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This paper addresses the measurement issues of systemic risk in the Thai banking sector. The concept of conditional value-at-risk (CoVaR), due to Adrian and Brunnermeier (2008), was used to quantify the level of systemic risk and financial linkages among six major Thai commercial banks over the...
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canonical model and take it to an application, namely, Thailand 1976-1996, an emerging economy in a phase of economic expansion …
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