University of Florida
Professor Stan Uryasev is director of the Risk Management at the University of Florida. His research is focused on efficient computer modeling and optimization techniques and their applications in finance and military projects. He has published four books (two monographs and two edited volumes) and more than 130 research papers. He is a co-inventor of the Conditional Value-at-Risk and the Conditional Drawdown-at-Risk optimization methodologies. He developed optimization software in risk management area. He is on the editorial board of a number of research journals and is Editor Emeritus and Chairman of the Editorial Board of the Journal of Risk.
In this paper, the authors propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress.