Systemic Risk Measures

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dc.contributor.advisor Pizzi, Claudio it_IT
dc.contributor.author Scquizzato, Gianmarco <1989> it_IT
dc.date.accessioned 2017-02-23 it_IT
dc.date.accessioned 2017-05-08T03:45:50Z
dc.date.available 2017-05-08T03:45:50Z
dc.date.issued 2017-03-14 it_IT
dc.identifier.uri http://hdl.handle.net/10579/9570
dc.description.abstract Considering the effects generated by the recent financial crisis, and, given the ease with which a situation of financial distress caused impact beyond and outwith financial system, the concept of systemic risk has gained even more attention in the worldwide community. Despite many studies, there is no recognised single definition of systemic risk and as demonstrated by the existence of numerose metrics in the relative literature, finding effective measures to assess systemic risk is one of the toughest challenges for many individuals and institutions. The aimo of this work is to provide a measure of systemic risk through the use of three econometric methods: principal component analysis, Granger causality test and nonlinear causality test of Diks and Panchenko. it_IT
dc.language.iso it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Gianmarco Scquizzato, 2017 it_IT
dc.title Systemic Risk Measures it_IT
dc.title.alternative it_IT
dc.type Bachelor Thesis it_IT
dc.degree.name Economia e finanza - economics and finance it_IT
dc.degree.level Laurea magistrale it_IT
dc.degree.grantor Dipartimento di Economia it_IT
dc.description.academicyear 2015/2016, sessione straordinaria it_IT
dc.rights.accessrights openAccess it_IT
dc.thesis.matricno 829994 it_IT
dc.subject.miur it_IT
dc.description.note it_IT
dc.degree.discipline it_IT
dc.contributor.co-advisor it_IT
dc.date.embargoend it_IT
dc.provenance.upload Gianmarco Scquizzato (829994@stud.unive.it), 2017-02-23 it_IT
dc.provenance.plagiarycheck Claudio Pizzi (pizzic@unive.it), 2017-03-06 it_IT


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