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Financial Innovation

Table 18 ΔCoVaR and CoVaR under MWP, GMV and MDP in Portfolio 2

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

0

0.01

0.03

0.02

0.06

0.07

0.07

0.07

0.06

ETH

0

0

0.01

0.02

0.02

0.06

0.07

0.06

0.06

0.06

LTC

0.01

0

0.01

0.04

0.02

0.07

0.07

0.07

0.07

0.06

NYA

0.06

0.06

0.05

0.03

0.04

0.07

0.09

0.08

0.07

0.07

IXIC

0.05

0.04

0.04

0.03

0.03

0.09

0.1

0.08

0.07

0.07

GSPC

0.06

0.06

0.05

0.03

0.04

0.07

0.09

0.08

0.07

0.07

N100

0.05

0.06

0.05

0.03

0.04

0.09

0.09

0.07

0.07

0.07

FTSE

0.05

0.07

0.05

0.03

0.03

0.09

0.08

0.07

0.07

0.07

FCHI

0.05

0.06

0.05

0.03

0.03

0.09

0.09

0.08

0.07

0.07

DJI

0.06

0.06

0.05

0.03

0.03

0.08

0.09

0.08

0.07

0.07

  1. NYSE COMPOSITE (NYA), NASDAQ Composite (IXIC), S&P 500 (GSPC), Euronext 100 Index (N100), FTSE 100 (FTSE), CAC 40 (FCHI) and Dow Jones Industrial Average (DJI), Bitcoin (BTC), Ethereum (ETH) and Litecoin (LTC). Market weighted portfolio strategy (MWP); Global minimum variance (GMV) portfolio strategy; Maximum diversification portfolio (MDP) strategy; Mean–Variance Differential Evolution (MVDE); 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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