Data Citation: Adrian, Tobias and Markus Brunnermeier. CoVaR, Data file.

Publications : Federal Reserve Bank of New York Staff Reports, Federal Reserve Bank of New York, No. 348, September 2008, 		Revised September 2015.

Data Citation Details
 Title: CoVaR
 Authors :Tobias Adrian, Markus Brunnermeier
 Creation Date : September 2008
 Distributor : Federal Reserve Bank of New York
 Contact : Tobias Adrian

Underlying Dataset(s): 
	Proprietary: CRSP, CRSP/Compustat  Merged, Financial Times*, Wall Street Journal*
	Public: FR Y9-C, FR H.15*, U.S. Treasury Data and Charts Center*, Fama-French Research Factors

	Description: This is a quarterly panel of CoVaR and Delta-CoVaR, calculated at the 95- and 99-percent levels, for all the firms in the 1971-2013 sample period. (Delta-)CoVaR is a measure of systemic risk calculated from underlying state variables (eg, equity volatility) and bank characteristics (eg, book leverage) by Adrian and Brunnermeier (state variables and bank characteristics come from the underlying data. See the paper for details on calculation). The data provided in this release cannot be used to re-estimate (Delta-)CoVaR , or more generally, to reproduce the results of the paper (for that, the underlying data are needed). The release is intended to facilitate the study of institution-specific and system-wide risk by other academics, policy makers, and market participants.

	Keywords: Value at Risk, Systemic Risk, Risk Spillovers, Financial Architecture 

	Topic Classification ( JEL): G01 (Financial Crisis); G10 (General);  G18  (Government Policy and Regulation);  G20 (General);  G28 (Government Policy and Regulation); G32 (Financing Policy; Capital Ownership Structure); G38 (Government Policy and Regulation)

	Data Frequency : Quarterly 
	Time PeriodCovered : Q1 1971 to Q2 2013 (and Q3 1926 to Q2 2013 in Section 4.6)
	Level of observation/level of aggregation:  Individual firms
	Number of files: 4
	Terms of Use: http://www.ny.frb.org/termsofuse.html 

*Accessed via Haver Analytics

