Systemic risk of the Philippines application of the SRISK risk measure to top Philippine banks
The paper applies the SRISK measure of systemic risk constructed by Brownlees and Engle (2017), to the Philippines. SRISK estimates the expected capital shortfall of a firm in the event of a systemic crisis. Capital shortfall is an indicator of firm- and of systemic riskiness as it reflects the exc...
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| Format: | Thesis |
| Idioma: | English |
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