Universität zu Köln

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:	Creators Email ORCID ORCID Put Code Wewel, Claudio Nicolai wewel@wiso.uni-koeln.de UNSPECIFIED UNSPECIFIED
Corporate Creators:	Universität zu Köln
URN:	urn:nbn:de:hbz:38-54814
Date:	6 February 2014
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Faculty of Management, Economics and Social Sciences > Business Administration > Finance > Professorship for Business Administration and Bank Management
Subjects:	General statistics Management and auxiliary services
Uncontrolled Keywords:	Keywords Language systemic risk, banking system, real sectors, regulation, copula, macro-financial linkages, contagion, bankruptcy, natural disasters English
Date of oral exam:	31 January 2014
Referee:	Name Academic Title Hartmann-Wendels, Thomas Univ.-Prof. Dr. Hess, Dieter Univ.-Prof. Dr. Kempf, Alexander Univ.-Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/5481