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- W1688759898 abstract "The thesis explores price comovements and systemic risk in energy and financial sectors. These sectors, by providing energy and credit to firms and households, are essential for the whole economy. Comovements between the elements of a portfolio or system are expected to increase during a crisis. Ignoring these increasing interdependencies risks lulling decision makers (portfolio manager or policy maker) in a false sense of security. Recent crisis episodes (financial crisis of 2007-2008 and European sovereign debt crisis) are particularly relevant to study because of their negative spillover to the real economy. The risk of the financial sector as a whole being in distress and its spillover to the economy at large is usually referred to as “systemic risk”. The thesis proposes new econometric techniques to address the changing nature of risk in energy and financial sectors, and evaluates the new regulatory approach – macroprudential regulation – adopted by regulators after the financial crisis of 2007-2008 to prevent the costs of the financial sector’s distress spreading to the real economy." @default.
- W1688759898 created "2016-06-24" @default.
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- W1688759898 date "2014-01-01" @default.
- W1688759898 modified "2023-09-27" @default.
- W1688759898 title "Essays on comovements and systemic risk in energy and financial sectors" @default.
- W1688759898 hasPublicationYear "2014" @default.
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