Systemic risk among European banks: A copula approach
نویسندگان
چکیده
منابع مشابه
Systemic risk in European sovereign debt markets: A CoVaR-copula approach
We studied systemic risk in European sovereign debt markets before and after the onset of the Greek debt crisis, taking the conditional value-at-risk (CoVaR) as a systemic risk measure, characterized and computed using copulas. We found that, before the debt crisis, sovereign debt markets were all coupled and systemic risk was similar for all countries. However, with the onset of the Greek cris...
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2016
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2016.01.002