Uncertainty and new developments spread at an astonishing speed across the globe in financial markets. The recent extreme events in banking and finance triggered many new questions among academics, policy makers and the general public. Is global diversification at financial institutions beneficial for financial stability? Is it possible to predict which stocks suffer the largest losses in a stock market crash? What happens to the capital buffers of banks during deep recessions? And what is the origin of large shocks in financial markets? Although these questions remain at the heart of a lively debate, this thesis provides several suggestions to increase our understanding in these issues.

agricultural commodities, asset pricing, bank parofitability, business cycle, commodity prices, diversification, extreme value theory, financial markets, financial stability, futures contracts, geography, heavy tails, regression analysis, risk management, securitization, systematic risk, tail dependence, tail risk, tranching
J. Swank (Job) , C.G. de Vries (Casper)
Erasmus University Rotterdam
978-94-6108-510-8
hdl.handle.net/1765/41644
Erasmus School of Economics

Oordt, M.R.C. (2013, October 24). On Extreme Events in Banking and Finance. Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/41644