The effect of macroeconomic and specific banking variables on systemic risk Cupola Covar approach
This study estimates systemic risk of banks using the Copula function and Conditional Value at Risk and examine the extend to which macroeconomic and bank-specific variables contribute to systemic risrk. we use the statistical information of banks from 2014 to 2019.To describe the dependence between...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Semnan University
2020-08-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_4632_6e8efc1005f101cd7f5f9d0b16b20798.pdf |