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Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models

Title
Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Authors
Yun J.Moon H.
Ewha Authors
윤재호
SCOPUS Author ID
윤재호scopus
Issue Date
2014
Journal Title
Pacific Basin Finance Journal
ISSN
0927-538XJCR Link
Citation
vol. 27, no. 1, pp. 94 - 114
Indexed
SSCI; SCOPUS WOS scopus
Abstract
CoVaR; DCC (dynamic conditional correlation) model; MES (marginal expected shortfall); Systemic risk; Threshold VAR
DOI
10.1016/j.pacfin.2014.02.005
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
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