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  • Search: subject:"DCC (dynamic conditional correlation) model"
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Subject
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CoVaR 2 DCC (dynamic conditional correlation) model 2 MES (marginal expected shortfall) 2 Systemic risk 2 Threshold VAR 2 ARCH model 1 ARCH-Modell 1 Bank 1 Bank risk 1 Bankrisiko 1 Correlation 1 Financial crisis 1 Finanzkrise 1 Korrelation 1 Measurement 1 Messung 1 Risikomaß 1 Risk measure 1 South Korea 1 Systemrisiko 1 Südkorea 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Moon, Hyejung 2 Yun, Jaeho 2
Published in...
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Pacific-Basin Finance Journal 1 Pacific-Basin finance journal 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin Finance Journal 27 (2014) C, pp. 94-114
In this paper we study systemic risks in the Korean banking sector by using two famous systemic risk measures — the MES (marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our empirical analysis shows, first, that although...
Persistent link: https://www.econbiz.de/10011043168
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Cover Image
Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin finance journal 27 (2014), pp. 94-114
Persistent link: https://www.econbiz.de/10010499711
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