The present work is focused on the estimation of Covar and Delta-Covar, two measures that are used to quantify the effects of a financial institution or a financial system in distress on the VaR of another financial institution. Firstly, the studied case consists of five Spanish banks, namely: BBVA, Bankia, Bankinter, CaixaBank, Santander and, in the second part, the MSCI Europe index is used to analyze the financial system effects. The method adopted is the quantile regression forests and the results are compared with the already well-known quantile regression. The last part of the thesis studies the relations among the banks and the system as a network. Considering additional European banks, a community detection analysis is performed.
A study on the dependence among spanish banks via quantile regression forests and network analysis
De Robertis, Francesca
2020/2021
Abstract
The present work is focused on the estimation of Covar and Delta-Covar, two measures that are used to quantify the effects of a financial institution or a financial system in distress on the VaR of another financial institution. Firstly, the studied case consists of five Spanish banks, namely: BBVA, Bankia, Bankinter, CaixaBank, Santander and, in the second part, the MSCI Europe index is used to analyze the financial system effects. The method adopted is the quantile regression forests and the results are compared with the already well-known quantile regression. The last part of the thesis studies the relations among the banks and the system as a network. Considering additional European banks, a community detection analysis is performed.File | Dimensione | Formato | |
---|---|---|---|
De_Robertis.pdf
Open Access dal 05/06/2022
Dimensione
2 MB
Formato
Adobe PDF
|
2 MB | Adobe PDF | Visualizza/Apri |
The text of this website © Università degli studi di Padova. Full Text are published under a non-exclusive license. Metadata are under a CC0 License
https://hdl.handle.net/20.500.12608/28775