O'Reilly logo

Emerging Markets and the Global Economy by Duc Khuong Nguyen, Sabri Boubaker, Mohammed Hedi Arouri

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 12

Measuring Systemic Risk in Emerging Markets Using CoVaR

Anastassios A. Drakosa and Georgios P. Kouretasa,    aDepartment of Business Administration, Athens University of Economics and Business, Athens, Greece,    E-mail: kouretas@aueb.gr

Abstract

The recent financial crisis has shown that the regulation framework that has been implemented over the last 20 years as formulated in the Basle I and II agreements relied excessively on the monitoring of individual financial institutions. It then failed to capture the contribution of systemic risk, which is considered to be the risk that results from the collective behavior of financial institutions that have significant effects on the real economy. In this chapter, we investigate the extent ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required