Probability equivalent level for CoVaR and VaR (Q6199665)

The authors study conditions that guarantee, in the bivariate setting, the ordering between VaR and CoVaR, allowing to understand which, among the two measures, is more or less conservative than the other. By doing this, the authors introduce the notion of probability equivalent level of CoVaR-VaR (PELCoV), which is the VaR value of the observable variable for which VaR and CoVaR coincide, and study some of its properties such as uniqueness and boundedness. \newline In particular, it is shown that its properties are entirely explained by the copula that describes the dependence between risks, and a list of copulas is provided for which PELCoV is explicitly available, and for which it is or not bounded. A practical applicative example is also presented.