Master Thesis Online
Assessing the interconnectedness of financial institutions using the extreme value theory
Master Thesis_Ptak.pdf
Ptak, Florent 
Promotor(s) :
Hambuckers, Julien
Date of defense : 31-Aug-2021/6-Sep-2021 • Permalink : http://hdl.handle.net/2268.2/13530
Details
| Title : | Assessing the interconnectedness of financial institutions using the extreme value theory |
| Translated title : | [fr] ÉVALUER L'INTERCONNEXION DES INSTITUTIONS FINANCIÈRES À L'AIDE DE LA THÉORIE DES VALEURS EXTRÊMES |
| Author : | Ptak, Florent
|
| Date of defense : | 31-Aug-2021/6-Sep-2021 |
| Advisor(s) : | Hambuckers, Julien
|
| Committee's member(s) : | Heuchenne, Cédric
|
| Language : | English |
| Number of pages : | 58 |
| Keywords : | [en] financial institutions, interconnectedness, Extreme Value Theory, Generalized Pareto Regression |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Diplôme : | Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering |
| Faculté : | Mémoires de la HEC-Ecole de gestion de l'Université de Liège |
Résumé
[en] We explain a way to determine the systemic importance of financial institutions. We classify
ten European banks (2004-2007) based on their interconnections. These are determined by
computing co-crash probabilities. We define these CCPs as probabilities that a pair institution
undergoes an extreme variation of CDS spreads at the same time. These extreme variations are
supposed to follow a Generalized Pareto Distribution. These distributions are time-varying and
we determine the parameters of the Generalized Pareto Distribution using the Generalized
Pareto Regression. These parameters depend on explanatory variables which are recognized as
determinants of CDS spreads of financial institutions. This helps to consider heterogeneity with
respect to time.
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APA
Ptak, F. (2021). Assessing the interconnectedness of financial institutions using the extreme value theory. (Unpublished master's thesis). Université de Liège, Liège, Belgique. Retrieved from https://matheo.uliege.be/handle/2268.2/13530
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