Sökning: "Systemic risk"

Visar resultat 1 - 5 av 158 uppsatser innehållade orden Systemic risk.

  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. Shareholder Advantage and Short-Term Leverage

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

    Författare :Nikola Pajkic; Pratik Kulkarni; [2023]
    Nyckelord :Bargaining; Default; Debt maturity structure; Rollover risk;

    Sammanfattning : We find a correlational relationship between proxies of shareholder bargaining power and liquidation costs (indicating the value extraction ability of shareholders from debtholders in reorganization in default) and short-term leverage. Theoretical literature suggests to us that firms with higher shareholder advantage will reduce their short-term leverage to a greater extent than those with lower shareholder advantage (due to shareholders disliking commitment to rollover risk) in a systemic shock to bond market liquidity, i. LÄS MER

  4. 3. CARs In the Driver’s Seat: The Battle Between Capital and Stock Performance

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Léo Fégeant; Alice Beer; [2023]
    Nyckelord :Capital Adequacy Ratio; Capital Requirements; Stock Returns; Basel-III; Business and Economics;

    Sammanfattning : After the financial crisis of 2008, the Basel Committee on Banking Supervision created the latest Accord for capital requirements: The Basel III Accord. Basel III set higher requirements for both quantity and quality of capital, with the aim to mitigate systemic risk. LÄS MER

  5. 4. Reflective equilibrium applied in practice: Identifying climate migration environmental drivers in Guatemala for the further prioritization of Loss and Damage strategies

    Master-uppsats, Uppsala universitet/Institutionen för geovetenskaper

    Författare :Rebeca Montes; [2023]
    Nyckelord :Climate Migration; Compensation; Environmental Drivers; Ethics; Financial Prioritization; Guatemala; Justice; Loss and Damage; Sustainable Development;

    Sammanfattning : The climate crisis has forced vulnerable countries in the Global South, such as Guatemala, to migrate. This study has two main focuses. The first one is identifying the region's most critical environmental mobility drivers. LÄS MER

  7. 5. Capturing time variation within systemic risk estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christian Hovstadius; Baltsar Lindgren; [2023]
    Nyckelord :Systemic risk; CoVaR; State variables; Lasso; PCA; Business and Economics;

    Sammanfattning : Systemic risk can be defined as the risk to the whole financial system. Financial institutions may contribute more or less to this risk, and measuring the systemic risk contributions of institutions is of central importance for regulators. LÄS MER