Fong, Tom; Fung, Laurence; Lam, Lillie; Yu, Ip-wing - Hong Kong Monetary Authority - 2009
This paper assesses systemic linkages among banks in Hong Kong using the risk measure "CoVaR" derived from quantile regression. The CoVaR measure captures the co-movements of banks¡¯ default risk by taking into account their nonlinear relationship when the banks are in distress. Based on...