Reference : Essays on Sovereign and Banking Credit Risk
Dissertations and theses : Doctoral thesis
Business & economic sciences : Finance
Essays on Sovereign and Banking Credit Risk
Rasmouki, Fanou mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
University of Luxembourg, ​Luxembourg, ​​Luxembourg
Docteur en Sciences Financieres
Wolff, Christian mailto
Moersch, Matthias mailto
Lehnert, Thorsten mailto
Nadal De Simone, Francisco mailto
Molyneux, Philip mailto
[en] Credit Risk ; Sovereign Debt Crisis ; Financial Markets
[en] In view of growing concerns about financial stability, this thesis revolves over two major objectives. The first objective relates to exploiting option pricing models to generate bank and sovereign credit risk indicators and is pursued in chapters One and Two. The second objective is about determining the extent to which key institutions, namely the credit rating agencies and the ECB contributed to curing or hampering the European banking system. Chapter Three and Chapter Four address the latter theme. All through this thesis, we lay stress upon the connection between banks and sovereigns.
Luxembourg School of Finance
Fonds National de la Recherche - FnR
Financial Stability
Researchers ; Professionals ; Students ; General public
This thesis is composed of four independent papers

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