f_CoVaR_Delta_CoVaR_i_q_t: Computing dynamic CoVaR and Delta CoVaR

In SystemicR: Monitoring Systemic Risk

Description

This function computes the dynamic CoVaR and the Delta CoVaR of a given financial institution i for a given quantile q at time t. The dynamic and aggregate Delta CoVaR is also computed.

Usage

f_CoVaR_Delta_CoVaR_i_q_t(df_data_returns, df_data_state_variables)

Arguments

df_data_returns	A dataframe including data: dates and stock returns
df_data_state_variables	A dataframe including data: dates and macroeconomic variables

Value

CoVaR_i_q_t	A xts matrix
Delta_CoVaR_i_q_t	A xts matrix
Delta_CoVaR_t	A xts vector

Author(s)

Jean-Baptiste Hasse

References

Adrian, Tobias, and Markus K. Brunnermeier. "CoVaR". American Economic Review 106.7 (2016): , 106, 7, 1705-1741.

Examples

# Scale the entries of a vector to the interval [0,1]

# NOT RUN {


  # Load data
  data("data_stock_returns")
  data("data_state_variables")


  # Compute CoVaR_i_q_t , Delta_CoVaR_i_q_t and Delta_CoVaR_t
  l_result <- f_CoVaR_Delta_CoVaR_i_q_t(data_stock_returns, data_state_variables)

  # Plot Delta_CoVaR_t
  f_plot(l_result$Delta_CoVaR_t)



# }

Example output

SystemicR documentation built on July 1, 2020, 10:30 p.m.