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Essays on Systemic Risk and Stock Market Contagion
Company: Universität zu Köln
Year Of Publication: 2014
Month Of Publication: January
Pages: 159
Download Count: 3
View Count: 1010
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 2-18-2014
Publisher: Administrator
Summary
This thesis consists out of three essays on systemic risk in the banking system and stock market contagion. The first essay investigates which type of systemic risk, common shocks or contagion. dominated in the banking system at the onset of the Subprime Crisis and thus contributes to the literature on the distinction of contagion and common shocks. The second essay contributes to the literature on the assessment of systemic risk measures and to the literature on CoVaR, MES, and the related SRISK measure. In a first step, we implement these three prominent systemic risk measures in a DCC GARCH framework. The third contributes to the literature on international stock market contagion. Employing a data set of 4,350 international stocks in 13 countries, we investigate pre-and post-event cross-market correlation on national and international stock markets following the Japanese Tohoku5 earthquake on March 11, 2011.
Author(s)
Wewel, Claudio N. Sign in to follow this author
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