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Systemic risk measurement: Multivariate GARCH estimation of CoVaR
Journal of Banking & Finance · 2013 · Vol. 37(8) · pp. 3169–3180
Giulio Girardi✉(United States Securities and Exchange Commission)A. Tolga Ergün(State Street (United States))
Financial Risk and Volatility ModelingCredit Risk and Financial RegulationsBanking stability, regulation, efficiencySystemic riskValue at riskFinancial crisisFinancial distressEconomicsFinancial institutionEconometricsEstimationConsistency (knowledge bases)Vector autoregression
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