krainaksiazek how to measure systemic risk 20124280

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How to measure systemic risk - 2862390645

277,35 zł

How to measure systemic risk LAP Lambert Academic Publishing

Książki / Literatura obcojęzyczna

This research work focuses on the effects of systemic risk to the financial system.The occurence of the 2007-2008 financial crisis has led researchers to develop methods on how to measure systemic risk in financial institution.This work first identifies the proposed approches used to measure systemic risk.These approches are categorised into two i.e the indicator-based measures proposed by regulators and the market-based measures proposed by researches.The indicator-based measures uses the accounting information of the financial institutions while the market-based measures are those that uses public available data of specific instution.The market-based measures discussed in this work includes:MES,CoVaR,CES,SRISK,Delta-CoVaR and Multi-CoVaR.This work also compares the performance of MES and CoVaR measures during the pre-crisis,crisis and post-crisis periods.The analysis uses 74 US publicly traded financial institutions with each having an excess market capitalization of 5 billion as at the end of June 2007.The results shows that the two measures have positive relationship in predicting systemic risk in the three periods,although the relationship not tight in the crisis period.


How To Measure Systemic Risk - 2860619981

239,99 zł

How To Measure Systemic Risk

Książki Obcojęzyczne>Angielskie>Economics, finance, business & management>Business & managementKsiążki Obcojęzyczne>Angielskie>Economic...



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