Measuring the contribution of Chinese financial institutions to systemic risk : an extended asymmetric CoVaR approach
Year of publication: |
2020
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Authors: | Wen, Fenghua ; Weng, Kaiyan ; Zhou, Wei-Xing |
Published in: |
Risk management : a journal of risk, crisis and disaster. - Basingstoke : Palgrave Macmillan, ISSN 1460-3799, ZDB-ID 2227982-9. - Vol. 22.2020, 4, p. 310-337
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Subject: | Systemic risk | Tail-risk dependence | Asymmetric CoVaR | Time-varying | Systemrisiko | Risikomaß | Risk measure | China | Finanzkrise | Financial crisis | Finanzsektor | Financial sector |
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