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US$9.00
International Monetary Fund (2012)
US$9.00
To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to positive and negative shocks to the market-valued balance...
To date, an operational measure of systemic risk capturing non-linear tail comovement between...
