What Kind Of Systemic Risks Do We Face In The European Banking Sector? The Approach Of CoVaR Measure
We measure a systemic risk faced by European banking sectors using the CoVaR measure. We propose the conditional value-at-risk for measuring a spillover risk which demonstrates the bilateral relation between the tail risks of two financial institutions. The aim of the study is to estimate the contri...
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| Format: | Article |
| Language: | English |
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Sciendo
2014-12-01
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| Series: | Folia Oeconomica Stetinensia |
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| Online Access: | https://doi.org/10.1515/foli-2015-0017 |