articleJournal of Banking & FinanceMar 7, 2013Closed access

Systemic risk measurement: Multivariate GARCH estimation of CoVaR

GGGiulio GirardiATA. Tolga Ergün

United States Securities and Exchange Commission · State Street (United States)

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Abstract

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616
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2

Topics & keywords

Topics
Keywords
  • Systemic risk
  • Value at risk
  • Financial crisis
  • Financial distress
  • Economics
  • Financial institution
  • Econometrics
  • Estimation
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