- Econometric models of financial risks
- Castelli, Francesca <1982>
Subject
- SECS-P/05 Econometria
Description
- The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in the borrower's decision to default or prepay on his mortgage by estimating a multinomial logit model with borrower-specific random coefficients.
Date
- 2012-02-03
Type
- Doctoral Thesis
- PeerReviewed
Format
- application/pdf
Identifier
urn:nbn:it:unibo-2999
Castelli, Francesca (2012) Econometric models of financial risks, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Metodologia statistica per la ricerca scientifica