Contents
한국 은행산업의 CoVaR 추정
Estimating the CoVaR for Korean Banking Industry
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- Abstract
The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the risk spillover effect. It can capture the risk contribution of each institution to overall systemic risk. While Adrian and Brunnermeier rely on the quantile
- Issue Date
- 2010-09-20
- Publisher
- 한국개발연구원
Korea Development Institute
- Language
- ko
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