Sökning: "Systemic risk modeling"

Hittade 3 uppsatser innehållade orden Systemic risk modeling.

  1. 1. Network Connectedness in Financial Markets

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

    Författare :Andrea Marcolini; [2024]
    Nyckelord :Systemic risk modeling; US REITs connectedness; S P 500 connectedness; Returns and realized volatilities prediction;

    Sammanfattning : 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. LÄS MER

  3. 2. Comparing methods for identifying G-SIBs in Europe

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Emil Johnsson; [2018-07-04]
    Nyckelord :Risk Analysis; Basel Accords; Financial Regulation; Simulation Modeling; Volatility Forecasting; Risk Assessment; Bank Regulation;

    Sammanfattning : 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. LÄS MER

  4. 3. Portfolio Credit Risk Modeling during the Subprime Crisis

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

    Författare :Erik Svensson; [2011]
    Nyckelord :Portfolio credit risk modeling; Subprime crisis; Credit derivatives; Dynamic default modeling; Synthetic CDO;

    Sammanfattning : 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. LÄS MER