Maghyereh, Aktham Issa; Virk, Nader; Awartani, Basel - 2021
We employ dynamic conditional Value at Risk (CoVaR) technique of Adrian and Brunnermeir (2016) in examining the systemic risk and its spillovers for the Gulf Cooperation Council (GCC) countries during the period of January 2004 to June 2020. To do so, we identify 11 large banks in the region...