Measuring systemic risk in the European banking sector : a copula CoVaR approach
Emmanouil N. Karimalis and Nikos K. Nomikos
| Year of publication: |
2018
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|---|---|
| Authors: | Karimalis, Emmanouil N. ; Nomikos, Nikos K. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 10/12, p. 944-975
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| Subject: | copulas | European banking | risk spillovers | Systemic risk | value-at-risk | Systemrisiko | Bankrisiko | Bank risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Finanzkrise | Financial crisis | EU-Staaten | EU countries | Risiko | Risk | Spillover-Effekt | Spillover effect | Messung | Measurement | Bank | Finanzmarkt | Financial market | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Europa | Europe | Finanzsektor | Financial sector |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2017.1366350 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012244423