Detail práce

Measuring systemic risk in time-frequency domain

Autor: Mgr. Ivana Muzikářová
Rok: 2015 - letní
Vedoucí: doc. PhDr. Jozef Baruník Ph.D.
Konzultant:
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 97
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/147482/
Abstrakt: This thesis provides an analysis of systemic risk in the US banking sector. We
use conditional value at risk (∆CoVaR), marginal expected shortfall (MES)
and cross-quantilogram (CQ) to statistically measure tail-dependence in return
series of individual institutions and the system as a whole. Wavelet multiresolution
analysis is used to study systemic risk in the time-frequency domain. Decomposition
of returns on different scales allows us to isolate cycles of 2-8 days,
8-32 days and 32-64 days and analyze co-movement patterns which would otherwise
stay hidden. Empirical results demonstrate that filtering out short-term
noise from the return series improves the forecast power of ∆CoVaR. Eventually,
we investigate the connection between statistical measures of systemic risk
and fundamental characteristics of institutions (size, leverage, market to book
ratio) and conclude that size is the most robust determinant of systemic risk.

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