Vulnerability-CoVaR: investigating the crypto-market
提出脆弱性条件在险价值（VCoVaR）作为系统性风险度量，通过Copula方法估计，分析加密货币市场中不同币种间的风险传染效应，发现莱特币对比特币影响最大，且联合困境事件会显著影响各币种。
This paper proposes an important extension to Conditional Value-at-Risk (CoVaR), the popular systemic risk measure, and investigates its properties on the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined as the Value-at-Risk (VaR) of a financial system or institution, given that at least one other institution is equal or below its VaR. The VCoVaR relaxes normality assumptions and is estimated via copula. While important theoretical findings of the measure are detailed, the empirical study analyses how different distressing events of the cryptocurrencies impact the risk level of each other. The results show that Litecoin displays the largest impact on Bitcoin and that each cryptocurrency is significantly affected if an event of joint distress among the remaining market participants occurs. The VCoVaR is shown to capture domino effects better than other CoVaR extensions.