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Professor Viral Acharya discusses the merits of using conditional value-at-risk (CoVAR) for stress tests of investment companies

Risk.net 192 x 144
Excerpt from Risk.net -- "'CoVAR is an interesting statistical concept about co-dependence in outcomes of individual security or fund returns with the market's or another index's returns, but there is no causality associated with it,' says New York University's Acharya. 'It is hard to make the conceptual case that we should regulate a fund or asset manager based on CoVAR.'"

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