction.ipynb for details.