Work detail

Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach

Author: Mgr. Matěj Nevrla
Year: 2016 - summer
Leaders: doc. PhDr. Jozef Baruník Ph.D.
Consultants:
Work type: Economic Theory
Masters
Language: English
Pages: 92
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/165863/
Abstract: In the thesis we perform analysis of systemic risk in the financial and energy
sector in Europe. As the econometric tool for estimating dependencies across
the subjects we employ factor copula model with GAS dynamics of Oh & Patton
(2013b). We apply this model to daily CDS spreads. Based on the estimated
results we perform Monte Carlo simulations in order to obtain future values
of CDS spreads and measure probability of systemic events. We conclude that
substantially higher systemic risk is present within the financial sector. We also
find that the most systemic companies from both sectors come from Spain.
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