条件在险价值CoVaR介绍。传统风险管理方 法VaR方法定义为金融机构i在1-q的置信水平下 面临的损失价值，即 Pr（Xi ≤ ）=q。如上文所 述，传统VaR方法虽然较好地衡量了一个机构极端 情况下面临的损失，但无法衡量风险的传染扩散程 度及其影响大小。Adian和Brunnermeier（2011）提出 CoVaR 模型，他们将其定义为：在 1-q 的置信水平 下，金融机构 i 损失为 时，金融机构面临的条 件损失价值

Packet : dcc-garch-CoVaR-matlab.rar filelist
RunMyCode_SysRiskMeasures_R2015b_CoVaR_dcc_garchcovar_dccgarchco/RunMyCode_SysRiskMeasures_R2015b/.DS_Store
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RunMyCode_SysRiskMeasures_R2015b_CoVaR_dcc_garchcovar_dccgarchco/RunMyCode_SysRiskMeasures_R2015b/ComparisonofResults2015bvs2010a.doc
RunMyCode_SysRiskMeasures_R2015b_CoVaR_dcc_garchcovar_dccgarchco/RunMyCode_SysRiskMeasures_R2015b/Data_RMC.txt
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RunMyCode_SysRiskMeasures_R2015b_CoVaR_dcc_garchcovar_dccgarchco/__MACOSX/RunMyCode_SysRiskMeasures_R2015b/._.DS_Store
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RunMyCode_SysRiskMeasures_R2015b_CoVaR_dcc_garchcovar_dccgarchco/__MACOSX
RunMyCode_SysRiskMeasures_R2015b_CoVaR_dcc_garchcovar_dccgarchco

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