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Essays On Financial Intermediation, Yong Kyu Gam
Essays On Financial Intermediation, Yong Kyu Gam
Doctor of Business Administration Dissertations
Chapter 1 investigates a regulatory spillover effect of the Basel III liquidity standard on the real economy through a series of difference-in-difference estimations. Since the Basel Committee’s official endorsement for the new liquidity regulation in December 2010, a bank exposed to high liquidity risk reduced its loan proportion significantly, making a negative real effect on its surrounding economy via a bank-lending-channel. The new regulation also induced a bank with a weak liquid balance sheet to raise its deposit rate aggressively, generating a liquidity problem in a nearby local bank through a deposit-competition-channel and ultimately curbing an expansion of the local …
Essays In Financial Economics, Jinji Hao
Essays In Financial Economics, Jinji Hao
Arts & Sciences Electronic Theses and Dissertations
In the first chapter of my dissertation, I provide a novel framework – the cumulant generating function (cgf) of the market risk on the positive half real line – for studying the market risk which can be replicated by cross sections of index option prices in a model-free manner. Within this unifying framework, independent of the underlying price process, the VIX index measures the height of the cgf at one while the SVIX index proposed by Martin (2016) measures the convexity of the cgf over the interval [0, 2]. A tail index of the market risk, TIX, is proposed based …
Market Risk Management For Financial Institutions Based On Garch Family Models, Qiandi Chen
Market Risk Management For Financial Institutions Based On Garch Family Models, Qiandi Chen
Arts & Sciences Electronic Theses and Dissertations
The financial stock market turned out to rise and fall suddenly and sharply in recent years, which means that volatility and uncertainty is very significant in market and measuring the market risk accurately is of great importance. I collect the historical close price of S&P 500 Financials Sector Index from January 19th 2011 to January 31st 2017, and use the daily logarithm yield as time series data to build 2 ARMA models and 5 GARCH family models using t-distribution. Then I calculate future 10 days’ relative VAR in 1-day horizon under 99\% confidence level based on the selected model. E-GARCH …