Drivers of systemic risk in emerging markets: portfolio risk and risk amplification in the Thai banking and insurance sectors
This study examines the drivers of systemic risk in the Thai banking and insurance sectors using a panel of listed financial institutions on the Stock Exchange of Thailand from Q1 2014 to Q4 2024. Systemic risk is measured along two dimensions — a firm's contribution to system-wide distress (ΔCoVaR) and its exposure to...