{"slug":"covar","name":"CoVaR and Delta-CoVaR","family":"Systemic risk","status":"active","estimate":"The fitted system tail return conditional on an institution's tail return, plus its change from the institution's median state.","page":"/systemic","implementation":{"enginePaths":["engine/finweave_engine/layers/systemic/covar.py"],"producerPath":"scripts/build_systemic.py","outputs":["data/parquet/systemic_series.parquet"]},"methodology":[{"path":"engine/finweave_engine/layers/systemic/covar.py","lines":[37,55],"note":"Fits the tail and median quantile regressions and constructs CoVaR and Delta-CoVaR."},{"path":"docs/systemic_methodology.md","lines":[115,133],"note":"Defines the stored measures, rolling window, tail quantile, method label, span, and sign interpretation."},{"path":"docs/systemic_methodology.md","lines":[269,338],"note":"Records crisis anchors and independent recomputation validation for the systemic output."}],"data":{"vintage":"CoVaR and Delta-CoVaR each contain 38,561 observations for 28 entities from 2021-01-04 through 2026-07-06, measured 2026-08-30","tables":["data/parquet/systemic_series.parquet"],"sources":[{"label":"Yahoo Finance equity returns via the argus collector, internal-use input","url":"https://finance.yahoo.com/"}]},"method":["For each institution, the engine runs a 5% quantile regression of system returns on institution returns over a trailing 252-trading-day window. It evaluates the fitted tail regression when the institution is at its own 5% return quantile to obtain CoVaR.","It separately evaluates a median regression at the institution's median return. Delta-CoVaR is CoVaR minus that median-state fitted system return, and both CoVaR and Delta-CoVaR are stored.","A more negative Delta-CoVaR means the fitted system tail is worse when that institution is in distress, which is the sign convention used by the methodology and visible page."],"equations":[{"label":"CoVaR","expr":"covar = res_q.params[0] + res_q.params[1] * bank_var_q"},{"label":"Median-state CoVaR","expr":"covar_median = res_median.params[0] + res_median.params[1] * bank_median"},{"label":"Delta-CoVaR","expr":"delta_covar = covar - covar_median"}],"validation":["The parquet contains 38,561 CoVaR observations and 38,561 Delta-CoVaR observations, each covering 28 entities from 2021-01-04 through 2026-07-06.","The documented independent recomputation of BAC Delta-CoVaR on 2026-07-06 matches the stored value with zero difference."],"limitations":["CoVaR is a conditional return-tail estimate from one market proxy and one institution return series. It is not a failure probability or a causal estimate.","The 252-day rolling window means the series begins only after a full trading-year history is available.","The underlying Yahoo-derived equity-return input carries an internal-use, display-aggregates-only licence posture and is not a redistributable raw dataset."],"references":[{"citation":"Adrian and Brunnermeier (2016), CoVaR, American Economic Review 106(7): 1705-1741.","url":"https://doi.org/10.1257/aer.20120555"}],"endpoints":[{"path":"/api/methods/[slug]","example":"/api/methods/covar","method":"GET","returns":"Registry metadata, implementation paths, measured vintage, methodology evidence, validation, and limitations. No model observations or parquet contents."}],"lastVerified":"2026-08-30"}