Estimating the CoVaR for Korean Banking Industry
The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the risk spillover effect. It can capture the risk contribution of each institution to overall systemic risk. While Adrian and Brunnermeier rely on the quantile regression method in the estimation of CoVaR,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Korea Development Institute
2010-09-01
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| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2010.32.3.71 |