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Essays on financial system risk management

thesis
posted on 23.02.2017, 23:21 by Cui, Jin
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.

History

Campus location

Australia

Principal supervisor

Christine Brown

Additional supervisor 1

Ann Maharaj

Year of Award

2016

Department, School or Centre

Banking and Finance

Course

Doctor of Philosophy

Degree Type

DOCTORATE

Faculty

Faculty of Business and Economics