Detail práce

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

Autor: Mgr. Matěj Nevrla
Rok: 2016 - letní
Vedoucí: doc. PhDr. Jozef Baruník Ph.D.
Konzultant:
Typ práce: Diplomová
Ekonomická teorie
Jazyk: Anglicky
Stránky: 92
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/165863/
Abstrakt: 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.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY