Roengpitya, Rungporn; Rungcharoenkitkul, Phurichai - Bank of Thailand - 2010
This paper addresses the measurement issues of systemic risk in the Thai banking sector. The concept of conditional value-at-risk (CoVaR), due to Adrian and Brunnermeier (2008), was used to quantify the level of systemic risk and financial linkages among six major Thai commercial banks over the...