Universität zu Köln

Essays on Systemic Risk and Stock Market Contagion

Wewel, Claudio Nicolai (2014) Essays on Systemic Risk and Stock Market Contagion. PhD thesis, Universität zu Köln.

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    Abstract

    This thesis consists out of three essays on systemic risk in the banking system and stock market contagion. The first essay (Trapp and Wewel, 2013, "Transatlantic systemic risk") investigates which type of systemic risk – common shocks or contagion – dominated in the US and European banking systems at the onset of the Subprime Crisis. The second essay (Döring, Hartmann-Wendels, and Wewel, 2013, "What can systemic risk measures predict?") contributes to the literature on the assessment of systemic risk measures implementing three prominent systemic risk measures in a common framework and evaluating the latter as a tool for banking regulation. The third essay (Wewel, 2013, "Are earthquakes less contagious than bank failures? Comparative impact assessment of the Tohoku earthquake 2011 and the Lehman bankruptcy 2008") contributes to the literature on international stock market contagion investigating pre-and post-event cross-market correlation on national and international stock markets following the Japanese Tohoku earthquake on March 11, 2011.

    Item Type: Thesis (PhD thesis)
    Creators:
    CreatorsEmail
    Wewel, Claudio Nicolaiwewel@wiso.uni-koeln.de
    Corporate Creators: Universität zu Köln
    URN: urn:nbn:de:hbz:38-54814
    Subjects: General statistics
    Management and auxiliary services
    Uncontrolled Keywords:
    KeywordsLanguage
    systemic risk, banking system, real sectors, regulation, copula, macro-financial linkages, contagion, bankruptcy, natural disastersEnglish
    Faculty: Wirtschafts- u. Sozialwissenschaftliche Fakultät
    Divisions: Wirtschafts- u. Sozialwissenschaftliche Fakultät > Seminar für Allg. BWL und Bankbetriebslehre
    Language: English
    Date: 06 February 2014
    Date Type: Publication
    Date of oral exam: 31 January 2014
    Full Text Status: Public
    Date Deposited: 06 Feb 2014 11:00:28
    Referee
    NameAcademic Title
    Hartmann-Wendels, ThomasUniv.-Prof. Dr.
    Hess, DieterUniv.-Prof. Dr.
    Kempf, AlexanderUniv.-Prof. Dr.
    URI: http://kups.ub.uni-koeln.de/id/eprint/5481

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