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Essays in Financial Econometrics and...

Anand, Abhinav.

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Essays in Financial Econometrics and Game Theory.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Financial Econometrics and Game Theory./
作者:	Anand, Abhinav.
面頁冊數:	77 p.
附註:	Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.
Contained By:	Dissertation Abstracts International76-02A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3641475
ISBN:	9781321277869

Essays in Financial Econometrics and Game Theory.
Anand, Abhinav.

Essays in Financial Econometrics and Game Theory. - 77 p.

Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.

Thesis (Ph.D.)--State University of New York at Stony Brook, 2014.

This item is not available from ProQuest Dissertations & Theses.

My thesis analyzes two different topics: the estimation of the equity risk posed by the "too-big-to-fail" banks during the period encompassing The Great Recession; and a comparative analysis of the welfare effects of two different classes of affirmative action mechanisms. Both essays have been inspired by a desire to analyze currently enforced policies and to attempt to improve upon them by using arguments from Financial Econometrics and Game Theory respectively.

ISBN: 9781321277869Subjects--Topical Terms:

517137
Economics.

Essays in Financial Econometrics and Game Theory.
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500 $a Source: Dissertation Abstracts International, Volume: 76-02(E), Section: A.
500 $a Advisers: Sandro Brusco; Yair Tauman.
502 $a Thesis (Ph.D.)--State University of New York at Stony Brook, 2014.
506 $a This item is not available from ProQuest Dissertations & Theses.
520 $a My thesis analyzes two different topics: the estimation of the equity risk posed by the "too-big-to-fail" banks during the period encompassing The Great Recession; and a comparative analysis of the welfare effects of two different classes of affirmative action mechanisms. Both essays have been inspired by a desire to analyze currently enforced policies and to attempt to improve upon them by using arguments from Financial Econometrics and Game Theory respectively.
520 $a The first essay is titled "The Empirical Foster-Hart Risk of the Global Banking Stock Market" and measures how much equity risk the too-big-to-fail banks posed on the common public during the recent financial crisis. In this essay I use an "ARMA(1,1)-GARCH(1,1)-Normal Tempered Stable" statistical model to capture the skewed and leptokurtotic nature of stock returns; and employ the "Foster-Hart risk measure" to better capture equity risk. This union of sophisticated risk modeling with fat-tailed statistical modeling bears fruit, as the paper is able to measure the equity risk during the Great Recession much more accurately than is possible with current techniques.
520 $a The second essay is titled "Quotas versus Handicaps: A Game Theoretic Analysis of Affirmative Action Policies in India". In this essay, I analyze and compare the Quota Policy --- in which preference is given to the disadvantaged section of the populace by reserving a certain fraction of jobs for them; and a hypothetical "Handicap Policy" --- in which the performance index of the disadvantaged is given an added boost, by means of an additive handicap. After modeling this situation as a game, I am able to conclude that on many important metrics of performance, Quotas and Handicaps can be shown to be equivalent to each other.
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