Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 89 for “"Systemic risk"”.
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Essays on measuring systemic risk
… 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 …
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Systemic Risk in Financial Networks
… used the network model based approach to study systemic risk in financial networks. In particular, I have worked on generalized extensions of the Eisenberg--Noe [2001] framework to account for realistic financial situations viz. pricing of corporate debt while accounting for network effects, …
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Systemic risk in financial networks
<p>This thesis extends the literature of systemic risk in financial networks in two directions.</p> <p>First, we develop a majorization-based tool to compare financial networks in terms of systemic losses with a focus on the implications of liability concentration. Specifically, we quantify …
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Essays in Banking and Systemic Risk
… is a collection of three papers on banking and systemic risk. The first chapter develops a multi-objective optimization framework for banks’ securities portfolios, considering both individual and systemic risk. The findings show that while diversification can reduce individual risk, including …
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Essays on Bank Acquisitions and Systemic Risk
… of two chapters on bank acquisitions and systemic risk.</p> <p><strong>Chapter 1:</strong> This chapter explores whether bank acquisitions are associated with systemic risk-shifting. Acquisitions can form larger and more diversified firms and, as such, increase the correlation of the …
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Contagion and Systemic Risk in Financial Networks
… shed light on the importance of contagion and systemic risk, and revealed the lack of adequate indicators for measuring and monitoring them. This dissertation addresses these issues and leads to several recommendations for the design of an improved assessment of systemic importance, improved …
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Essays on derivatives markets and systemic risk
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2025-10-19 without embargo terms
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Systemic risk in the interbank lending market
… of network structure and shock scenarios on systemic risk in the market. We consider shocks of various sizes at both global and local scales. In terms of risk measures, we study relative systemic loss and the default rate, separating the latter quantity into fundamental default and contagion. …
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Essays on European Banks' Consolidation, Integration and Systemic Risk
… the second essay, first, we find that acquirers’ systemic risk increased significantly after M&As. Second, we identify that acquirers from more integrated banking markets will have higher systemic risk after M&As. Third, we recognize that size, product diversification, asset quality, capital …
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Hierarchical modeling of systemic risk via mean field games
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2027-05-01
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The Systemic Risk of Consolidation in the Cloud Computing Industry
… bowtie analysis to frame for discussion the key risks related to cloud computing. This framework is used to analyze how the economic risks of compromise and unavailability have changed with a shift from on premise computing to cloud computing. A normative systems analysis examines the policy …
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Optimal monitoring and mitigation of systemic risk in lending networks
… thesis proposes optimal policies to manage systemic risk in financial networks. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the problem of allocating a fixed amount of cash among the nodes to minimize the …
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Three Essays on Systemic Risk and Rating in Crop Insurance Markets
… unbiased rates. Specifically, constant relative risk through time and other restrictive requirements are required. These requirements are tested against a unique farm-level data set. The results indicate that the conditions required for the LCR to produce unbiased rates are violated for a large …
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Systemic risk, financial stability, and macroprudential policy responses in emerging African economies
… The main objective of this study is to measure systemic risk in African emerging economies and develop a macroprudential regulatory framework to mitigate or limit the effect of such risk. More specifically, the study intends to1) Developing financial stress index (FSI) for the Emerging African …
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ESSAYS ON INTERBANK NETWORKS AND SYSTEMIC RISK IN THE EUROPEAN UNION BANKING SECTOR
… correlated assets, the valuation of counterparty risk, and banks' diversification into non-traditional sources of revenue are potential channels amplifying contagion. This thesis, therefore, examines factors that contribute to systemic risk in the European Union banking sector. First, we …
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Individual and systemic risk trade-offs induced by information barriers in the financial system
Investment diversification is a risk management technique that allows to create balanced portfolios that achieve a certain rate of return on one's investment, within a certain risk allowance. Despite the advantages it offers to investors, diversification has been strongly debated in the aftermath …
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Applications of Network Analyses to Systemic Risk in Financial Systems and to Macroeconomic Growth and Volatility
… literature in two ways. First, by extending the systemic risk analysis in Markose et al (2017) to quantify the implied loss in case of failure of the systemically most important banking system. For this, I use the Eigen-pair method of Markose-Giansante with the maximum eigen-value yielding the …
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Application of Agent-Based Modeling: Simulating Financial Systemic Risk and Contagion within Housing and Financial Markets
… presents an agent-based model (ABM) to model systemic risk in the housing and financial markets from 1986 to 2017 and provides a unique approach to simulating the financial market along with demonstrating the phenomenon of emergence resulting from the interconnected-behavior of consumers, …
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Investigating Systemic Risk with Co-occurrence Networks – Studies from the fields of sovereign bond and energy markets
… are interconnected by a common research theme, systemic risk. The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network This study investigates the sovereign yield curve network of 12 developed countries. The term structure of interest rates …
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