Abstract
This study is aimed at identifying the marginal risk contribution of the Brazilian industrial sectors to the systemic risk of the country's stock market, considering relevant variables associated to the Brazilian and the global economy, by means of structural breakdown tests. To accomplish this, a risk management model called Conditional Value-at-Risk (CoVaR) was used. Our main results have shown that the industrial sector contributed the most to the systemic risk of the Brazilian stock market and the financial industry contributed the least, reinforcing findings of empirical studiesReferences
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