Systemic risk, systemic importance and banking sector risk contagion dependencies:
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20120625-1097184-1-5 Inhaltsverzeichnis |
| Physical Description: | IX, 246 Bl. graph. Darst. |
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MARC
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| 100 | 1 | |a Lahmann, Wolfgang |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Systemic risk, systemic importance and banking sector risk contagion dependencies |c Wolfgang Lahmann |
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| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
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Record in the Search Index
| _version_ | 1804149330618089472 |
|---|---|
| adam_text | IMAGE 1
TABLE OF CONTENTS
ABSTRACT I
TABLE OF CONTENTS ILL
L I S T OF ABBREVIATIONS V I I
LIST OF SYMBOLS I X
1 INTRODUCTION 1
1.1 MOTIVATION 1
1 . 2 RESEARCH QUESTIONS AND CONTRIBUTION 2
1.3 STRUCTURE OF ANALYSIS AND UNDERLYING WORKING PAPERS 4
2 RELATED LITERATURE 5
2 . 1 SYSTEMIC R I S K AND SYSTEMIC IMPORTANCE : 5
2.1.1 DEFINITION 5
2.1.2 MEASUREMENT APPROACHES 6
2 . 2 BANKING SECTOR R I S K CONTAGION DEPENDENCIES 9
2.2.1 INTER-REGIONAL SYSTEMIC RISK CONTAGION 10
2.2.2 SOVEREIGN RISK VS. BANKING SECTOR RISK CONTAGION 11
2 . 2 . 3 BANKING SECTOR RISK VS. CORPORATE SECTOR RISK CONTAGION 1 3
3 HYPOTHESES FOR BANKING SECTOR R I S K CONTAGION ANALYSIS 1 4
3.1 INTER-REGIONAL SYSTEMIC R I S K CONTAGION 1 4
3 . 2 SOVEREIGN R I S K VS. BANKING SECTOR R I S K CONTAGION 1 5
3 . 3 BANKING SECTOR R I S K VS. CORPORATE SECTOR R I S K CONTAGION 1 7
III
HTTP://D-NB.INFO/1026297494
IMAGE 2
4 METHODOLOGY 1 9
4 . 1 T H E EXPECTED SYSTEMIC SHORTFALL ( E S S ) METHODOLOGY 1 9
4.1.1 ESTIMATING ASSET RETURN CORRELATIONS FROM EQUITY RETURNS 19
4.1.2 CALCULATING RISK-NEUTRAL PROBABILITIES FROM CDS SPREADS 20
4.1.3 CONSTRUCTING THE SYSTEMIC RISK INDICATOR 22
4.1.4 TECHNICAL COMPARISON WITH OTHER SYSTEMIC RISK MEASURES 24
4 . 2 MEASURING CONTAGION EFFECTS IN FINANCIAL MARKETS 2 7
5 EMPIRICAL D A T A 3 1
5.1 E S S - A N A L Y S I S 3 1
5.1.1 GLOBAL SAMPLE 32
5.1.2 AMERICAN SUB-SAMPLE 34
5.1.3 ASIAN-PACIFIC SUB-SAMPLE 35
5.1.4 EUROPEAN SUB-SAMPLE 36
5.1.5 MIDDLE EASTERN AND RUSSIAN SUB-SAMPLE 37
5.1.6 COMPARATIVE ANALYSIS 38
5 . 2 BANKING SECTOR R I S K CONTAGION DEPENDENCIES 4 1
5.2.1 INTER-REGIONAL SYSTEMIC RISK CONTAGION 41
5.2.2 SOVEREIGN RISK VS. BANKING SECTOR RISK CONTAGION 42
5.2.3 BANKING SECTOR RISK VS. CORPORATE SECTOR RISK CONTAGION 43
6 EMPIRICAL RESULTS 4 6
6 . 1 EXPECTED SYSTEMIC SHORTFALL INDICATOR 4 6
6.1.1 THE AGGREGATE ESS-INDICATOR 46
6.1.1.1 GLOBAL SAMPLE 46
6.1.1.2 AMERICAN SUB-SAMPLE 49
6.1.1.3 ASIAN-PACIFIC SUB-SAMPLE 51
6.1.1.4 EUROPEAN SUB-SAMPLE 53
6.1.1.5 MIDDLE EASTERN AND RUSSIAN SUB-SAMPLE 55
IV
IMAGE 3
6.1.1.6 COMPARATIVE ANALYSIS 57
6.1.2 RISK PREMIUM DETERMINANTS O F THE ESS-INDICATOR 60
6.1.2.1 GLOBAL SAMPLE 61
6.1.2.2 AMERICAN SUB-SAMPLE 62
6.1.2.3 ASIAN-PACIFIC SUB-SAMPLE 63
6.1.2.4 EUROPEAN SUB-SAMPLE 64
6.1.2.5 MIDDLE EASTERN AND RUSSIAN SUB-SAMPLE 64
6.1.2.6 COMPARATIVE ANALYSIS 65
6.1.3 RELATIVE CONTRIBUTION TO THE ESS-INDICATOR 66
6.1.3.1 GLOBAL SAMPLE 66
6.1.3.2 AMERICAN SUB-SAMPLE 68
6.1.3.3 ASIAN-PACIFIC SUB-SAMPLE 69
6.1.3.4 EUROPEAN SUB-SAMPLE 70
6.1.3.5 MIDDLE EASTERN AND RUSSIAN SUB-SAMPLE 71
6.1.3.6 COMPARATIVE ANALYSIS 72
6.1.4 DISCUSSION IN THE CONTEXT O F RELATED RESEARCH 73
6.1.5 POLICY IMPLICATIONS AND RECOMMENDATIONS 74
6 . 2 BANKING SECTOR R I S K CONTAGION DEPENDENCIES 7 8
6.2.1 INTER-REGIONAL SYSTEMIC RISK CONTAGION 78
6.2.1.1 ECONOMETRIC RESULTS 78
6.2.1.2 EVALUATION O F INITIAL HYPOTHESES 81
6.2.2 SOVEREIGN RISK VS. BANKING SECTOR RISK CONTAGION 82
6.2.2.1 REGION-LEVEL ANALYSIS 82
6.2.2.2 COUNTRY-LEVEL ANALYSIS 86
6.2.3 BANKING SECTOR RISK VS. CORPORATE SECTOR RISK CONTAGION 91
6.2.3.1 ECONOMETRIC RESULTS 91
6.2.3.2 EVALUATION O F INITIAL HYPOTHESES 97
7 CONCLUSION 1 0 3
7 . 1 SUMMARY AND IMPLICATIONS 1 0 3
7 . 2 OUTLOOK 1 0 5
V
IMAGE 4
L I S T OF FIGURES 1 0 7
L I S T OF TABLES 1 4 9
BIBLIOGRAPHY 1 9 9
APPENDIX 2 0 8
VI
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| institution | BVB |
| language | English |
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| spelling | Lahmann, Wolfgang Verfasser aut Systemic risk, systemic importance and banking sector risk contagion dependencies Wolfgang Lahmann 2012 IX, 246 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Techn. Univ., Diss., 2012 Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Risikoanalyse (DE-588)4137042-9 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:91-diss-20120625-1097184-1-5 http://mediatum.ub.tum.de/node?id=1097184 Verlag kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20120625-1097184-1-5 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025164206&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lahmann, Wolfgang Systemic risk, systemic importance and banking sector risk contagion dependencies Risikoanalyse (DE-588)4137042-9 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4137042-9 (DE-588)4073788-3 (DE-588)4113937-9 |
| title | Systemic risk, systemic importance and banking sector risk contagion dependencies |
| title_auth | Systemic risk, systemic importance and banking sector risk contagion dependencies |
| title_exact_search | Systemic risk, systemic importance and banking sector risk contagion dependencies |
| title_full | Systemic risk, systemic importance and banking sector risk contagion dependencies Wolfgang Lahmann |
| title_fullStr | Systemic risk, systemic importance and banking sector risk contagion dependencies Wolfgang Lahmann |
| title_full_unstemmed | Systemic risk, systemic importance and banking sector risk contagion dependencies Wolfgang Lahmann |
| title_short | Systemic risk, systemic importance and banking sector risk contagion dependencies |
| title_sort | systemic risk systemic importance and banking sector risk contagion dependencies |
| topic | Risikoanalyse (DE-588)4137042-9 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Risikoanalyse Kreditmarkt Hochschulschrift |
| url | http://mediatum.ub.tum.de/node?id=1097184 https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20120625-1097184-1-5 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025164206&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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