Essays about: "CoVaR"

Showing result 1 - 5 of 7 essays containing the word CoVaR.

  1. 1. Dependence structure and risk spillovers between real estate and stock markets: An application of VMD based time-varying copula approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ran Tao; Xin Yuan; [2018]
    Keywords : Time varying copula; Variational mode decomposition; Risk spillovers; CoVaR; delta CoVaR;

    Abstract : In this thesis, we combine copulas with the variational mode decomposition (VMD) method to explore the dependence structure between real estate and stock market in three countries, namely China, U.S. and Australia. READ MORE

  3. 2. Systemic Risk of China’s Financial Sector: Evidence from the Stock Market

    University essay from Lunds universitet/Ekonomisk-historiska institutionen

    Author : Yixian Liu; [2016]
    Keywords : Systemic Risk; CoVaR; China; Business and Economics;

    Abstract : China, with the fast developing financial market, experienced two dramatic stock market crisis in recent ten years under government constrains. Thus, monitoring the systemic risk in China is crucial and meaningful. This paper applies CoVaR methodology to measure the dynamic systemic risk of China’s financial market from 1996 to 2016. READ MORE

  4. 3. A Study of the Systemic Risk in the Japanese Banking System - An application of the CoVaR method

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Qian Wu; [2015]
    Keywords : Japanese Banking System; Japan; Systemic risk; CoVaR; Business and Economics;

    Abstract : CoVaR is one of the pioneering systemic risk measures proposed during the financial turmoil of 2008, introduced by Adrian and Brunnermeier (2008). It is based on the familiar risk measurement Value-at-Risk (VaR). READ MORE

  5. 4. Nordic Banks - Credit Risk and Risk Linkages

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Erik Mahlanen; Isabel Fransén Eklund; [2015]
    Keywords : banking crisis; probability of default; Merton; Hall and Miles; VaR; CoVaR; Business and Economics;

    Abstract : The recent global financial crisis has once again shown how fragile the financial system is. This essay investigates the credit risk in the Nordic banking sector by measuring the probability of default of the six major Nordic banks. This is done by using the Merton (1974) model which utilizes stock prices as well as balance sheet data. READ MORE

  6. 5. Systemic risk measurement in the Eurozone - A multivariate GARCH estimation of CoVaR

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christian Vogl; [2015]
    Keywords : DCC model; Multivariate GARCH; CoVaR; Systemic risk; Business and Economics;

    Abstract : In this essay the systemic risk contributions of financial institutions in the European Monetary Union are analyzed. For this purpose the CoVaR measure, first introduced by Adrian and Brunnermeier (2011), is applied. READ MORE