[R-SIG-Finance] Value of risk (system) conditional the event bank=value at risk level

[Kris]

It might help to see the data that you are loading but presumably you have daily data then you
want to compute rolling VaR estimates (with say a 1yr lookback) with that data and then do the quantile regression.

On Oct 5, 2013, at 9:55 AM, schloni wrote:

> Dear R-community,
> 
> I try to calculate the Value at risk (VaR) of the financial system
> conditional the event, that a single bank is on its VaR-level. This is then
> called the CoVaR.
> 
> The VaR is the 95%-(negative)quantile of a distribution, so it can be
> calculated using the rq() regression function.
> 
> My first version of the code is shown below. However, it did not work,
> because the VaR of the bank is a single value e.g. -0.0038974, but the
> weighted average is a vector of 3130 numbers. Furthermore, this approach is
> somehow logically wrong, as it should be more like this:
> 
> CoVaR <- rq(Xsystem~X, tau=0.05, if X=VaR(X, p = 0.95, method =
> c("historical"))) or
> 
> CoVaR <- rq(Xsystem~X, tau=0.05, if X=VaRbankq)
> 
> Has anybody an idea, how I can solve this?
> 
> Thanks a lot!
> 
> 
> This is my code:
> 
> # PAKETE
> sessionInfo()
> library(quantreg)                   
> library(PerformanceAnalytics)           
> 
> # LADEN DER DATEN
> weightssystem<-read.csv("systemweightedaveragegrowthrate.csv")# growth rate
> total assets ofsystem
> x <- read.csv("growthrateMVtotalassetsbank2.csv")                     #
> growth rate of total assets of bank2
> 
> # DEFINITION
> Xsystem <- weightssystem[,1]
> X <- x[,1]
> length(Xsystem)                                                                         
> # length is 3130
> length(X)                                                                                   
> # length is 3130
> 
> # VaR BANK
> # 2 Methods
> VaRbankq <- quantile(X, 0.05)                                          # 
> calculation via the 95%-quantile
> VaRbankq
> VaRbank <- VaR(X, p = 0.95, method = c("historical"))       #  VaR-function;
> gaussian possible
> VaRbank 
> 
> 
> # VaR SYSTEM CONDITIONAL ON EVENT (BANK=VaR LEVEL): CoVaR
> CoVaR <- rq(Xsystem~VaRbank, tau=0.05)                          # this was
> my first try            
> CoVaR
> 
> 
> 
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