LikeSNU-서울대 중앙도서관 빅데이터 지식 플랫폼

CoVaR를 이용한 금융권역 간 리스크 전이 분석

Author

김진호, 김윤정

Journal Title

사회과학연구논총

Publication Year

2010

Topics

#Finance

Summary

This study analyzes the financial sector contagion effect using the CoVaR concept proposed by Adrian and Brunnermeier. Based on stock returns and market value of assets data from July 2002 to September 2008, quantile regression analysis revealed that savings and loan associations exhibited the highest CoVaR increase, suggesting a significant negative impact on the sector when they face financial distress.

Journal Influence

[사회과학연구논총]