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DC Field | Value | Language |
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dc.citation.endPage | 5863 | - |
dc.citation.number | 50 | - |
dc.citation.startPage | 5843 | - |
dc.citation.title | APPLIED ECONOMICS | - |
dc.citation.volume | 53 | - |
dc.contributor.author | Jang, Hyun Jin | - |
dc.contributor.author | Pan, Xiao | - |
dc.contributor.author | Park, Sumin | - |
dc.date.accessioned | 2023-12-21T15:43:38Z | - |
dc.date.available | 2023-12-21T15:43:38Z | - |
dc.date.created | 2021-06-10 | - |
dc.date.issued | 2021-06 | - |
dc.description.abstract | This study examines the extent of systemic risk embedded in the credit and equity markets using a conditional value-at-risk (CoVaR) measure. We implement a copula-based CoVaR approach with different perspectives of a dependence structure based on a generalized autoregressive score model. In parallel, we select the credit default swap spread and stock price data of five companies in the financial sector – American Express, BBVA, Goldman Sachs, Morgan Stanley, and Wells Fargo – from 2001 to 2013, and include data on the global financial crisis of 2007–2008. We then divide the data into three time periods: pre-crisis, during the crisis, and post-crisis. We conduct time-varying marginal modelling, and copula parameter estimation, and then compute CoVaR values with the best-fit copula model. Comparative empirical tests provide financial implications for systemic risk management. | - |
dc.identifier.bibliographicCitation | APPLIED ECONOMICS, v.53, no.50, pp.5843 - 5863 | - |
dc.identifier.doi | 10.1080/00036846.2021.1931007 | - |
dc.identifier.issn | 0003-6846 | - |
dc.identifier.scopusid | 2-s2.0-85107637948 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/52986 | - |
dc.identifier.url | https://www.tandfonline.com/doi/full/10.1080/00036846.2021.1931007 | - |
dc.identifier.wosid | 000659370500001 | - |
dc.language | 영어 | - |
dc.publisher | Routledge | - |
dc.title | Measuring systemic risk with a dynamic copula-based approach | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.type.docType | Article | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | Systemic risk | - |
dc.subject.keywordAuthor | Conditional value-at-risk | - |
dc.subject.keywordAuthor | Time-varying copula | - |
dc.subject.keywordAuthor | Generalised autoregressive score model | - |
dc.subject.keywordAuthor | Prediction | - |
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