Essays on systemic risk and risk spillovers

Liu, Yi (2017). Essays on systemic risk and risk spillovers. University of Birmingham. Ph.D.

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Abstract

This thesis studies the implications of risk spillover effects in the systemic risk regarding the financial institutions and the financial system. We study the risk spillovers from sovereign CDS market to financial CDS market and the systemic risk contributions of sovereign countries. We then extend the previous study to investigate the dynamics of sovereign risk spillovers to the sovereign bond market, sovereign CDS market, and the national banking sectors, and we examine the interdependence of these markets. Lastly, we study the implications of network interconnectedness of the financial institutions and its contributions to systemic risk. Our research provides deeper understanding regarding the systemic risk and risk spillovers, and offer practical empirical evidence regarding the regulation of financial institutions.

Type of Work:	Thesis (Doctorates > Ph.D.)
Award Type:	Doctorates > Ph.D.
Supervisor(s):	Supervisor(s) Email ORCID Dickinson, David G. UNSPECIFIED UNSPECIFIED Horsewood, N. (Nick) UNSPECIFIED UNSPECIFIED
Licence:
College/Faculty:	Colleges (2008 onwards) > College of Social Sciences
School or Department:	Birmingham Business School, Department of Economics
Funders:	None/not applicable
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
URI:	http://etheses.bham.ac.uk/id/eprint/7313

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