A comparison between Quantile Regression and Quantile Regression Forest for CoVaR estimation: the Spanish case

Abstract

The present work is focused on the estimation of CoVaR, a measure used to quantify the effects of a financial institution or the financial system in distress, on the VaR of another financial institution. In the first part, the studied case consists of five Spanish banks, namely: BBVA, Bankia, Bankinter, CaixaBank, Santander and, in a second part, the MSCI Europe index is used to analyze the financial system effects. The used method is the Quantile Regression Forest and the results are compared with the already well-known Quantile Regression. The last part of the thesis studies the relations among the banks and the system as a network.