東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Essays on contagion of risk.

Sul, Hong Kee.

Linked to FindBook

Google Book

Amazon

博客來

Essays on contagion of risk.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on contagion of risk./
Author:	Sul, Hong Kee.
Description:	128 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.
Contained By:	Dissertation Abstracts International77-01A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3722468
ISBN:	9781339046082

Essays on contagion of risk.
Sul, Hong Kee.

Essays on contagion of risk. - 128 p.

Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.

Thesis (Ph.D.)--Indiana University, 2015.

In this dissertation, I study asset pricing and contagion. In my first and third essays, I study contagion of interbank and sovereign credit risk. In my second essay, I study how contagious sentiment is associated with asset prices.

ISBN: 9781339046082Subjects--Topical Terms:

542899
Finance.

Essays on contagion of risk.
LDR:03199nmm a2200313 4500 001 2075396
005 20161024151526.5
008 170521s2015 ||||||||||||||||| ||eng d
020 $a 9781339046082
035 $a (MiAaPQ)AAI3722468
035 $a AAI3722468
040 $a MiAaPQ $c MiAaPQ
100 1 $a Sul, Hong Kee. $3 3190778
245 1 0 $a Essays on contagion of risk.
300 $a 128 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.
500 $a Advisers: Craig W. Holden; Zhenyu Wang.
502 $a Thesis (Ph.D.)--Indiana University, 2015.
520 $a In this dissertation, I study asset pricing and contagion. In my first and third essays, I study contagion of interbank and sovereign credit risk. In my second essay, I study how contagious sentiment is associated with asset prices.
520 $a In my first essay, I study interbank credit risk contagion by estimating the joint and conditional counterparty risk of financial institutions. Using a unique feature of credit default swap (CDS) data, I present a new approach for valuing CDS spreads that enables identification of the joint and conditional default probabilities allowing for time-variant recovery rates. I use CDS spreads and option implied default probabilities to disentangle time-variant joint default probabilities and time-variant recovery rates. I show that when the market is in distress, counterparty risk estimate assuming a fixed recovery rate underestimates the true joint default probability. I measure interbank counterparty risk of CDS dealers from 2007 to 2010 and find that the fixed recovery rate model underestimates expected counterparty risk by approximately 21%. Finally, I show that the conditional default probability of a bank conditional on default of its counterparties is correlated with existing systemic risk measure.
520 $a My second essay examines how social network information associates with asset prices. Sentiment is contagious as it can spread through a social network, and the speed of contagion is dependent on the number of followers the sender has. After collecting more than 2 million Twitter tweets on S&P; 500 firms, we compare firm level sentiment with stock returns. We find that firm level sentiment from tweets is significantly related to the firm's stock returns, and that the number of followers moderates this relationship.
520 $a My third essay proposes a method to refine the joint default probability estimates of sovereigns, by estimating the covariance of marginal default probabilities and allowing for time-varying recovery rates. I show that a relationship exists between the joint default probability and the covariance of marginal default probabilities, and that estimating the covariance from covariance of Credit Default Swap (CDS) spreads assuming a fixed recovery rate is biased. I use autocovariance of CDS spreads to estimate covariance of marginal probabilities.
590 $a School code: 0093.
650 4 $a Finance. $3 542899
650 4 $a Economic theory. $3 1556984
690 $a 0508
690 $a 0511
710 2 $a Indiana University. $b Business. $3 1019045
773 0 $t Dissertation Abstracts International $g 77-01A(E).
790 $a 0093
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3722468