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- W2319610483 abstract "Systemic risk is the risk that negative effect that is caused by one company is propagated to other companies through a specific relationship channel. To measure systemic risk that is characterized by interconnected features among economic unit, we employ the generalized variance decomposition method (GVDM) with a volatility data set of 354 companies listed on the KOSPI index. We propose a novel approach to quantify systemic risk and to calculate the extent of systemic risk for the KOSPI market. We find that systemic risk is closely related to financial crises such as the Asian currency crisis and the subprime mortgage crisis." @default.
- W2319610483 created "2016-06-24" @default.
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- W2319610483 date "2013-12-11" @default.
- W2319610483 modified "2023-09-26" @default.
- W2319610483 title "Understanding information flows among individual companies in Korean stock market" @default.
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- W2319610483 doi "https://doi.org/10.14257/astl.2013.34.13" @default.
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