Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Jaeho Yun; Hyejung Moon
| Year of publication: |
2014
|
|---|---|
| Authors: | Yun, Jaeho ; Moon, Hyejung |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 27.2014, p. 94-114
|
| Subject: | Systemic risk | DCC (dynamic conditional correlation) model | MES (marginal expected shortfall) | CoVaR | Threshold VAR | Risikomaß | Risk measure | Systemrisiko | Korrelation | Correlation | Finanzkrise | Financial crisis | Südkorea | South Korea | Bank | Messung | Measurement | ARCH-Modell | ARCH model | Bankrisiko | Bank risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010499711