THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES’ EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH

This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We repor...

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Bibliographic Details
Published in:Buletin Ekonomi Moneter dan Perbankan
Main Authors: Aktham Maghyereh, Nader Virk, Basel Awartani, Mohammad Al Shboul
Format: Article
Language:English
Published: Bank Indonesia 2022-11-01
Subjects:
systemic risk
covar
gcc countries
banking sector
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/1870

Internet

https://www.bmeb-bi.org/index.php/BEMP/article/view/1870

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