Tail Risk and Macroeconomic Drivers: Analysis of Systemic Risk Causality in Global Financial Markets

Student: Bondarenko Evgenia

Educational Programme: Financial Analyst (Master)

Final Grade: 7

Year of Graduation: 2024

The primary goal of this thesis is to explore the causality between systemic risk (SRISK) and various macroeconomic variables within global financial markets. The objectives include quantifying the impact of macroeconomic changes on SRISK, identifying potential macroeconomic predictors of systemic risk, and evaluating the effectiveness of regulatory interventions. The main results confirm the complex interdependencies between economic conditions and SRISK, highlighting the critical roles of GDP growth, inflation rates, and credit conditions. The study also demonstrates that targeted economic and regulatory policies can play a significant role in stabilizing systemic risk levels.

Full text (added May 19, 2024)

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