Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

This paper provides an empirical analysis of FTSE100 stock returns during the period of 2009 to 2013 with an aim to assess the relevancy of Fama-French three factor model post financial crisis of 2008. FTSE100 index was chosen in particular as it is benchmark of the prosperity among UK stocks....

This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During...

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

This paper studies spillovers among US and European sovereign yields. We provide a new method based on absolute magnitude restrictions of the impact matrix to identify the countries that were the main sources of spillovers. Despite the large size of shocks from euro area stressed countries,...