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Essays on financial system risk management
thesis
posted on 2017-02-23, 23:21 authored by Cui, JinThe 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.
