f_CoVaR_Delta_CoVaR_i_q {SystemicR} | R Documentation |
This function computes the CoVaR and the Delta CoVaR of a given financial institution i for a given quantile q.
f_CoVaR_Delta_CoVaR_i_q(df_data_returns)
df_data_returns |
A dataframe including data: dates and stock returns |
CoVaR_i_q |
A numeric matrix |
Delta_CoVaR_i_q |
A numeric vector |
Jean-Baptiste Hasse
Adrian, Tobias, and Markus K. Brunnermeier. "CoVaR". American Economic Review 106.7 (2016): , 106, 7, 1705-1741.
# Scale the entries of a vector to the interval [0,1]
# 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)
# }