dc.contributor
Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa
dc.contributor
Bolancé Losilla, Catalina
dc.contributor.author
De Robertis, Francesca
dc.identifier
https://hdl.handle.net/2117/327983
dc.description.abstract
The present work is focused on the estimation of CoVaR, a measure used to quantify the effects of a financial institution or the financial system in distress, on the VaR of another financial institution. In the first part, the studied case consists of five Spanish banks, namely: BBVA, Bankia, Bankinter, CaixaBank, Santander and, in a second part, the MSCI Europe index is used to analyze the financial system effects. The used method is the Quantile Regression Forest and the results are compared with the already well-known Quantile Regression. The last part of the thesis studies the relations among the banks and the system as a network.
dc.description.abstract
Outgoing
dc.format
application/pdf
dc.publisher
Universitat Politècnica de Catalunya
dc.publisher
Universitat de Barcelona
dc.rights
Restricted access - author's decision
dc.subject
Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject
Mathematical Statistics
dc.subject
Quantile Regression Forest
dc.subject
Estadística matemàtica--Aplicacions
dc.subject
Classificació AMS::62 Statistics::62P Applications
dc.title
A comparison between Quantile Regression and Quantile Regression Forest for CoVaR estimation: the Spanish case
