1 Ofertas Editorial Universidad De Cantabria Modelling Systemic Risk | Las mejores ofertas en línea
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Brand: Editorial Universidad De Cantabria
EAN: 9788481028034
MPN: 9788481028034
Categoría: Libros y revistas
Libro: Modelling systemic risk in financial markets (978-84-8102-803-4) de Ugolini, Andrea (Editorial Universidad de Cantabria ) Comprar Libros de Economía .Economia De Empresas .. 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 was quantified using quantile regression, multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) and copula approaches. We also describe a novel copula-based approach to computing the CoVaR value, given that copula are flexible modellers of joint distribution and are particularly useful for characterizing the tail behaviour that provides such crucial information for the CoVaR. 0
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Editorial Universidad De Cantabria Modelling Systemic Risk In Financial Markets
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Transporte: 2.95 EUR
Brand: Editorial Universidad De Cantabria
EAN: 9788481028034
MPN: 9788481028034
Categoría: Libros y revistas
Libro: Modelling systemic risk in financial markets (978-84-8102-803-4) de Ugolini, Andrea (Editorial Universidad de Cantabria ) Comprar Libros de Economía .Economia De Empresas .. 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 was quantified using quantile regression, multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) and copula approaches. We also describe a novel copula-based approach to computing the CoVaR value, given that copula are flexible modellers of joint distribution and are particularly useful for characterizing the tail behaviour that provides such crucial information for the CoVaR. 0
Compara precios desde:
Editorial Universidad De Cantabria in Libros y revistas
