Essays on financial system risk management

The thesis examines five specific financial system risk management issues: 1. The effectiveness of one of the Fed’s earliest unconventional policy actions, the TAF, in reducing the USD Libor–OIS spread during the GFC; 2. The risk spillover effects between the interbank, commercial paper, and mortgage markets in the U.S. prior to and during the GFC; 3. The determinants of five major currency Libor–OIS spreads prior to and during different stages of the interbank distress period; 4. The determinants of major bank joint default probability in main Eurozone countries, and 5. Their spillover effects under different market conditions.