Publicação
Credit risk and interconnectedness: an asset pricing study
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Pereira, João Pedro | |
| dc.contributor.author | Grødal, Magnus Kreyberg | |
| dc.date.accessioned | 2019-06-24T15:00:01Z | |
| dc.date.available | 2019-06-24T15:00:01Z | |
| dc.date.issued | 2019-01-14 | |
| dc.description.abstract | This study lay the foundation for merging two parallelly studied strains of academic literature asset risk factors and systemic banking risk, in order to create a measure incorporating credit risk in the banking sector and banking sector interconnectedness. The theoretical work accumulates to a proposed two factor model including a novel measure of interconnected credit risk and the traditional market factor. Despite the unsatisfactory statistical results, the theoretical foundation remains robust and the literature combining these twin brothers in the academic field of research is by a large unexplored. Thus, this paper’s theoretical development is significant. | pt_PT |
| dc.identifier.tid | 202225968 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/73501 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Credit risk | pt_PT |
| dc.subject | Asset pricing study | pt_PT |
| dc.subject | Regressions | pt_PT |
| dc.subject | Time series | pt_PT |
| dc.title | Credit risk and interconnectedness: an asset pricing study | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |