f_CoVaR_Delta_CoVaR_i_q function

Computing static CoVaR and Delta CoVaR

This function computes the CoVaR and the Delta CoVaR of a given financial institution i for a given quantile q.

f_CoVaR_Delta_CoVaR_i_q(df_data_returns)

Arguments

• df_data_returns: A dataframe including data: dates and stock returns

Returns

• CoVaR_i_q: A numeric matrix

• Delta_CoVaR_i_q: A numeric vector

References

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

Author(s)

Jean-Baptiste Hasse

Examples

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

# NOT RUN {

  # Load data
  data("data_stock_returns")

  # Compute CoVaR_i_q and Delta_CoVaR_i_q
  f_CoVaR_Delta_CoVaR_i_q(data_stock_returns)


# }