A Systemic Contribution and Vulnerability of Non-financial Firms: A Cross Industry Analysis

A Systemic Contribution and Vulnerability of Non-financial Firms: A Cross Industry Analysis

This paper quantifies the systemic importance of non-financial firms by assessing their contribution and vulnerability to systemic shocks. We apply two firm-specific measures, namely Delta CoVaR (ΔCoVaR) and Marginal Expected Shortfall (MES), to evaluate the systemic risk of 205 non-financial firms...

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Bibliographic Details
Main Authors: Zafar Azam, Abdul Raheman, Abdul Rashid
Format: Article
Language:English
Published: National University of Modern Languages (NUML), Islamabad 2023-12-01
Series:NUML International Journal of Business & Management
Subjects:
Systemic risk
Systemic contribution
Systemic vulnerability
Non-financial firms
Delta CoVaR
MES
Online Access:https://nijbm.numl.edu.pk/index.php/BM/article/view/185
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