Document details

Time-vaeying tail risk in the financial sector

Author(s): Gastel, Suzan

Date: 2018

Persistent ID: http://hdl.handle.net/10362/36555

Origin: Repositório Institucional da UNL

Subject(s): Fat tails; Time-varying; Financial sector; Hill alpha; Predictor; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão; Domínio/Área Científica::Ciências Sociais::Economia e Gestão


Description

This paper investigates the usefulness of time-varying tail risk in the financial sector. The findings of this paper support the notion that financial sector time-varying tail risk possesses predictive power over future market returns over a horizon of one-month, one-year, three-years and five-years and some predictive power over future financial crises. Within the financial sector there are four industries recognized; the banking, insurance, broker dealer and other industry. These industries all have a different level of systemic risk and thus pose different risks to the financial sector and in term to the real economy.

Document Type Master thesis
Language English
Advisor(s) Pereira, João Pedro
Contributor(s) Gastel, Suzan
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