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- W4313394446 abstract "This paper examines the systemic risk and its spillover between banking sectors of the Gulf Cooperation Council (GCC) region using the conditional value-at-risk framework. We construct country-specific banking indices using 11 large banks in the region that are systemically important (SIB). We report evidence of systemic risk spilloversfrom SIBs to the broad-based GCC market indices. The incremental tail spillovers are statistically significant for other domestic banks’ tail risk and inflate the systemic risk of cross-country GCC banks." @default.
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- W4313394446 date "2022-11-30" @default.
- W4313394446 modified "2023-09-25" @default.
- W4313394446 title "THE SYSTEMIC RISK IN THE GULF COOPERATION COUNCIL COUNTRIES’ EQUITY MARKETS AND BANKING SECTORS: A DYNAMIC COVAR APPROACH" @default.
- W4313394446 doi "https://doi.org/10.21098/bmeb.v25i3.1870" @default.
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