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...

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...