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...