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Autor:innen: 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
IES Working Paper No. 11/2017
Verlag: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Zusammenfassung: 
In this paper, we perform analysis of systemic risk in the financial and energy sector in Europe. In our investigation, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016) for estimation purposes of dependency structures between market participants. Based on the estimated models, we perform Monte Carlo simulations in order to obtain future values of CDS spreads, and then we measure probability of systemic events in given time points. We conclude that substantially higher systemic risk is present within the financial sector than in the energy sector. We also find that the most systemic vulnerable financial and energy companies come from Spain.
Schlagwörter: 
credit default swap
energy sector
factor copula
financial sector
generalized autoregressive score model
systemic risk
JEL: 
C53
C55
C58
G17
Dokumentart: 
Working Paper

Datei(en):
Datei
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