Essays on measuring systemic risk

• Κύριος συγγραφέας: Konstantatos, Christoforos
• Άλλοι συγγραφείς: Τσαγκανός, Αθανάσιος
• Μορφή: Thesis
• Γλώσσα: English
• Έκδοση: 2020
• Θέματα: Finance; Banking institution; Measuring; Systemic risk; DCOVAR; SRISK; Extreme correlation; Financial system; Financial risk; Euro area; Lehman Brothers; Financial crisis; Sovereign debt crisis; Χρηματοοικομική; Τραπεζικό ίδρυμα; Μέτρηση; Συστημικός κίνδυνος; Χρηματοοικονομικό σύστημα; Χρηματοοικονομικό κίνδυνος; Ηνωμένες Πολιτείες; Ευρωζώνη; Χρηματοοικονομική κρίση; Κρίση χρέους; 658.155

The present dissertation explores various approaches of measuring the systemic risk, identifying the systemic important banking institutions and exploring extreme equity price movements of euro area banking institutions. It consists three chapters focusing on U.S. and euro area banking institutions. Chapter 2 investigates the contribution and the exposure of banking institutions to systemic risk and compares the systemic measures named (i) Delta Conditional Value at Risk, (ii) Marginal Expected Shortfall and (iii) Systemic RISK. The results indicate that the euro area banking institutions impose the highest risk in financial system (contribution to systemic risk). In addition, they are the most vulnerable banking institution in case of a crisis. Moreover, the banking institutions with the highest expected losses in case of an extreme event are mainly US banking institutions. Chapter 3 examines the cross-Atlantic risk exposures by using Conditional Value at Risk measure to capture the evolution of tail risk dependence. Specifically, Chapter 3 investigates the systemic risk between the US and European Monetary Union banking institutions. The results highlight that the two largest German banking institutions are among the most vulnerable euro area banking institutions to risk exposures derived from US banking institutions which in turn are highly exposed to the three largest French banking institutions. Chapter 4 investigates the tail dependence structure of the twenty-four largest banking institutions in the euro area before and after the Lehman Brothers collapse. The results indicate that in the post-crisis sub-period the level of correlation of negative return exceedances increases substantially amongst banking institutions in the euro area core. However, among the countries which receive rescue packages, the largest banking institutions in Greece and Ireland decline the extreme correlation with almost all the rest of the largest banking institutions in the euro area.