Tese (doutorado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade e Gestão Pública, Programa de Pós-Graduação em Administração, 2018. / Submitted by Raquel Viana (raquelviana@bce.unb.br) on 2018-08-22T18:49:30Z
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Previous issue date: 2018-08-22 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES). / This dissertation presented to obtain the Ph.D. degree in Business Administration is composed
of two articles. The first one presents an analysis of the literature on systemic financial risk.
To that end, we analyze and classify 266 articles that were published no later than September
2016 in the databases Scopus and Web of Knowledge; these articles were identified using the
keywords “systemic risk”, “financial stability”,“financial”, “measure”, “indicator”, and “index”.
They were evaluated based on 10 categories, namely, type of study, type of approach, object of
study, method, spatial scope, temporal scope, context, focus, type of data used, and results. The
analysis and classification of this literature made it possible to identify the remaining gaps in
the literature on systemic risk; this contributes to a future research agenda on the topic. Moreover,
the most influential articles in this field of research and the articles that compose the main
stream research on systemic financial risk were identified. In the second article, we model an
indicator that aims to identify systemic risk in the financial markets. Using 93 assets from different
classes and from both developed and emerging countries, we apply principal components
analysis (PCA) to calculate an initial indicator that is then submitted to Markov switching (MS)
technique. This procedure advances the use of PCA in systemic risk modelling by preventing
the need for arbitrary definitions of normal and stressed regimes. Additionally, applying MS to
the indicator extracted by PCA from the correlation matrix of a relevant number of assets of various
classes supports the argument that the indicator is indeed systemic. The results show that
the probabilities that the indicator is under stress, according to the MS model, can be used as a
signal of systemic risk. We also verified that the average risk of assets, calculated by the average
value-at-risk (VaR), is affected when the series of these assets are separated in the systemic
risk and normal regimes. In addition, we measure the performance of the indicator compared to
other metrics built with only an asset class, especially stock indices. The results show that our
model adequately depicts periods of high systemic risk, being relatively thorough.
| Identifer | oai:union.ndltd.org:IBICT/oai:repositorio.unb.br:10482/32512 |
| Date | 05 April 2018 |
| Creators | Silva, Walmir Geraldo da |
| Contributors | Kimura, Herbert |
| Source Sets | IBICT Brazilian ETDs |
| Language | Inglês |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/doctoralThesis |
| Source | reponame:Repositório Institucional da UnB, instname:Universidade de Brasília, instacron:UNB |
| Rights | A concessão da licença deste item refere-se ao termo de autorização impresso assinado pelo autor com as seguintes condições: Na qualidade de titular dos direitos de autor da publicação, autorizo a Universidade de Brasília e o IBICT a disponibilizar por meio dos sites www.bce.unb.br, www.ibict.br, http://hercules.vtls.com/cgi-bin/ndltd/chameleon?lng=pt&skin=ndltd sem ressarcimento dos direitos autorais, de acordo com a Lei nº 9610/98, o texto integral da obra disponibilizada, conforme permissões assinaladas, para fins de leitura, impressão e/ou download, a título de divulgação da produção científica brasileira, a partir desta data., info:eu-repo/semantics/openAccess |
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