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Measuring Systemic Risks in the Turkish Banking Sector
2020
Business and Economics Research Journal
This paper focused on measuring the systemic risks in Turkey's banking sector by using two major measures that have been proposed in the literature as conditional value at risk (CoVaR) and marginal expected shortfall (MES). In order to compute the contribution of banking sector to systemic risks, the MES and ΔCoVaR measures are estimated for the six Turkish banks, which are listed, on the Borsa Istanbul (BIST) during 2000-2016 period by using Engle's dynamic conditional correlation model. The
doi:10.20409/berj.2019.222
fatcat:47f5vze7kbhnxddqyn4m2yhkne