Hanif, Hasan; Naveed, Muhammad; Ur Rehman, Mobeen - In: Cogent Business & Management 7 (2020) 1, pp. 1-12
risk. In order to overcome the limitations of conventional systemic risk, ΔCoVaR$ is used predict future systemic … conventional and proposed forward CoVaR provides interesting insights into the role of sector level variables in the buildup of … systemic risk. The results highlight that the forecasting ability of forward ∆CoVaR predicted with sector level …