التفاصيل البيبلوغرافية
| العنوان: |
A Study of the Systemic Risk in the Japanese Banking System - An application of the CoVaR method |
| المؤلفون: |
Wu, Qian |
| بيانات النشر: |
Lunds universitet/Nationalekonomiska institutionen |
| سنة النشر: |
2015 |
| المجموعة: |
Lund University Publications Student Papers (LUP-SP) |
| مصطلحات موضوعية: |
Japanese Banking System, Japan, Systemic risk, CoVaR, Business and Economics |
| الوصف: |
CoVaR is one of the pioneering systemic risk measures proposed during the financial turmoil of 2008, introduced by Adrian and Brunnermeier (2008). It is based on the familiar risk measurement Value-at-Risk (VaR). In this thesis we apply both the time-invariant and time-varying CoVaR model to econometrically quantify the systemic risk in the Japanese banking sector. Specifically we study the systemic risk that individual financial institutions have on the whole Japanese banking system and the systemic linkage among different financial institutions. We use publicly traded daily equity data from the Tokyo Stock Exchange Market (TSE) spanning from 2001 04 02 to 2015 01 31 of the three biggest Japanese bank holding companies: Mitsubishi, Mizuho and Sumitomo. The TOPIX BANKS index is used as a proxy for the banking system of Japan in the thesis. We found Mizuho to be the riskiest bank in isolation as measured by VaR, but in contrast it has the least contribution to the systemic risk of the banking system. Furthermore we found a greater difference between the systemic risk of the banks using 1% quantiles compared to using 5% quantiles. Examining the pair-wise systemic linkages among the three banks, we find the strongest links to be the systemic risk impact that Sumitomo has on Mizuho and Mitsubishi, and the smallest to be the impact Mizuho has on Mitsubishi, suggesting that Sumitomo is a key player in the Japanese banking system. |
| نوع الوثيقة: |
other/unknown material |
| وصف الملف: |
application/pdf |
| اللغة: |
English |
| العلاقة: |
http://lup.lub.lu.se/student-papers/record/7861050Test |
| الإتاحة: |
http://lup.lub.lu.se/student-papers/record/7861050Test |
| رقم الانضمام: |
edsbas.939C2C8A |
| قاعدة البيانات: |
BASE |
