Quantifying Systemic Risk via High-Dimensional CoVaR Measures
Abstract
The R codes include two parts. The first part is the sample period from 2007-2013. This part is used for producing Section 7. The second part is the sample period from 2014-2024. This part covers Section 4, 5, 6 and Appendix B. For each folder, we have numbered the R files and included the original data. Following the numbered R files, we can estimate the results.
Fields of Study & Subjects
Financial Risk and Volatility Modeling
Banking stability
regulation
efficiency
Risk and Portfolio Optimization
Publication details
- Journal / source
- Mendeley Data
- Publication date
- 19 January 2026
- Document type
- Dataset