Measuring Systemic Risk with CoVaR Using a Stock Market Data Based Approach

DOI10.1007/978-3-319-54885-2_13zbMath1426.91305OpenAlexW2610777027MaRDI QIDQ5240333

Witold Szczepaniak, Marta Karaś

Publication date: 25 October 2019

Published in: Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-54885-2_13

zbMATH Keywords

value at risksystemic riskCoVaRbanking sector

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Assessment of Systemic Risk in the Polish Banking Industry ⋮ Towards a Generalized Measure of Systemic Risk: Systemic Turbulence Measure

Cites Work

• Where the Risks Lie: A Survey on Systemic Risk*

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