DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Seo, Yongseok | - |
dc.contributor.advisor | 서용석 | - |
dc.contributor.author | Ji, Guseon | - |
dc.date.accessioned | 2021-05-11T19:43:58Z | - |
dc.date.available | 2021-05-11T19:43:58Z | - |
dc.date.issued | 2020 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=907863&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/283590 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 문술미래전략대학원, 2020.2,[iv, 97 p. :] | - |
dc.description.abstract | The dissertation focuses on the financial systemic risk and bankruptcy since the consequences of the recent financial crises became more detrimental. First, the association between the systemic risk of the banking sector and financial structure is examined. Findings indicate that the shift in financial structure towards market-based system can help lower the systemic risk of banks through two channels | - |
dc.description.abstract | firm's debt capacity (demand side) and banks' monitoring efforts (supply side). Second, the emergence of collective phenomena in firm size distribution is explained by corporate bankruptcy, and we expect the relationship of power law properties in firm sizes with corporate failure rate and information disparity. Third, a financial stress index is constructed and the evolution of the components' weight reveals the dominant sources of financial stress of each financial crisis. By using the proposed index, the international transmission between the financial stress in China and the US/euro area’s financial condition and stock market sentiment is analyzed. Lastly, the concept of time-varying stochastic volatility and minimum capital requirement for banks are adopted to Merton's probability of default to propose an early warning indicator. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Systemic risk▼aBankruptcy▼aFinancial stress▼aEarly warning indicator | - |
dc.subject | 체계적 금융위험▼a부도▼a금융 스트레스▼a조기경보지표 | - |
dc.title | Essays on money and default in the theory of finance | - |
dc.title.alternative | 부도와 금융경제에 관한 연구 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :문술미래전략대학원, | - |
dc.contributor.alternativeauthor | 지구선 | - |
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