MODELLING SYSTEMIC RISK IN FINANCIAL MARKETS

- CUADERNOS DE INVESTIGACIÓN UCEIF. NÚMERO 20/2016. This dissertation provides a study on systemic risk in financial markets; it is laid out as follows. Chapter 1 provides a survey of the quantitative measure of systemic risk in the economics and finance literature. In Chapter 2 examine, using conditional VaR (CoVaR), the systemic risk generated by major Spanish financial institutions in the recent global financial crisis and the European sovereign debt crisis as a systemic risk measure. CoVaR wa... | Paginas: 120 | Medidas: 24 x 17