Model methodsSystemic riskactive

CoVaR and Delta-CoVaR

The fitted system tail return conditional on an institution's tail return, plus its change from the institution's median state.

Registry slug:: covar
Visible surface:: /systemic

Data and implementation

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

Data tables

data/parquet/systemic_series.parquet

Engine

engine/finweave_engine/layers/systemic/covar.py

Producer

scripts/build_systemic.py

Outputs

data/parquet/systemic_series.parquet

Source: Yahoo Finance equity returns via the argus collector, internal-use input

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.

Methodology evidence

Path and lines	Evidence
engine/finweave_engine/layers/systemic/covar.py:37-55	Fits the tail and median quantile regressions and constructs CoVaR and Delta-CoVaR.
docs/systemic_methodology.md:115-133	Defines the stored measures, rolling window, tail quantile, method label, span, and sign interpretation.
docs/systemic_methodology.md:269-338	Records crisis anchors and independent recomputation validation for the systemic output.

Equations

CoVaRcovar = res_q.params[0] + res_q.params[1] * bank_var_q

Median-state CoVaRcovar_median = res_median.params[0] + res_median.params[1] * bank_median

Delta-CoVaRdelta_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

Adrian and Brunnermeier (2016), CoVaR, American Economic Review 106(7): 1705-1741.

Metadata endpoint

Path	Method	Returns	Example
/api/methods/[slug]	GET	Registry metadata, implementation paths, measured vintage, methodology evidence, validation, and limitations. No model observations or parquet contents.	/api/methods/covar