Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis

Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis

Show other versions (1)

碩士 === 國立政治大學 === 經濟學系 === 105 === After the Financail Crisis of 2007-2009, there have been rich research about systemic risk analysis, and this work focus on financial industry in Taiwan. According to Adrian et al.(2016)、 Acharya et al.(2012)and Brownlees et al.(2012), we consider four measures for...

Full description

Bibliographic Details
Main Author: 郭冠麟
Other Authors: 徐士勛
Format: Others
Language:zh-TW
Online Access:http://ndltd.ncl.edu.tw/handle/etn6r8
id ndltd-TW-105NCCU5389021
record_format oai_dc
spelling ndltd-TW-105NCCU53890212018-05-13T04:29:21Z http://ndltd.ncl.edu.tw/handle/etn6r8 Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis 台灣金控的系統風險：模型建構與實證分析 郭冠麟 碩士 國立政治大學 經濟學系 105 After the Financail Crisis of 2007-2009, there have been rich research about systemic risk analysis, and this work focus on financial industry in Taiwan. According to Adrian et al.(2016)、 Acharya et al.(2012)and Brownlees et al.(2012), we consider four measures for systemic risk,they are MES、SRISK、Delta CoVaR-DCC and CoVaR-Quantile. We demonstrate how to compare four different measures , and display the ranking of the Systemically Im- protant Financial Institutions (SIFs) based on the resulting SRISK, for Taiwanese holding companies. Finally , we also dicuss the individual and macroeconomic effects on systemic risk by using panel data regression . 徐士勛 學位論文 ; thesis 42 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 國立政治大學 === 經濟學系 === 105 === After the Financail Crisis of 2007-2009, there have been rich research about systemic risk analysis, and this work focus on financial industry in Taiwan. According to Adrian et al.(2016)、 Acharya et al.(2012)and Brownlees et al.(2012), we consider four measures for systemic risk,they are MES、SRISK、Delta CoVaR-DCC and CoVaR-Quantile. We demonstrate how to compare four different measures , and display the ranking of the Systemically Im- protant Financial Institutions (SIFs) based on the resulting SRISK, for Taiwanese holding companies. Finally , we also dicuss the individual and macroeconomic effects on systemic risk by using panel data regression .
author2 徐士勛
author_facet 徐士勛
郭冠麟
author 郭冠麟
spellingShingle 郭冠麟
Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis
author_sort 郭冠麟
title Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis
title_short Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis
title_full Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis
title_fullStr Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis
title_full_unstemmed Measuring systemic risk of the financial holding companies in Taiwan : models and empirical analysis
title_sort measuring systemic risk of the financial holding companies in taiwan : models and empirical analysis
url http://ndltd.ncl.edu.tw/handle/etn6r8
work_keys_str_mv AT guōguānlín measuringsystemicriskofthefinancialholdingcompaniesintaiwanmodelsandempiricalanalysis
AT guōguānlín táiwānjīnkòngdexìtǒngfēngxiǎnmóxíngjiàngòuyǔshízhèngfēnxī
_version_ 1718638528250773504

Similar Items