Analyzing the Default Transmission Among Different Segments of the Financial Market

Student: Doronin Anatolij

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2024

In recent years, the world economy has been facing a large number of new crises, paving the way for new research in the field of systemic risk. In this paper, based on unique data on country/sector aggregated median default probabilities (PD), a linear regression is first constructed to deduct the influence of global factors, and then sparse vector autoregression (sparse VAR) models are built on the residuals of this regression, the results of the model are presented in the form of graphs, on the basis of which further analysis and interpretation of the results is carried out.

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