South African Banks’ Cross-Border Systemic Risk Exposure: An Application of the GAS Copula Marginal Expected Shortfall
Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators’ objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle. This p...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-03-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/10/1/18 |