Essays about: "Systemic risk modeling"
Found 3 essays containing the words Systemic risk modeling.
-
1. Network Connectedness in Financial Markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper is a collection of two different theses discussing the prediction of the returns and volatilities of the S&P 500 constituents and of US Real Estate Investment Trusts (REITs) by analyzing their centrality within the financial market network. Both empirical works summarize the relevant financial and network literature, demonstrating how modeling stock connectedness within financial markets makes it possible to create returns and volatility predictors, improving investors' portfolio allocations and achieved investment Sharpe ratios. READ MORE
-
2. Comparing methods for identifying G-SIBs in Europe
University essay from Göteborgs universitet/Graduate SchoolAbstract : The extra loss absorbency requirement for global systemically important banks (G-SIBs) is one of the macroprudential reforms in Basel III aimed at lowering the systemic risk in the financial system. Systemic risk is difficult to define and measure and academics have proposed alternative ways to measure banks' systemic importance. READ MORE
-
3. Portfolio Credit Risk Modeling during the Subprime Crisis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Dependence, or correlation, modeling was at the heart of the last decade's booming market for complex, multi-underlying credit derivatives. Portfolio credit risk and pricing models were used for trading, structuring and rating of such derivatives and securities. READ MORE