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Financial Innovation

Table 17 ΔCoVaR and CoVaR under MWP, GMV, MDP, MVDE and MVPSO in Portfolio 1

From: Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach

\({\Delta CoVaR}_{q}^{p|i}\)

\({CoVaR}_{q}^{p|i}\)

Asset

MWP

GMV

MDP

MVDE

MVPSO

MWP

GMV

MDP

MVDE

MVPSO

BTC

0.12

0.13

0.08

0.09

0.09

0.15

0.14

0.17

0.16

0.16

ETH

0.12

0.11

0.09

0.09

0.1

0.17

0.18

0.17

0.16

0.16

XRP

0.07

0.07

0.09

0.08

0.08

0.17

0.18

0.17

0.16

0.17

ADA

0.09

0.08

0.1

0.1

0.1

0.18

0.18

0.17

0.16

0.16

LINK

0.07

0.06

0.09

0.09

0.09

0.17

0.18

0.17

0.16

0.16

LTC

0.11

0.1

0.09

0.09

0.1

0.17

0.18

0.17

0.16

0.16

BCH

0.1

0.1

0.09

0.09

0.09

0.18

0.18

0.17

0.16

0.16

XLM

0.09

0.09

0.1

0.1

0.1

0.18

0.18

0.17

0.16

0.16

BNB

0.09

0.09

0.09

0.09

0.1

0.18

0.18

0.17

0.16

0.16

DOGE

0.06

0.06

0.09

0.07

0.07

0.17

0.17

0.17

0.16

0.16

  1. Market weighted portfolio (MWP); Global minimum variance (GMV) portfolio; Maximum diversification portfolio (MDP), Mean–variance Differential Evolution (MVDE) and Mean–variance Particle Swarm Optimization (MVPSO).; \({CoVaR}_{q}^{p|i}\) is the VaR of the portfolio conditional upon asset i being in a state of distress;\({\Delta CoVaR}_{q}^{p|i}={CoVaR}_{q}^{p|i}-{CoVaR}_{0.5}^{p|i}\). It measures the vulnerability of the portfolio to the contagion from tail-risk events of the asset i; q = 0.05
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