Improving systemic risk frameworks in South Korea by Lim, Jasper Seng Leong, Lim, Jerry Wen Xing, Taepan Kanjanaporn

“…In this paper, we show that the recently-developed measures: ∆CoVaR, MES, SRISK, and linear Granger-causality network can accurately detect systemic risk and identify systemically important financial institutions (SIFIs) in South Korea. Additionally, we identified two key contributing factors to systemic risk in Korea, namely: (1) high short-term foreign debt holdings of investment banks and (2) high leverage of commercial banks. …”
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