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Author: Majeed Simaan
Publisher:
ISBN:
Category :
Languages : en
Pages : 352
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Book Description
Author: Majeed Simaan
Publisher:
ISBN:
Category :
Languages : en
Pages : 352
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Book Description
Author: Anton Yanochkin
Publisher:
ISBN:
Category :
Languages : en
Pages : 115
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Book Description
Thèse. HEC. 2012
Author: Mark Kurt Pyles
Publisher:
ISBN:
Category :
Languages : en
Pages : 198
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Author: Sylvain Benoit
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Systemic risk has played a key role in the propagation of the last global financial crisis. A large number ofsystemic risk measures have been developed to quantify the contribution of a financial institution to thesystem-wide risk. However, numerous questions about their abilities to identify Systemically ImportantFinancial Institutions (SIFIs) have been raised since systemic risk has multiple facets, and some of themare difficult to gauge, such as the commonalities across financial institutions.The main goal of this dissertation in finance is thus (i) to propose an empirical solution to identifydomestic SIFIs, (ii) to compare theoretically and empirically different systemic risk measures, and (iii)to measure changes in banks' risk exposures.First, chapter 1 offers an adjustment of three market-based systemic risk measures, designed in a globalframework, to identify domestic SIFIs. Second, chapter 2 introduces a common framework in whichseveral systemic risk measures are expressed and compared. It is theoretically shown that those systemicrisk measures can be expressed as function of traditional risk measures. The empirical application confirmsthese findings and shows that these measures fall short in capturing the multifaceted nature of systemicrisk. Third, chapter 3 proposes the Factor Implied Risk Exposures (FIRE) methodology which breaksdown a change in risk disclosure into a market volatility component and a bank-specific risk exposurecomponent. This chapter empirically illustrates that changes in risk exposures are positively correlatedacross banks, which is consistent with banks exhibiting commonality in trading.
Author: Muhammed Altuntas
Publisher:
ISBN:
Category :
Languages : en
Pages : 140
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Author: Zhaowei Wang
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 210
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"This dissertation mainly focuses on asset pricing and risk management in financial markets"--Abstract.
Author: Hoikwang Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 128
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Author: Kai Yao
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Muhammed Altuntas
Publisher:
ISBN:
Category :
Languages : en
Pages : 140
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Author: Soodabeh Sarafrazi
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 284
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Book Description
My dissertation is titled "Economic and Financial Risks in Different Asset Classes and Different Regions," which encompasses three essays on economic activity and financial risks for the United States, interactions between Islamic and conventional stock markets, and downside risks and optimal diversified equity, bond and commodity portfolios for the PIIGs and CORE of the eurozone. The dissertation investigates migration and cascading of the different kinds of risks in the respected financial markets or regions in an economic policy uncertainty and financial stress environment.
