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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.
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Modelling systemic risk in financial markets
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Zustand: New. Idioma/Language: Inglés. 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. *** Nota: Los envíos a España peninsular, Baleares y Canarias se realizan a través de mensajería urgente. No aceptamos pedidos con destino a Ceuta y Melilla. Artikel-Nr. 15600058
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MODELLING SISTEMIC RISK IN FINANCIAL MARKETS
Verlag:
UNIVERSIDAD DE CANTABRIA, CANTABRIA, 2016
ISBN 10: 8481028037
ISBN 13: 9788481028034
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TAPA BLANDA
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Modelling systemic risk in financial markets.
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Zustand: Nuevo. 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. Artikel-Nr. MAR0003657
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Modelling systemic risk in financial markets
Verlag:
Editorial Universidad De Cantabria Apr 2017, 2017
ISBN 10: 8481028037
ISBN 13: 9788481028034
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Taschenbuch. Zustand: Neu. Neuware - 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. Artikel-Nr. 9788481028034
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