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Using covar to model cross-border connections in financial markets
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Resumo(s)
This paper will examine how the conditional value at risk of the United States financial
market can be calculated using exposure to foreign financial markets. Whether import or
export partners have more of an effect on a country’s financial markets and the results of how
both are strongly significant, yet how exports play a slightly larger role, will be examined.
The paper will also examine how the US financial market has become more interconnected
over the last 21 years. These calculations have been conducted using the conditional value at
risk measure via quantile regressions.
Descrição
Palavras-chave
Financial interconnection Value at risk Risk management Conditional value at risk