This is an initial version of a shiny dashboard that estimates systemic riks following a quantile regression approach as proposed by Adrian and Brunnermeier (2011). Next version will be more generalized, where anyone can upload their own data through the dashboard and estimate systemic risk.
Dashboard View: https://oa36.shinyapps.io/covar_r_project/
Please feel free to contribute.
- Write main functions to estimate CoVaR.
- Create an initial shiny dashboard.
- Clean code and recheck for calculation inaccuracies.
- Make a generalized version.
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Adrian, T., and Brunnermeier, M. K. 2016. “CoVaR,” American Economic Review (106:7), pp. 1705–1741. (https://doi.org/10.1257/aer.20120555).
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Belluzzo, T., “Systemic Risk”, < https://www.mathworks.com/matlabcentral/fileexchange/62482-systemic-r isk >.