Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15371
Título: Systemic risk for financial institutions in UK
Autor: Solomin, Pavel
Orientador: Rodrigues, Paulo Manuel Marques
Data de Defesa: Jan-2015
Resumo: Marginal Expected Shortfall (MES) is an approach used to measure the systemic risk financial institutions face. It estimates how significantly systemic events (poor market performance, out of 1.6 times Standard Deviation borders) are expected to affect market capitalization of a particular firm. The concept was developed in the late 2000s and is widely used for cross-country comparisons of financial firms. For the purposes of generalization of this technique it is often used with market data containing non-domestic currencies for some financial firms. That may lead to results having currency noise in them as it is shown for 77 UK financial firms in our analysis between 2001 and 2014.
URI: http://hdl.handle.net/10362/15371
Designação: 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
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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