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Systemic Risk and Financial Markets Based on Neural Network Quantile Regression

  • The financial markets are currently facing uncertain circumstances, which is increasing their tail risk. A recent study was conducted to measure the tail connectedness between North America, Latin America, Europe, Asia, and Oceania. The study looked at 18 stock market indices using a neural network quantile regression approach from January 4, 2012, to May 5, 2022. The study found that the North American, European, and Latin American stock markets had the highest exposure to tail risk, while Asia and Oceania showed no significant risk compared to the rest of the world indices and were independent. The study also identified the Global Financial Crisis and the COVID-19 pandemic as intense events that yielded high tail risk. The Systematic Fragility Index ranked the pre-COVID period stock market and the Nasdaq during the COVID sample as the most susceptible markets. On the other hand, the Systematic Hazard Index identified the S&P as the chief risk contributor in the system.

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Metadaten
Author:Fereshteh Shahbazin
Advisor:Uwe Hack
Document Type:Master's Thesis
Language:English
Year of Completion:2024
Granting Institution:Hochschule Furtwangen
Date of final exam:2024/02/28
Release Date:2024/02/29
Tag:Financial crisis; Financial markets; Tail risk
Degree Program:MBA - International Business Management
Functional area:Finance & Accounting
Licence (German):License LogoUrheberrechtlich geschützt