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Books Frontpage Modelling systemic risk in financial markets.
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Features:

  • Pages: 118
  • Format: 24x17x1,00 cm
  • Edition Date: 2017
  • Edition: 1
  • Language: Castellano.
  • Binding: Tapa blanda o Bolsillo - Cosido - Con solapas.
  • Weight: 0,33 kg.

  • Modelling systemic risk in financial markets.

  • 9788481028034

  • Author: Andrea Ugolini

  • 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.
  • 23,00 USD

  • * Free shipping to US.


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