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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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