Sökning: "Systemic risk measures"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden Systemic risk measures.

  1. 1. A Quantitative Evaluation of Systemic Risk in the European Banking Sector

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jimmy Andersson; Anders Svernling; [2020-07-07]
    Nyckelord :Systemic risk measures; Systemic risk contribution; European banking supervision; Risk rankings;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. On Shock Propagation in Financial Networks

    Uppsats för yrkesexamina på avancerad nivå, Lunds universitet/Institutionen för reglerteknik

    Författare :Isabelle Rosenberg; Viktor Svensson; [2018]
    Nyckelord :Technology and Engineering;

    Sammanfattning : This thesis develops a simplified financial network model for an interbank lending system which is then analyzed in terms of contagion when exposed to external liquidity shocks. The aim is to understand how individual institutions and the network structure affect the shock propagation and finding factors that increase respectively decrease the systemic risk of the network. LÄS MER

  3. 3. Antibodies against type II collagen in rheumatoid arthritis. Extended investigations in a large case-control study.

    Master-uppsats, Uppsala universitet/Institutionen för biologisk grundutbildning

    Författare :Eleftheria Pertsinidou; [2018]
    Nyckelord :autoantibodies; rheumatoid arthritis; collagen type II;

    Sammanfattning : Abstract   Introduction Failure in the mechanism of self-tolerance in T or B cells can lead to autoimmunity. One of the autoimmune diseases is rheumatoid arthritis (RA), which is a chronic inflammatory disease of unknown cause and is characterized by systemic inflammation, autoantibodies and joint destruction. LÄS MER

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

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

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

    Sammanfattning : 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. LÄS MER

  5. 5. A  smart beta investment strategy to make risk more transparent : A quantitative study as a contribute to lowering the systemic risk, without sacrifice of return.

    Kandidat-uppsats, Mittuniversitetet/Avdelningen för ekonomivetenskap och juridik

    Författare :Fredrik Kristoffersson; [2017]
    Nyckelord :Smart beta; smart beta strategy; portfolio strategy; risk transparency; indexing investing; CAPM; Stockholmsbörsen; systemic risk;

    Sammanfattning : This study have focused on the creation of a smart beta investment strategy to make risks in terms of beta for individual assets more transparent, and to explore if the constructed portfolios risk in terms of standard deviation significantly gets lower than for different benchmark indexes. The strategy could be used for investors who want to decrease their contribution to systemic risk, without sacrificing return. LÄS MER