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Measuring Systemic Risk in the European Banking Sector: A Copula CoVaR Approach
Year Of Publication: 2014
Month Of Publication: March
Pages: 40
Download Count: 8
View Count: 1777
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-31-2014
Publisher: Administrator
Summary
This paper proposes a new methodology based on copula functions to estimate CoVaR. The approach yields closed-form expressions for various definitions of CoVaR for a range of copulas. The approach allows the CoVaR of a bank to have time-varying exposure to its VaR. The approach is also used to estimate conditional expected shortfall. The approach is applied to a sample of large European banks. The relation between bank-specific variables, e.g., size, leverage and equity beta, on CoVaR is examined.
Author(s)
Nomikos, Nikos Sign in to follow this author
Karimalis, Emmanouil Sign in to follow this author
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