EUR > Economics & Management > ESE > View Doctoral Thesis
http://hdl.handle.net/1765/10507
isbn: 9789051706781

Financial Stability in the EU

(Financiële stabiliteit in de EU)


Doctoral Thesis
Published by
Related Files
asset icon
(FEW Slijkerman 20070914.pdf, 1.8MB)
asset icon
(FEW Slijkerman 20070914 Stellingen.pdf, 0.0MB)

Is our financial system stable? Can we quantify the probability that a large shock reduces the value of our banks and insurers? In this research the joint losses of banks and insurers in the EU are estimated. The policy questions for financial sector regulation are described and theoretical explanations for the simultaneous losses of multiple financial institutions are given, based on the statistical toolset known as extreme value theory. This way, the joint behavior of the returns of banks, insurers and reinsurers is investigated. Special attention is devoted to sector and country risk. The empirical evaluation is relevant for policymakers. The theoretical approach offers interesting insights into the diversification properties of downside risk.


Supervisors (promotores):

Prof. Dr. Vries, C.G. de
Prof. Dr. Schoenmaker, D.


Keywords


Automatically Extracted Terms
  • dependence
  • sector
  • probability
  • insurer
  • insurance
  • return
  • measure
  • distribution
  • downside risk
  • result
  • country
  • 0.07
  • insurance sector
  • banking
  • downside
  • factor
  • market
  • 0.08
  • failure
  • failure measure


Bookmark with: