GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?
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DOI: 10.1007/s00181-019-01695-4
Abstract: This paper makes use of the generalized autoregressive score (GAS) Copula model to estimate the Conditional Value at Risk (CoVaR) measure of systemic risk. The proposed measure of systemic risk considers the score of the… read more here.
Keywords: gas; gas copula; period; systemic risk ... See more keywords