Sökning: "CoVaR"

Hittade 2 avhandlingar innehållade ordet CoVaR.

1. 1. Essays on systemic risk and financial market volatility

   Författare :Dominika Krygier; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; systemic risk; Volatility; Volatility forecasting; Bitcoin; implicit guarantees; Financial stability; Leverage; Value-at-Risk; CoVaR; networks; Centrality; interconnectedness; Financial crisis; Stock market; Banks; Financial Markets;

   Sammanfattning : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. LÄS MER

3. 2. Essays on Systemic Risk in European Banking

   Författare :Hassan Sabzevari; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Systemic Risk; CoVaR; GIIPS; Quantile Regression; DCC; CDS;

   Sammanfattning : This thesis makes a contribution to systemic risk literature in the European banking system. The intimate interdependence between the European banking industries and the fragile GIIPS debt market has jeopardized the banking sector in Europe. LÄS MER