This thesis consists of three papers that makes independent contributions to the fields of forecast evaluation and financial econometrics. As such, the papers, chapter 1-3, can be read independently of each other. In Chapter 1, “Inferring an agent’s loss function based on a term structure of forecasts”, we provide conditions for identification, estimation and inference of an agent’s loss function based on an observed term structure of point forecasts. The loss function specification is flexible as we allow the preferences to be both asymmetric and to vary non-linearly across the forecast horizon. In addition, we introduce a novel forecast rationality test based on the estimated loss function. We employ the approach to analyse the U.S. Government’s preferences over budget surplus forecast errors. Interestingly, we find that it is relatively more costly for the government to underestimate the budget surplus and that this asymmetry is stronger at long forecast horizons. In Chapter 2, “Monitoring Systemic Risk”, we define systemic risk as the conditional probability of a systemic banking crisis. This conditional probability is modelled in a fixed effect binary response panel-model framework that allows for cross-sectional dependence (e.g. due to contagion effects). In the empirical application we identify several risk factors and it is shown that the level of systemic risk contains a predictable component which varies through time. Furthermore, we illustrate how the forecasts of systemic risk map into dynamic policy thresholds in this framework. Finally, by conducting a pseudo out-of-sample exercise we find that the systemic risk estimates provided reliable early-warning signals ahead of the recent financial crisis for several economies. Finally, in Chapter 3, “Equity Premium Predictability”, we reassess the evidence of out-of- sample equity premium predictability. The empirical finance literature has identified several financial variables that appear to predict the equity premium in-sample. However, Welch & Goyal (2008) find that none of these variables have any predictive power out-of-sample. We show that the equity premium is predictable out-of-sample once you impose certain shrinkage restrictions on the model parameters. The approach is motivated by the observation that many of the proposed financial variables can be characterised as ’weak predictors’ and this suggest that a James-Stein type estimator will provide a substantial risk reduction. The out-of-sample explanatory power is small, but we show that it is, in fact, economically meaningful to an investor with time-invariant risk aversion. Using a shrinkage decomposition we also show that standard combination forecast techniques tends to ’overshrink’ the model parameters leading to suboptimal model forecasts.

本文主要探討存戶決策對銀行投資組合決策之影響，及其可能引發之系統性風險的程度。以代表性銀行開始分析，假設銀行投資於安全性資產與風險性資產，而存戶依其決策可能會產生兩個均衡同時存在之情形。本文利用演化的力量，發展出以風險性資產報酬率作為均衡選擇之標準：當風險性資產報酬率低於某一水準時，擠兌的均衡會單獨發生。並比較銀行考慮擠兌發生可能性時，其投資組合承擔風險之程度，及可能引發的銀行倒閉機率大小。推廣至二家模型，發現愈多家銀行在作投資決策考慮存戶擠兌之可能性，愈會增加經濟體系中之系統性風險，顯示銀行與存戶之衝突與金融體系之脆弱性。最後討論資本適足性管制與央行最後貸款人角色能否有效降低銀行倒閉機率。

This thesis develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14 countries both advanced and developing. Firstly, Financial Stress Index is built aggregating indicators from equity, foreign exchange, security and money markets in order to identify starting dates of systemic financial crises for each country in the panel. Secondly, the selection of early warning indicators for assessment and prediction of systemic risks is undertaken in a two- step approach; relevant prediction horizons for each indicator are found by means of a univariate logit model followed by the application of Bayesian model averaging method to identify the most useful indicators. Next, logit models containing useful indicators only are estimated on the panel while their in-sample and out-of-sample performance is assessed by a variety of measures. Finally, having applied the constructed EWS for both horizons to the Czech Republic it was found that even though models for both horizons perform very well in-sample, i.e. both predict 100% of crises, only the long model attains the maximum utility of 0,5 as...

This thesis provides an analysis of systemic risk in the US banking sector. We use conditional value at risk (∆CoVaR), marginal expected shortfall (MES) and cross-quantilogram (CQ) to statistically measure tail-dependence in return series of individual institutions and the system as a whole. Wavelet multireso- lution analysis is used to study systemic risk in the time-frequency domain. De- composition of returns on different scales allows us to isolate cycles of 2-8 days, 8-32 days and 32-64 days and analyze co-movement patterns which would oth- erwise stay hidden. Empirical results demonstrate that filtering out short-term noise from the return series improves the forecast power of ∆CoVaR. Eventu- ally, we investigate the connection between statistical measures of systemic risk and fundamental characteristics of institutions (size, leverage, market to book ratio) and conclude that size is the most robust determinant of systemic risk.

Before the 2008 financial crisis, most research in financial mathematics focused on the risk management and the pricing of options without considering effects of counterparties’ default, illiquidity problems, systemic risk and the role of the repurchase agreement (Repo). During the 2008 financial crisis, a frozen Repo market led to a shutdown of short sales in the stock market. Cyclical interdependencies among financial corporations caused that a default of one firm seriously affected other firms and even the whole financial network. In this dissertation, we will consider financial markets which are shaped by financial crisis. This will be done from two distinct perspectives, an investor’s and a regulator’s. From an investor’s perspective, recently models were proposed to compute the total valuation adjustment (XVA) of derivatives without considering a potential crisis in the market. In our research, we include a possible crisis by apply an alternating renewal process to describe a switching between a normal financial status and a financial crisis status. We develop a framework for pricing the XVA of a European claim in this state-dependent framework. We represent the price as a solution to a backward stochastic differential equation and prove the existence and uniqueness of the solution. To study financial networks from a regulator’s perspective, one popular method is the fixed point based approach by L. Eisenberg and T. Noe. However, in practice, there is no accurate record of the interbank liabilities and thus one has to estimate them to use Eisenberg - Noe type models. In our research, we conduct a sensitivity analysis of the Eisenberg - Noe framework, and quantify the effect of the estimation errors to the clearing payments. We show that the effect of the missing specification of interbank connection to clearing payments can be described via directional derivatives that can be represented as solutions of fixed point equations. We also compute the probability of observing clearing payment deviations of a certain magnitude.

Le risque systémique est un risque qui peut mettre en danger la survie du système financier. En effet, le risque systémique désigne la propagation d’un risque de défaillance bancaire unique aux autres banques. Quels sont les mesures et les déterminants du risque systémique ? Ainsi pourrait-être résumée la question transversale qui anime les recherches présentées dans cette thèse. Un premier chapitre dresse un état des lieux des différentes mesures du risque systémique, en identifie les points communs et les différences et précise l’intérêt de chaque mesure. La question abordée est celle de la corrélation entre les résultats des stress tests et les différentes mesures du risque systémique. Un second chapitre étudie la notion d’« Asset Commonality » comme une nouvelle mesure de risque systémique. Le troisième chapitre examine le lien entre les différentes mesures du risque systémique et la responsabilité sociétale des entreprises. Les résultats empiriques révèlent que -1- les résultats des stress tests devraient être complétés par une évaluation des mesures du risque systémique, -2- l’« Asset Commonality » pourrait être considéré comme un outil complémentaire pour évaluer le risque systémique, -3- la responsabilité sociale des institutions financières est importante afin de réduire le risque systémique. / Systemic risk is a risk that can compromise the survival of the financial system. Systemic risk refers to the spread of a single bank failure to other banks. What are the measures and determinants of systemic risk? This thesis proposes an investigation of this transversal question through three chapters. The first chapter gives an overview of the various measures of systemic risk, identifies commonalities and differences and specifies the interest of each measure. The issue is the correlation between the stress test results and the various measures of systemic risk. The second chapter studies the concept of Asset Commonality as a new measure of systemic risk. The third chapter examines the relationship between different measures of systemic risk and corporate social responsibility. The empirical results show that -1- the stress test results should be supplemented by an evaluation of the systemic risk measures, -2- Asset Commonality could be considered as a complementary tool to assess the systemic risk, -3- the corporate social responsibility of financial institutions is important in order to reduce systemic risk.

O objeto do presente trabalho é o diagnóstico do arcabouço regulatório pátrio destinado à prevenção de crises bancárias, quais sejam a regulação sistêmica e a regulação prudencial, e como as transformações ocorridas no sistema financeiro na segunda metade do século XX o afetam. A partir desse estudo, o trabalho pretende demonstrar que, embora a regulação sistêmica e a regulação prudencial no País tenham incorporado avanços notáveis nas últimas décadas, ainda há falhas significativas a serem corrigidas e desafios a serem enfrentados. Se por um lado o atual arcabouço regulatório é marcado por exigências e controles mais rigorosos que os encontrados em outros países, por outro lado, constam também inúmeros instrumentos de resgate a bancos sendo aplicados de forma desordenada, sem regras claras, com pouca ou nenhuma prestação de contas, e até mesmo desvirtuando o propósito original de alguns desses instrumentos. A presença de uma multiplicidade de mecanismos de resgate com tais características é uma preocupante fonte de risco moral no mercado. Outrossim, o exame das transformações ocorridas no Sistema Financeiro Nacional nas últimas décadas evidencia que as dificuldades enfrentadas por autoridades bancárias em outros países, como o fenômeno do grande demais para quebrar e o monitoramento do risco sistêmico em um contexto de conglomeração financeira, já são uma realidade no País, representando desafios para a regulação sistêmica e a regulação prudencial, e provocando a reflexão sobre as consequências desses movimentos no setor bancário nacional para o arcabouço regulatório vigente. Em conclusão, o trabalho pretende demonstrar que, apesar de seus inegáveis méritos, a exaltação ao arcabouço regulatório pátrio em face de seu desempenho considerado positivo na crise financeira recente deve ser vista com temperamentos, e que a atuação das autoridades bancárias nos próximos anos deve ser mais centrada na correção das falhas identificadas e reflexão sobre os desafios apresentados. / The study aims at evaluating the national regulatory framework designed to prevent banking crises (e.g. systemic and prudential regulation), and how the transformations that occurred in the financial services industry throughout the second half of the 20th century affect it. Based on this analysis, the study intends to demonstrate that, albeit the systemic and prudential regulation in Brazil have incorporated important developments over the last decades, there still are significant flaws that need to be fixed and challenges to be faced. If, on the one hand, the current regulatory framework is marked by demands and controls that are more rigorous than those adopted by other countries, on the other hand, the mechanisms designed to rescue distressed banks are being applied in an unorganized manner, without clear rules, little or no accountability, and even distorting the original purpose of some of these mechanisms. The presence of this variety of rescue mechanisms with such characteristics is a concerning source of moral hazard. Furthermore, the examination of the transformations in the financial system in recent history shows that the challenges faced by banking authorities in other countries, such as the too big to fail phenomenon and the complexity of monitoring systemic risk in the context of financial conglomerates, are also present in Brazil, creating challenges to the current regulatory framework, and claiming a reflection on the consequences of such transformations in the national financial services industry. In conclusion, the study aims at demonstrating that, despite its unquestionable merits, the exaltation to the Brazilian systemic and prudential regulation in light of the countrys performance in the recent financial crisis should be analyzed with caution, and that the role of the banking authorities over the next years should be focused in fixing the flaws identified in the analysis and reflection over the challenges discussed throughout the study.

Cette thèse se concentre sur des mesures du risque financier et la modélisation de la volatilité. L’objectifgénéral est : (i) de proposer de nouvelles techniques pour mesurer à la fois le risque systémique et lerisque à haute fréquence, et (ii) d’appliquer et d’améliorer les outils économétriques de modélisation etde prévision de la volatilité. Ce travail comporte quatre chapitres (papiers de recherche).La première partie de la thèse traite des questions liées à la modélisation et la prévision des mesuresdu risque à haute fréquence et du risque systémique. Plus précisément, le deuxième chapitre proposeune nouvelle mesure du risque systémique utilisée pour identifier les institutions financières d’importancesystémique (SIFIs). Basée sur une approche spécifique, cette mesure originale permet de décomposer lerisque global du système financier tout en tenant compte des caractéristiques de l’entreprise. Le troisièmechapitre propose des mesures du risque de marché intra-journalier dans le contexte particulier des donnéesà haute fréquence irrégulièrement espacées dans le temps (tick-by-tick).La deuxième partie de la thèse est consacrée aux méthodes d’estimation et de prévision de la volatilitéincluant directement des données à haute fréquence ou des mesures réalisées de volatilité. Ainsi, dans lequatrième chapitre, nous cherchons à déterminer, dans le contexte des modèles de mélange des fréquencesd’échantillonnage (MIDAS), si des regresseurs à haute fréquence améliorent les prévisions de la volatilitéà basse fréquence. Une question liée est de savoir s’il existe une fréquence d’échantillonnage optimaleen termes de prévision, et non de mesure de la volatilité. Le cinquième chapitre propose une versionrobuste aux jumps du modèle Realized GARCH. L’application porte sur la crise / This thesis focuses on financial risk measures and volatility modeling. The broad goal of this dissertationis: (i) to propose new techniques to measure both systemic risk and high-frequency risk, and (ii) toapply and improve advanced econometric tools to model and forecast time-varying volatility. This workhas been concretized in four chapters (articles).The first part addresses issues related to econometric modeling and forecasting procedures on bothsystemic risk and high-frequency risk measures. More precisely, Chapter 2 proposes a new systemic riskmeasure used to identify systemically important financial institutions (SIFIs). Based on a componentapproach, this original measure allows to decompose the risk of the aggregate financial system whileaccounting for the firm characteristics. Chapter 3 studies the importance and certifies the validity ofintraday High Frequency Risk (HFR) measures for market risk in the special context of irregularly spacedhigh-frequency data.The second part of this thesis tackles the need to improve the estimation/prediction of volatility bydirectly including high-frequency data or realized measures of volatility. Therefore, in Chapter 4 weexamine whether high-frequency data improve the volatility forecasts accuracy, and if so, whether thereexists an optimal sampling frequency in terms of prediction. Chapter 5 studies the financial volatilityduring the global financial crisis. To this aim, we use the largest volatility shocks, as provided by therobust version of the Realized GARCH model, to identify and analyze the events having induced theseshocks during the crisis.

L'objectif de cette thèse est d'étudier la fragilité financière, c.à.d. la sensibilité du système financier par rapport aux perturbations. La difficulté principale concernant la fragilité financière dans le contexte actuel est la complexité croissante du système financier. piur remédier à ce problème, cette thèse s'inspire des deux courants relativement récents de la recherche économique : l'analyse des réseaux et l'économie comportementale. Les principaux concepts mobilisés sont les mécanismes de diffusion, de cascade et la rationalité limitée. Chapitre 1 étudie les effets des structures locales ds liens, spécifiquement la longueur des cycles transitifs sur la magnitude de la contagion financière. Chapitre 2 propose un modèle dynamique des paniques bancaires, dans lequel les paniques émergent par un mécanisme de cascade des retraits. Le but est de mieux comprendre comment les paniques se forment. Chapitre 3 étudie les paniques bancaires dans un contexte à la fois dynamique et comportemental, avec la présence du mimétisme et l'hétérogénéité des déposants. / This thesis studies financial fragility, i.e. the sensitivity of the financial system with respect to shocks. the main issue of financial fragility in the current context is the increased financial complexity. To address this problem, this study draws inspiration from two relatively recent streams of literature : econopmics of networks and behavioral economics. The main concepts in use are diffusion, cascade and bounded rationality. Chapter 1 studies how petterns of links, specifically, the length of transitive cycles affect the extent of financial contagion. Chapter 2 proposes a dynamic model in which bank runs arise as cascades of withdrawals. The aim is to better understand how bank runs occur. Chapter 3 studies bank runs in a dynamic and behavioral setting, with herding and heterogeneity of depositors.

本文利用Gravelle and Li (2013)提出之系統重要性指標來衡量國內九家上市金控銀行對於系統風險之貢獻程度。此種衡量方法係將特定銀行之系統重要性定義為該銀行發生危機造成系統風險增加的幅度，並以多變量極值理論進行機率的估算。實證結果顯示：一、系統重要性最高者為第一銀行；最低者為中國信託銀行。其中除中國信託銀行之重要性顯著低於其他銀行外，其餘銀行之系統重要性均無顯著差異。二、經營期間較長之銀行其系統重要性較高；具公股色彩之銀行對於系統風險之貢獻程度平均而言高於民營銀行。三、銀行規模與其對系統風險之貢獻大致呈現正向關係，即規模越大之銀行其重要性越高。在此情況下可能會有銀行大到不能倒的問題發生。四、存放比較低之銀行系統重要性亦較低，而資本適足率與系統重要性間並無明顯關係。 / In this thesis, we apply the measure proposed by Gravelle and Li (2013) to examine the systemic importance of certain Taiwanese banks. The systemic importance is defined as the increase in the systemic risk conditioned on the crash of a particular bank, and is estimated by the multivariate extreme value theory. Our empirical evidence shows that the most systemically important bank is First Commercial Bank, and the CTBC Bank is significantly less important than other banks, while the differences among the remaining banks are not significant. Second, banks established earlier have higher systemic importance; and the contribution to systemic risk of public banks, on average, is higher than the contribution of private banks. Third, we also find out that the size of a bank and its risk contribution have positive relationship. That is, the bigger a bank is, the more important it is. Under this circumstances, the too big to fail problem may occur. Last, the bank which has lower loan-to-deposit ratio will be less systemically important than those with higher ones, while the relation between capital adequacy ratio and systemic importance is unclear.