A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2019; you can also visit the original URL.
The file type is application/pdf
.
Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
2014
Pacific-Basin Finance Journal
In this paper we study systemic risks in the Korean banking sector by using two famous systemic risk measuresthe MES (marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our empirical analysis shows, first, that although these two systemic risk measures differ in defining the contributions to systemic risk, both are qualitatively very similar in explaining the cross-sectional differences in systemic risk contributions across
doi:10.1016/j.pacfin.2014.02.005
fatcat:2swc5zhrzncc7evdbyq5kjcpzm