Die Arbeit stellt eine erste theoretische Analyse der Wirksamkeit und möglicher Probleme einer marktbasierten Eigenkapitalregulierung in Form einer regulatorischen Nachschusspflicht dar. Hart und Zingales (2011) schlagen vor, dass Finanzinstitute zusätzliches Eigenkapital aufnehmen sollen,...

The rise of a crisis-prone banking sector and its political power has received significant attention following the most recent financial crisis. The crisis sparked a growing interest in understanding how and why we have created a world of large, unstable banks. Excessive banking activity arose...

This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During...

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...

We propose and study a hierarchical dependence model. Its properties are analyzed and techniques for estimation and model selection are developed. For sampling, different methods are derived and evaluated. Furthermore, we consider two important types of financial risk: systemic and operational...

This dissertation was written by Christopher Weber during his time as a research assistant at the Center for Economic Studies (CES) at the Ludwig-Maximilians-Universität (LMU) Munich. It was handed in at the department of Economics at the LMU Munich in July 2016. The goal of the thesis is to...

ENGLISH ABSTRACT: To date, there has been significant research completed on the topic of corporate financial distress. Two pioneering researchers in the field of predicting financial distress was Beaver in 1966 and Altman in 1968. More recent research, based on companies listed on the JSE has...

This dissertation presents two essays on Markov-Switching dynamic stochastic general equilibrium models. The first essay is "Perturbation Methods for Markov-Switching Models," which is co-authored with Juan Rubio-Ramirez, Dan Waggoner, and Tao Zha. This essay develops an perturbation-based...

The 1980s and 1990s have been marked with a series of financial and banking crises all over the world. This turned the attention of economists to such questions as how a financial system should be structured in order to reduce the vulnerability of an economy to the risk of a crisis, or what...

Magistro tezių tyrimo objektas – JAV finansų krizės priežastys ir pamokos ateičiai. Pagrindinis darbo tikslas – kritiškai įvertinti JAV finansų krizę sukėlusius veiksnius, remiantis austrų verslo ciklų teorija, bei rasti ir pateikti pasiūlymus, kaip turi būti valdoma ekonomika,...