Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall
(2018) NEKN02 20181Department of Economics
- Abstract
- Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. This is done using a bivariate time series model and involves estimation of time varying conditional correlations via an asymmetric DCC GARCH model. The banks’ MES series are compared to those of several indicators of systemic distress pre- and post-crisis. The indicators utilised here are the Early Warning Indicators of financial crises published by the Bank for International Settlements. The comparison is done by performing linear time series... (More)
- Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. This is done using a bivariate time series model and involves estimation of time varying conditional correlations via an asymmetric DCC GARCH model. The banks’ MES series are compared to those of several indicators of systemic distress pre- and post-crisis. The indicators utilised here are the Early Warning Indicators of financial crises published by the Bank for International Settlements. The comparison is done by performing linear time series regressions of the banks’ MES on the Early Warning Indicators and assessing changes in magnitude and their significance by examining the resulting parameters pre- and post-crisis. Supplementary, congeneric regressions of the US banks’ MES series on a selection of bank specific indicators of potential systemic impact are performed as well. Ultimately, the obtained results are largely contradictory and lack validity so that no conclusive verdict can be achieved in this instance. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8957628
- author
- Schmidt, Richard LU
- supervisor
- organization
- course
- NEKN02 20181
- year
- 2018
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Systemic Risk, Systemically Important Banks, Marginal Expected Shortfall, Dynamic Conditional Correlation, GARCH
- language
- English
- id
- 8957628
- date added to LUP
- 2018-09-24 14:02:31
- date last changed
- 2018-09-24 14:02:31
@misc{8957628, abstract = {{Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. This is done using a bivariate time series model and involves estimation of time varying conditional correlations via an asymmetric DCC GARCH model. The banks’ MES series are compared to those of several indicators of systemic distress pre- and post-crisis. The indicators utilised here are the Early Warning Indicators of financial crises published by the Bank for International Settlements. The comparison is done by performing linear time series regressions of the banks’ MES on the Early Warning Indicators and assessing changes in magnitude and their significance by examining the resulting parameters pre- and post-crisis. Supplementary, congeneric regressions of the US banks’ MES series on a selection of bank specific indicators of potential systemic impact are performed as well. Ultimately, the obtained results are largely contradictory and lack validity so that no conclusive verdict can be achieved in this instance.}}, author = {{Schmidt, Richard}}, language = {{eng}}, note = {{Student Paper}}, title = {{Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall}}, year = {{2018}}, }