A Study of the Systemic Risk in the Japanese Banking System - An application of the CoVaR method
CoVaR is one of the pioneering systemic risk measures proposed during the financial turmoil of 2008, introduced by Adrian and Brunnermeier (2008). It is based on the familiar risk measurement Value-at-Risk (VaR). In this thesis we apply both the time-invariant and time-varying CoVaR model to econometrically quantify the systemic risk in the Japanese banking sector. Specifically we study the system
