From: Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach
Asset | \({\omega }_{i}\) | \({VaR}_{q}\left({L}_{i}\right)\) | \({CoVaR}_{q}^{p|i}\) | \({CoVaR}_{0.5}^{p|i}\) | \({\Delta CoVaR}_{q}^{p|i}\) | \(a{L}_{i}\) |
---|---|---|---|---|---|---|
BTC | 0.12 | 0.08 | 0.07 | 0.04 | 0.03 | 0.02 |
ETH | 0.02 | 0.07 | 0.06 | 0.04 | 0.02 | 0.02 |
LTC | 0.35 | 0.07 | 0.07 | 0.03 | 0.04 | 0.01 |
NYA | 0.01 | 0.07 | 0.07 | 0.04 | 0.03 | 0.03 |
IXIC | 0.18 | 0.07 | 0.07 | 0.04 | 0.03 | 0.02 |
GSPC | 0.15 | 0.07 | 0.07 | 0.04 | 0.03 | 0.02 |
N100 | 0.13 | 0.07 | 0.07 | 0.04 | 0.03 | 0.02 |
FTSE | 0.04 | 0.08 | 0.07 | 0.04 | 0.03 | 0.02 |
FCHI | 0 | 0.08 | 0.07 | 0.04 | 0.03 | 0.03 |
DJI | 0 | 0.07 | 0.07 | 0.04 | 0.03 | 0.03 |