SystemicR (version 0.1.0)

f_CoVaR_Delta_CoVaR_i_q: Computing static CoVaR and Delta CoVaR

Description

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

Usage

f_CoVaR_Delta_CoVaR_i_q(df_data_returns)

Arguments

df_data_returns

A dataframe including data: dates and stock returns

Value

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.

Examples

# NOT RUN {
# Scale the entries of a vector to the interval [0,1]

# NOT RUN {
# }
# 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)

# }
# NOT RUN {
# }
# }