Systemic risk measurement: Multivariate GARCH estimation of CoVaR

Journal of Banking and Finance

Volumn 37, Issue 8, 2013, Pages 3169-3180

  Girardi, Giulio ^a   Tolga Ergun A ^b  

^a United States Securities and Exchange Commission   (United States)

^b State Street Corp ^*  (United States)

Author keywords

Conditional Value at Risk; DCC model; Systemic Risk; Value at Risk

Indexed keywords

EID: 84878636585     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2013.02.027     Document Type: Article

References (20)

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