Three Essays on Systemic Risk and Financial Contagion

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ALTER, Adrian, 2013. Three Essays on Systemic Risk and Financial Contagion [Dissertation]. Konstanz: University of Konstanz

@phdthesis{Alter2013Three-24395, title={Three Essays on Systemic Risk and Financial Contagion}, year={2013}, author={Alter, Adrian}, address={Konstanz}, school={Universität Konstanz} }

eng Alter, Adrian 2013-09-11T07:24:07Z Three Essays on Systemic Risk and Financial Contagion Alter, Adrian 2013 terms-of-use 2013-09-11T07:24:07Z This dissertation has at its core the concept of systemic risk. Seen as a feature of financial systems, systemic risk can be related to the likelihood of an institution, an asset class or a group of institutions to harm the financial stability with repercussions on the real economy. The aim of this thesis is to tackle this concept from different angles. First, it sheds light on the implications of the nexus between the default risk of sovereigns and the financial sector. This direction is covered by an empirical analysis of the credit default swap (CDS) market. The dynamics of interconnectedness between financial institutions and countries are at the roots of a novel feature observed during the last four years in the Eurozone: the feedback loop between the stability of the banking system and the macroeconomic health of sovereigns. Moreover, the phenomenon of financial contagion has attracted the attention of academia, policy makers and market participants.Finally, this thesis is motivated by an acute need for policy relevant methodologies and frameworks to deal with systemically important financial<br />institutions (SIFIs), especially for large financial systems. Using measures of centrality derived from the interbank network, I intend to provide more insight to the too-big-to-fail versus too-interconnected-to-fail discussion. Capital allocations based on both, riskiness and size of individual bank assets combined with metrics of interconnectedness constructed from the entire banking network appear to improve the robustness of financial system.

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