Essays on Sovereign and Banking Credit Risk

Rasmouki, Fanou

Reference : Essays on Sovereign and Banking Credit Risk


	Document type :	Dissertations and theses : Doctoral thesis
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/10993/21962

Title :	Essays on Sovereign and Banking Credit Risk
Language :	English
Author, co-author :	Rasmouki, Fanou [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Publication date :	13-Apr-2015
Institution :	University of Luxembourg, Luxembourg, Luxembourg
Name of the degree :	Docteur en Sciences Financieres
Number of pages :	158
Supervisor :	Wolff, Christian
	Moersch, Matthias
President of the jury :	Lehnert, Thorsten
Member of the jury :	Nadal De Simone, Francisco
	Molyneux, Philip
Keywords :	[en] Credit Risk ; Sovereign Debt Crisis ; Financial Markets
Abstract :	[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.
Research centres :	Luxembourg School of Finance
Funders :	Fonds National de la Recherche - FnR
Name of the research project :	Financial Stability
Target :	Researchers ; Professionals ; Students ; General public
Permalink :	http://hdl.handle.net/10993/21962
Commentary :	This thesis is composed of four independent papers

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Open access	Thesis_F_RASMOUKI_finalversion.pdf		Publisher postprint	1.57 MB	View/Open

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