Essays on financial risk modelling : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance, School of Economics and Finance, Massey University, Auckland, New Zealand

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dc.confidentialEmbargo : No
dc.contributor.advisorLi, Xiao-ming
dc.contributor.authorNguyen, Thao Thac Thanh
dc.date.accessioned2024-08-12T03:54:23Z
dc.date.available2024-08-12T03:54:23Z
dc.date.issued2024-08-08
dc.description.abstractIn today’s highly interconnected financial landscape, the risk of shock spillover is a critical factor contributing to increased systemic risk and impacting the global financial stability. Research on spillover effects has gained significant attention from both academics and practitioners. This thesis aims to contribute to this strand of the literature by conducting three studies that employ a variety of connectedness methods to investigate several underexplored issues within the field of financial risk management. These essays delve further into the evolution of these spillover effects during times of extreme financial uncertainty and aim to identify the key drivers of these spillovers. Essay One investigates the high-frequency spillover of volatility shocks across major oil-dependent foreign exchange markets, considering the impact of the oil market’s volatility regime. Essay Two examines the return shock spillover between European sectoral credit default swap and the natural gas markets. This investigation is conducted across different quantiles of return distributions, with a special focus on understanding the effects of the ongoing Russian-Ukrainian war on this spillover. Essay Three scrutinizes spillover effects of inflation shocks under normal economic conditions and extreme inflationary conditions between the U.S. and emerging markets. The essay further unveils the determinants of the inflation spillovers among the sample markets.
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/71262
dc.publisherMassey University
dc.rightsThe Author
dc.subjectFinancial risk management
dc.subjectInternational finance
dc.subjectMathematical models
dc.subjectSwaps (Finance)
dc.subjectInflation (Finance)
dc.subjectspillover
dc.subjectfinancial interconnectedness
dc.subjectquantile connectedness
dc.subjectrisk modelling
dc.subject.anzsrc350207 International finance
dc.titleEssays on financial risk modelling : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance, School of Economics and Finance, Massey University, Auckland, New Zealand
thesis.degree.disciplineFinance
thesis.degree.nameDoctor of Philosophy (Ph.D.)
thesis.description.doctoral-citation-abridgedThao Nguyen examined the evolution of spillover effects among global financial markets during periods of extreme financial uncertainty and identified the key drivers of these spillovers using diverse advanced econometric techniques. Empirical results indicated that extreme large shocks significantly strengthened spillover effects across financial markets. Geopolitical tensions and pandemic-induced crises exerted intensifying effects on shock transmission regardless of shock size.
thesis.description.doctoral-citation-longRecent global financial crises have underscored the need to revisit spillover networks and called for diverse and advanced econometric techniques to differentiate spillover behaviors between average and extreme large shocks. Thao Nguyen examined the evolution of spillover effects among global financial markets during periods of extreme financial uncertainty and identified the key drivers of these spillovers using a variety of updated econometric techniques. Empirical results indicated that extreme large shocks significantly strengthened spillover effects across financial markets. Geopolitical tensions and pandemic-induced crises exerted intensifying effects on shock transmission regardless of shock size.
thesis.description.name-pronounciationTHOW - THAK - TAN - NWIN
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