CoVaR Model for Systemic Risk in Taiwan's Banking System

Autor: LIN, LI-NA, 林莉娜
Rok vydání: 2016
Druh dokumentu: 學位論文 ; thesis
Popis: 104
In 2007, Subprime Mortgage Crisis exploded Financial Tsunami, resulting in the contraction of credit in the global financial market and severely insufficient liquidity of the financial system. A series of international financial crisis explosion shows the implied influence of the financial institutes that is "too big to fail". In other words, the large-scaled financial institutes may bring risk to the while financial system, which becomes the issue for the financial supervisory organs in each nation to face and take action. In the past, people used VaR as the traditional risk measurement method. It can quantify the risk that the asset portfolio of the financial institute may encounter to illustrate the biggest loss predicted by that financial institute to take a thorough considerations on the risks of the financial institute itself. Unfortunately, VaR has the shortage of restrictive property, due to risk calculation made by itself, system risk cannot be reflected. Adrian and Brunnermeier (2014) claimed that system risk can be identified by means of those in the individual financial institute, since the individual risk of those financial institutes inter-connect with one another, so that the risk become large enough to affect other financial institutes, or even the whole financial system. Therefore, by extending such concept, CoVaR method was proposed by this research. In this research, for the CoVaR model proposed by Adrian and Brunnermeier, by means of quantile regression's marginal effect on different components.this research attempted to explain CoVaR. Take the listed and public financial institutes as example, we consider the systematic risks from that financial institute in the financial market in Taiwan, as well as the systematic risk cross-influenced by the individual financial institute.
Databáze: Networked Digital Library of Theses & Dissertations
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