Essays about: "Dominika Krygier"

Found 2 essays containing the words Dominika Krygier.

1. 1. Measuring systemic risk in the Nordic countries - An application of CoVaR

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Dominika Krygier; [2014]
   Keywords : systemic risk; VaR; spillover effects; CoVaR; quantile regression; Business and Economics;

   Abstract : Spillover effects and systemic risk contribution of institutions, as measured by their CoVaR and delta-CoVaR respectively, is one way of assessing risk both for an institution in isolation, as well as for regulators and the economy as a whole. CoVaR is the q%-VaR of an institution conditional on another institution already being at its q%-VaR level, whereas delta-CoVaR measures each institution’s marginal risk contribution. READ MORE

3. 2. The effect of credit rating announcements on CDS spreads - an empirical study of the European, American and Asian-Pacific CDS markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Dominika Krygier; [2013]
   Keywords : Credit rating; credit default swap spread; credit risk; event study; Moody’s; Business and Economics;

   Abstract : Credit default swap spreads and credit ratings are two indicators and measures of credit risk. A credit default swap is a type of financial derivative that protects the holder from any losses incurred by the reference entity in the case of a negative credit event, in return for an annual premium, the spread. READ MORE