Contents
한국 은행산업의 CoVaR 추정
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 최필선 | - |
| dc.contributor.other | 민인식 | - |
| dc.date.accessioned | 2016-07-27T06:43:41Z | - |
| dc.date.available | 2010-11-16 | - |
| dc.date.available | 2016-07-27T06:43:41Z | - |
| dc.date.issued | 2010-09-20 | - |
| dc.identifier.other | 1950 | - |
| dc.identifier.uri | https://archives.kdischool.ac.kr/handle/11125/19258 | - |
| dc.description.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 | - |
| dc.description.tableOfContents | Ⅰ. 서 론 Ⅱ. CoVaR 추정모형 1. 분위수 회귀 추정 2. 모수적 분포함수를 이용한 추정: 비조건부 모형 3. 모수적 분포함수를 이용한 추정: GARCH 모형 Ⅲ. 추정 결과 Ⅳ. 맺음말 | - |
| dc.language | ko | - |
| dc.publisher | 한국개발연구원 | - |
| dc.publisher | Korea Development Institute | - |
| dc.relation.isPartOf | 11581 | - |
| dc.rights | CC BY-NC-ND 2.0 KR | - |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.0/kr/ | - |
| dc.title | 한국 은행산업의 CoVaR 추정 | - |
| dc.title.alternative | Estimating the CoVaR for Korean Banking Industry | - |
| dc.type | Article | - |
| dc.subject.jel | Econometric and Statistical Methods and Methodology: General | - |
| dc.subject.jel | Financial Economics | - |
| dc.subject.jel | General Financial Markets | - |
| dc.relation.startpage | 71 | - |
| dc.relation.lastpage | 99 | - |
| dc.relation.volume | 32 | - |
| dc.relation.no | 3 | - |
- Files in This Item:
- Appears in Collections:
Click the button and follow the links to connect to the full text. (KDI CL members only)
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.