Sökning: "Systemic risk - Network - Contagion - Banks - VAR"
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1. Networks of spillover effects to spot systemic risk in the banking industry: testing Granger causality in a high dimensional VAR model
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In this essay the evolution of global systemic risk is investigated by creating networks (and communities) of contagion among 88 banks that are deemed systemically important on a global level (particularly western economy). The contagion is defined by a Granger Causality relation between two individuals in the network, this is tested using the Post double selection method described in Margartitella et al. LÄS MER
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