Sökning: "delta CoVaR"

Hittade 2 uppsatser innehållade orden delta CoVaR.

1. 1. 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

3. 2. Measuring systemic risk in the Nordic countries - An application of CoVaR

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Dominika Krygier; [2014]
   Nyckelord :systemic risk; VaR; spillover effects; CoVaR; quantile regression; Business and Economics;

   Sammanfattning : Spillover effects and systemic risk contribution of institutions, as measured by their CoVaR and delta-CoVaR respectively, is one way of assessing risk both for an institution in isolation, as well as for regulators and the economy as a whole. CoVaR is the q%-VaR of an institution conditional on another institution already being at its q%-VaR level, whereas delta-CoVaR measures each institution’s marginal risk contribution. LÄS MER