Improving systemic risk frameworks in South Korea

• Main Authors: Lim, Jasper Seng Leong, Lim, Jerry Wen Xing, Taepan Kanjanaporn
• Other Authors: Joseph Dennis Alba
• Format: Final Year Project
• Language: English
• Published: 2019
• Subjects: DRNTU::Social sciences::Economic development::Korea
• Online Access: http://hdl.handle.net/10356/76903
• Institution: Nanyang Technological University

Following the 2008 financial crisis, Korean regulators have been focused on addressing the shortcomings in their frameworks designed to monitor systemic risk in the financial system. In this paper, we show that the recently-developed measures: ∆CoVaR, MES, SRISK, and linear Granger-causality network...