Modelling systemic risk in financial markets. - Couverture souple

Ugolini, Andrea

 
9788481028034: Modelling systemic risk in financial markets.
Couverture souple
ISBN 10 : 8481028037 ISBN 13 : 9788481028034
Editeur : Editorial Universidad de Cantabria, 2017

Synopsis

This dissertation provides a study on systemic risk in financial markets; it is laid out as follows. Chapter 1 provides a survey of the quantitative measure of systemic risk in the economics and finance literature. In Chapter 2 examine, using conditional VaR (CoVaR), the systemic risk generated by major Spanish financial institutions in the recent global financial crisis and the European sovereign debt crisis as a systemic risk measure. CoVaR was quantified using quantile regression, multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) and copula approaches. We also describe a novel copula-based approach to computing the CoVaR value, given that copula are flexible modellers of joint distribution and are particularly useful for characterizing the tail behaviour that provides such crucial information for the CoVaR.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Editorial Universidad de Cantabria
Date d'édition
2017
Langue
espagnol
ISBN 10 
8481028037
ISBN 13 
9788481028034
Reliure
Broché
Numéro d'édition
1
Nombre de pages
118
Coordonnées du fabricant
non disponible
Personne responsable
non disponible