f_CoVaR_Delta_CoVaR_i_q_t function

Computing dynamic CoVaR and Delta CoVaR

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.

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

Returns

• CoVaR_i_q_t: A xts matrix

• Delta_CoVaR_i_q_t: A xts matrix

• Delta_CoVaR_t: A xts 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")
  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)


# }