A New Attribution Index for Systemic Risk Contributions in Financial Portfolios

D. I. Flores Silva, M. A. Sordo Diaz, A. Suárez Llorens

This talk introduces a novel framework for attributing systemic risk to individual portfolio components. While standard Value-at-Risk (VaR) measures isolated loss, we use CoVaR and the Probability equivalent level of CoVaR-Var (PELCoV) to quantify the specific contribution of an asset to the total system.

Palabras clave: stochastic orders systemic risk

J. Cárcamo Urtiaga

P. Oliveira

A. Suárez Llorens

M. A. Sordo Díaz