Three Essays on Bank Risks
Author | : Jian Hu |
Publisher | : |
Total Pages | : 147 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Three Essays on Bank Risks Book in PDF, ePub and Kindle
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Three Essays On Bank Risks PDF full book. Access full book title Three Essays On Bank Risks.
Author | : Jian Hu |
Publisher | : |
Total Pages | : 147 |
Release | : 2002 |
Genre | : |
ISBN | : |
Author | : Marlene Karl-Titze |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
Author | : Jian Hu |
Publisher | : |
Total Pages | : 324 |
Release | : 1999 |
Genre | : |
ISBN | : |
Author | : Amir Hossein Khalilzadeh Naghneh |
Publisher | : |
Total Pages | : 151 |
Release | : 2018 |
Genre | : |
ISBN | : |
Thèse. HEC. 2018
Author | : Razvan Eduard Vlahu |
Publisher | : |
Total Pages | : 210 |
Release | : 2011 |
Genre | : |
ISBN | : 9789036102285 |
Author | : Sylvain Benoit |
Publisher | : |
Total Pages | : 0 |
Release | : 2014 |
Genre | : |
ISBN | : |
Systemic risk has played a key role in the propagation of the last global financial crisis. A large number ofsystemic risk measures have been developed to quantify the contribution of a financial institution to thesystem-wide risk. However, numerous questions about their abilities to identify Systemically ImportantFinancial Institutions (SIFIs) have been raised since systemic risk has multiple facets, and some of themare difficult to gauge, such as the commonalities across financial institutions.The main goal of this dissertation in finance is thus (i) to propose an empirical solution to identifydomestic SIFIs, (ii) to compare theoretically and empirically different systemic risk measures, and (iii)to measure changes in banks' risk exposures.First, chapter 1 offers an adjustment of three market-based systemic risk measures, designed in a globalframework, to identify domestic SIFIs. Second, chapter 2 introduces a common framework in whichseveral systemic risk measures are expressed and compared. It is theoretically shown that those systemicrisk measures can be expressed as function of traditional risk measures. The empirical application confirmsthese findings and shows that these measures fall short in capturing the multifaceted nature of systemicrisk. Third, chapter 3 proposes the Factor Implied Risk Exposures (FIRE) methodology which breaksdown a change in risk disclosure into a market volatility component and a bank-specific risk exposurecomponent. This chapter empirically illustrates that changes in risk exposures are positively correlatedacross banks, which is consistent with banks exhibiting commonality in trading.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : |
ISBN | : |
Author | : Jiaxuan Wang |
Publisher | : |
Total Pages | : 0 |
Release | : 2023 |
Genre | : |
ISBN | : |
Author | : Cheong-Seok Chang |
Publisher | : |
Total Pages | : 234 |
Release | : 2006 |
Genre | : Credit analysis |
ISBN | : |
Author | : Tingwei Wang |
Publisher | : |
Total Pages | : 152 |
Release | : 2016 |
Genre | : |
ISBN | : |
This thesis studies sovereign credit risk and its impact on banks and industrial firms. The first essay shows that bank credit risk is linked to sovereign credit risk through common exposure to systemic risk instead of implicit bailout or excessive holding of home country bonds. In the second essay, I build a trade-off model of capital structure which predicts negative correlation between optimal leverage of big firms and sovereign credit risk due to implicit bailout. The model prediction is confirmed by empirical evidence from firms in the euro area. The third essay provides a joint pricing model of CDS and bond to disentangle the default and liquidity component in CDS spread and bond yield spread. I find a remarkable liquidity component in the CDS spreads of peripheral euro area countries and conclude that ignoring CDS illiquidity leads to overestimation of default component in bond yield.