Author(s):
Kennedy, George Joseph Connors
Date: 2017
Persistent ID: http://hdl.handle.net/10362/25467
Origin: Repositório Institucional da UNL
Subject(s): Financial interconnection; Value at risk; Risk management; Conditional value at risk; Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Description
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.