Climate risk and systemic risk of credit market: a CDS-based analysis
Muciacca, Antonio (A.A. 2023/2024) Climate risk and systemic risk of credit market: a CDS-based analysis. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 57. [Master's Degree Thesis]
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Abstract/Index
Data and methodologies. Overview of the selected stock portfolio. CDS spread and interest maturity. Construction of the systemic climate risk factor. Description of the DCC-GARCH model. Dynamic component and the AR(p) model. Empirical analysis and model development. Estimation of DCC-GARCH models for each stocks. Sensitivity analysis regarding different climate risk factors. Considerations for choosing the threshold for climate distress events. Cross-industry comparison.
References
Bibliografia: pp. 52-55.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Rinaldi, Roberto |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 09 Jan 2025 15:37 |
| Last Modified: | 09 Jan 2025 15:37 |
| URI: | https://tesi.luiss.it/id/eprint/40878 |
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