Zhang, Ping; Wang, Yiru; Zhao, Min; Yang, Tzu-Yi - In: Financial studies 25 (2021) 3, pp. 6-29
China. The VaR and CoVaR showed that the risk of large commercial banks in China was generally low but was usually higher … approaches could effectively measure the systemic risk of listed banks in China. The %CoVAR calculated by the GARCH model was …