Dissertations / Theses on the topic 'Conditional systemic risk measure'
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DOLDI, ALESSANDRO. "EQUILIBRIUM, SYSTEMIC RISK MEASURES AND OPTIMAL TRANSPORT: A CONVEX DUALITY APPROACH." Doctoral thesis, Università degli Studi di Milano, 2021. http://hdl.handle.net/2434/812668.
Full textHoffmann, Hannes [Verfasser], and Thilo [Akademischer Betreuer] Meyer-Brandis. "Multivariate conditional risk measures : with a view towards systemic risk in financial networks / Hannes Hoffmann ; Betreuer: Thilo Meyer-Brandis." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2017. http://d-nb.info/1137835222/34.
Full textBjarnadottir, Frida. "Implementation of CoVaR, A Measure for Systemic Risk." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102684.
Full textARDUCA, MARIA. "Measures of Risk: valuation and capital adequacy in illiquid markets, and systemic risk." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2021. http://hdl.handle.net/10281/307643.
Full textIn this thesis, we study pricing and risk measures in markets with frictions, and systemic risk measures. All along the thesis, we focus on uniperiodal market models. In the first chapter, we consider a model with convex transaction costs at initial time, convex portfolio constraints and convex acceptance set that reflects the preferences of an agent who acts as a buyer in the market. We define the set of market consistent prices for every conceivable payoff, where consistent is meant with respect to the market and the preferences of the buyer. We show that the supremum of this set coincides with the well-known superreplication price, this giving to this functional an interpretation that goes beyond the classical hedging explanation. We develop an extension of the Fundamental Theorem of Asset Pricing in a context where arbitrages are replaced by acceptable deals (i.e. the positive cone is replaced by the acceptance set) and prices are not linear. This allows to characterize, under suitable assumptions, the set of market consistent prices of any payoff. In the second chapter, we consider an abstract economy with transaction costs both at initial time and at maturity, and portfolio constraints. We do not assume convexity a priori, tough some results hold only under convexity assumptions. An external regulator fixes the acceptance set, that is the set of possible agent's capital positions that he deems acceptable from a risk perspective. We define capital adequacy rules that generalize the coherent risk measures of Artzner, Delbaen, Eber and Heath (1999) in that they represent the minimum amount that the agent has to invest in the market in order to reach the acceptability requirements. The chapter aims to study the properties of these generalized risk measures. In particular, we establish conditions on the portfolios ensuring that they are lower semicontinuous, and we compare these conditions with no-acceptable deal type assumptions. In convex and quasi convex case, we also provide a dual representation of the functionals of interest. In the third chapter we establish dual representations of systemic risk measures. We model interactions among a finite number of institutions through an aggregation function, and we assume that a regulator fixes a set of acceptable aggregated positions. Systemic risk is estimated as the minimum amount of capital that has to be injected in the system (before or after aggregation) in order to make the aggregated position acceptable. Hence, we deal with systemic risk measures of both ``first allocate, then aggregate'' and ``first aggregate, then allocate'' type. In both cases, we provide a detailed analysis of the corresponding systemic acceptance sets and their support functions. Our general results cover some specific cases already studied in literature. The same approach delivers a simple and self-contained proof of the dual representation of utility-based risk measures for univariate positions.
Kouaissah, Noureddine. "Financial Applications of the Conditional Expectation." Doctoral thesis, Università degli studi di Bergamo, 2017. http://hdl.handle.net/10446/77164.
Full textKarniychuk, Maryna. "Comparing Approximations for Risk Measures Related to Sums of Correlated Lognormal Random Variables." Master's thesis, Universitätsbibliothek Chemnitz, 2007. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200700024.
Full textDrapeau, Samuel. "Risk preferences and their robust representation." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2010. http://dx.doi.org/10.18452/16135.
Full textThe goal of this thesis is the conceptual study of risk and its quantification via robust representations. We concentrate in a first part on context invariant features related to this notion: diversification and monotonicity. We introduce and study the general properties of three key concepts, risk order, risk measure and risk acceptance family and their one-to-one relations. Our main result is a uniquely characterized dual robust representation of lower semicontinuous risk orders on topological vector space. We also provide automatic continuity and robust representation results on specific convex sets. This approach allows multiple interpretation of risk depending on the setting: model risk in the case of random variables, distributional risk in the case of lotteries, discounting risk in the case of consumption streams... Various explicit computations in those different settings are then treated (economic index of riskiness, certainty equivalent, VaR on lotteries, variational preferences...). In the second part, we consider preferences which might require additional information in order to be expressed. We provide a mathematical framework for this idea in terms of preorders, called conditional preference orders, which are locally compatible with the available information. This allows us to construct conditional numerical representations of conditional preferences. We obtain a conditional version of the von Neumann and Morgenstern representation for measurable stochastic kernels and extend then to a conditional version of the variational preferences. We finally clarify the interplay between model risk and distributional risk on the axiomatic level.
Luo, Fei-Shan, and 羅妃珊. "Risk Measure, Conditional VaR and the Performance of Portfolio Optimization." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/k8u57r.
Full text國立虎尾科技大學
經營管理研究所
96
Since the return volatility of financial assets plays an important role on the performance of portfolios, investors can improve the performance of their portfolios by controlling the volatility of their assets. Therefore, this study examines the influence of the risk estimation on the performance of portfolios. The data used in this study consists of daily returns of the 150 listed companies in the TSEC Taiwan 50 index and TSEC Taiwan Mid-Cap 100 Index and spans from June, 2003 to April, 2008. Under the framework of the fixed window approach, three risk measures, namely the equally weighted moving average model, the exponentially weighted moving average model, and the bootstrap simulation model, are employed to predict the Value-at-Risk and the Conditional Value-at-Risk of the portfolios. After solving the minimization problems of the Conditional Value-at-Risk of the portfolios, the optimal portfolios could be held and their performances could then be compared. The results of this study are shown as follows: (1) All of the optimal portfolios built by minimizing the Conditional Value-at-Risk, which are calculated by different risk measures, have better performance than that of the Taiwan Stock Exchange Capitalization Weighted Stock Index. (2) The estimates of the Value-at-Risk and Conditional Value-at-Risk predicted by different risk measures have crucial influence on the performance of the optimal asset allocation. When the confidence level is 95%, the bootstrap simulation model seems to have the best performance in the risk measures. In case of the 99% confidence level, equally weighted moving average model is the best one among the risk measures.
Yang, Te-Chun, and 楊德淳. "To Measure the Systemic Risk of Financial Institution in Taiwan." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/33884682254869989221.
Full text陳嘉祺. "The Valuation and Risk Measure of CDO-Squared under Conditional Independence." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/06886322499539142453.
Full text國立政治大學
金融研究所
95
In this paper we address the pricing issues of CDO of CDOs. Underlying the conditional indepdence assumption we use the factor copula approach to characterize the correlation of defaults events. We provide an efficient recursive algorithm that constructs the loss distribution. Our algorithm accounts for the number of defaults, the location of defaults among inner CDOs, and in addition the degree of overlapping between inner CDOs. Our algorithm is a natural extension of the probability bucketing method of Hull and White (2004). We analyze the sensitivity of different parameters on the tranche spreads of a CDO-squared, and in order to characterize the risk-reward profiles of CDO-squared tranches, we introduces appropriate risk measures that quantify the degree of overlapping among the inner CDOs. Hull and White (2004) presents a recursive scheme known as probability bucketing approach to construct conditional loss distribution of CDO. However, this approach is insufficient to capture the complexities of CDO². In the case of the modeling of CDO, we are concerned for the probabilities of different number of defaults upon a time horizon t, e.g., the probabilities of 3 defaults happened within a year. With the mentioned probabilities, we can then calculate the expected loss within the time horizon, which enables us to figure out the spreads of CDO. However, in the modeling of CDO², an appropriate valuation should be able to overcome two more difficulties: (1) the overlapping structure of the underlying CDOs, and (2) the location where defaults happened, in order to get the fair spreads of CDO².
Cong, Jianfa. "Risk Measure Approaches to Partial Hedging and Reinsurance." Thesis, 2013. http://hdl.handle.net/10012/8163.
Full textFerreira, Bárbara Mendes. "The effects of systemic risk in Portugal: A CoVaR approach." Master's thesis, 2020. http://hdl.handle.net/10071/21231.
Full textNo contexto da globalização financeira, a Grande Recessão aumentou o interesse na medição do risco sistémico. O principal objetivo desta dissertação é o estudo do risco sistémico no sistema financeiro português entre 02/06/2003 e 30/06/2020. Especificamente, é analisado o impacto da crise dos bancos portugueses no sistema financeiro nacional e as repercussões de uma crise no sistema financeiro português nos bancos nacionais. Para esse efeito, é utilizado como medida de risco sistémico o ΔCoVaR. Adicionalmente, o teste "bootstrap" KS é aplicado para determinar a precisão estatística das estimativas de ΔCoVaR e para ordenar os bancos de acordo com a sua importância e a sua vulnerabilidade sistémica. Ao longo da dissertação são utilizadas várias metodologias para obter os retornos dos bancos e o VaR de forma a analisar a sensibilidade dos valores de ΔCoVaR e VaR estimados. Os resultados empíricos mostram que nenhum banco português pode ser considerado sistemicamente importante ou vulnerável no período analisado. No entanto, entre os bancos considerados, todos apresentam uma maior contribuição para o risco sistémico do sistema e uma maior vulnerabilidade aos choques do sistema no contexto da Grande Recessão. Adicionalmente, o BES e o BNF são mais vulneráveis ao sistema na última fase dos seus ciclos de vida. Entre 02/06/2003 to 13/10/2010, o BCP é o banco que contribui mais para o risco do sistema e o mais vulnerável aos impactos do sistema. Por fim, as estimativas de ΔCoVaR e VaR revelaram-se sensíveis às metodologias utilizadas para calcular os retornos dos bancos e o VaR.
Hledik, Juraj, and Riccardo Rastelli. "A dynamic network model to measure exposure diversification in the Austrian interbank market." 2018. http://epub.wu.ac.at/6579/1/network.pdf.
Full textKarniychuk, Maryna. "Comparing Approximations for Risk Measures Related to Sums of Correlated Lognormal Random Variables." Master's thesis, 2006. https://monarch.qucosa.de/id/qucosa%3A17598.
Full textMuzikářová, Ivana. "Měření systémového rizika v časově-frekvenční doméně." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-347214.
Full textWeng, Chengguo. "Optimal Reinsurance Designs: from an Insurer’s Perspective." Thesis, 2009. http://hdl.handle.net/10012/4766.
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