The Analysis of Systemic Risk of Commercial Banks in China Using CoVaR
This study assesses the systemic risk of 14 listed commercial banks in China using CoVaR method during 2008 to 2013. A quantile regression is used to calculate the evolution of tail event. Five different variables are used to capture the tail risk. The systemic risk in this paper is measured by the...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27297/ |