| Popis: |
We introduce a minimum spanning tree framework to describe the risk dependencies and interactions of both total and idiosyncratic risk in the energy sector. We apply the framework to equity and CDS spread data of 51 domestic and 116 international energy firms, both non- renewable and renewable, during 2006-2016. The exploratory, empirical results show that the higher correlations among traditional energy firms during the downside risk events are mostly explained by market and oil factors. Moreover, the market factor is stronger than the oil factor. Meanwhile, the connections between market risk and credit risk in the energy sector is significantly stronger after we eliminate the effect of the factors. |
