Κατεύθυνση Χρηματοοικονομική και Τραπεζική
Library of the Faculty of Economics and of the Faculty of Business Administration

2020-02-09

2020

Spyropoulos Konstantinos

Θωμαδάκης Σταύρος, Ομότιμος Καθηγητής, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Λοΐζος Κωνσταντίνος, Δόκτωρ, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών

Η Αξία σε Κίνδυνο (Value at Risk) σε τραπεζικά χαρτοφυλάκια της Ευρωζώνης

Greek

Η Αξία σε Κίνδυνο (Value at Risk) σε τραπεζικά χαρτοφυλάκια της Ευρωζώνης

The purpose of this thesis is to highlight the role of VaR models at country level, by creating bank equity portfolios from Eurozone countries.

For this reason, we will consider a country's banking system as a portfolio consisting of the country's largest banks. We will also create portfolios of European North and South countries respectively, as a comparative dimension, and study the risk of each banking system at various times, before and after a crisis, in order to get a picture of its evolution.

To measure portfolio risk we will use three risk metrics, Value at Risk (VaR), Historical Simulation and Expected Shortfall, which could be used as benchmarks for the capital needs of each bank system.

We will also consider whether a Share Capital Increase (SCI) affects VaR as a stability indicator, and we will try to draw conclusions about whether and how SCI's affect the probability and magnitude of the loss at the time of their announcement (Announcement date) and at the time of their implementation (Effective date).

Social, Political and Economic sciences

Value at risk, market risk, banks, eurozone

No

0

Yes

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https://pergamos.lib.uoa.gr/uoa/dl/object/2895236