Value at Risk (VaR) and Average Value at Risk (AVaR) are among the most widely-used risk measures by market participants to assess the risk of individual financial firms and institutions. Despite their popularity, both measures fail to account for spillover effects between firms. To address this limitation, the CoVaR (Conditional Value at Risk) measure was introduced, which defines the VaR of a financial system conditional on the state of another institution. The traditional approach to estimating CoVaR involves a regression model combined with a quantile method to estimate the model’s parameters. This paper proposes a composite quantile regression method to enhance the accuracy of CoVaR estimation. We apply this methodology to several U.S. companies across various sectors, including finance, consumer goods, energy, industry, and technology. An analysis of the out-of-sample forecast accuracy using two popular backtesting criteria demonstrates that the composite quantile method provides more accurate CoVaR estimates than the standard quantile method. All computation codes are freely available in both R and MATLAB.

Pay-As-You-Throw (PAYT) tariff schemes, in which households pay based on their waste generation, are proposed as solutions to the growing worldwide challenge of municipal solid waste management. However, public acceptance of such schemes remains low. Using a one-factor between-subject experimental survey design with 620 participants, we test the effects of environmental and accountability appeals and of individual characteristics in shaping preferences for a proposed PAYT scheme in Grenoble, France. We find a positive effect of the accountability appeal and no effect of the environmental appeal on preference for the PAYT scheme compared to a fixed-fee scheme. Additional analyses suggest that accountability appeals are particularly effective for individuals with below-median age, above-median income, and at least a master’s degree, indicating that policymakers should target younger and educated citizens with these appeals in PAYT campaigns. Future research could test the applicability of these findings in other settings and for other waste-related interventions.