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Keywords: CoVaR
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2026) 27 (3): 458–473.
Published: 03 April 2026
... the relationship between the size of shadow banking and systemic risk in South Africa. Design/methodology/approach The study employed the conditional value-at-risk (CoVaR), using the returns of fixed-income funds, funds-of-funds, money market funds and multi-asset funds from January 2015 to December 2021...
Includes: Supplementary data
