Systemic risk measurement in the Eurozone - A multivariate GARCH estimation of CoVaR
In this essay the systemic risk contributions of financial institutions in the European Monetary Union are analyzed. For this purpose the CoVaR measure, first introduced by Adrian and Brunnermeier (2011), is applied. The definition of CoVaR is changed in the way that 1) the definition of financial distress is changed from an institution being exactly at its VaR-level to being at most at its Va
