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Financial fragility, systemic risk and financial systems

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thesis
posted on 29.03.2022, 01:11 authored by Amir Armanious
One of the significant catalysts for the 2007 Global Financial Crisis (̧ð̧£̧œ) events has been systemic risk within financial institutions. Subsequently, systemic risk measurement and management have turned into a more extensively researched area. Currently, researchers have yet to agree on the definition of systemic risk but instead a series of systemic risk definitions have developed. This PhD thesis seeks to offer a new framework for measurement and management of systemic risk. This is achieved by combining the approach and methodology of various dimensions of systemic risk and different econometric techniques. This thesis is a collection of three chapters, which are presented in chapters two, three and four. All three chapters can be read in conjunction with each other as they share the same scope. The main objective of this thesis is to quantify systemic risk within the Eurozone using various models and techniques. The sample is constant across all the three chapters which is the entire Eurozone financial system (4 sectors, 17 member states and 315 financial institutions) and the time framework covers the period 2000-2016, that starts by the inception of Euro and covers three major systemic events of 2001 dotcom bubble, 2007 global financial crisis and 2009 European sovereign debt crisis.

History

Table of Contents

Chapter 1. Introduction -- Chapter 2. Financial dependence, fragility and Interconnectedness among Eurozone financial sectors : evidence from copulas -- Chapter 3. Too-systemic-to-fail : empirical comparison of systemic risk measures in the Eurozone financial system -- Chapter 4. Measuring systemic risk and financial linkage in the Eurozone financial system : European CoVaR approach -- Chapter 5. Conclusion -- Full reference list -- Appendices.

Notes

Bibliography: pages 153-168 Empirical thesis.

Awarding Institution

Macquarie University

Degree Type

Thesis PhD

Degree

PhD, Macquarie University, Faculty of Business and Economics, Department of Applied Finance

Department, Centre or School

Department of Applied Finance

Year of Award

2018

Principal Supervisor

Tom Smith

Additional Supervisor 1

Geoffrey F. Loudon

Additional Supervisor 2

Edward Watts

Rights

Copyright Amir Armanious 2018. Copyright disclaimer: http://mq.edu.au/library/copyright

Language

English

Extent

1 online resource (xv, 240 pages) diagrams, graphs, tables

Former Identifiers

mq:70735 http://hdl.handle.net/1959.14/1267218