ITCM Crisis
US Banks, Contagion Effect and
Systemic risk: Evidence in the wake of the LTCM near collapse. Sarvesh Mehta
MSc Finance and Economics
Student ID: 0851273
Supervisor: Xing Jin
ACKNOWLEDGEMENTS
I would like to thank my supervisor Mr Xing Jin for his valuable comments and guidance. I would also like to express my appreciation to all my lecturers and staff at Warwick Business School. Finally, I would like to thank my parents and family for their constant support and encouragement.
All the work contained within is my own unaided effort and conforms with the University’s guidelines on plagiarism.
CONTENTS
1)
Abstract..........................................................................................................................Pg 2
2)
Introduction....................................................................................................................Pg 3-7
3)
Review of Literature........................................................................................................Pg 7-11
4)
Data and Methodology
4.1.1) Main Model..................................................................................................................Pg 11
4.1.2) Systemic Risk Effect Model............................................................................................Pg 12
4.2) Event Selection................................................................................................................Pg 12-13
4.3) Data Collection................................................................................................................Pg 13-14
4.4) Methodology...................................................................................................................Pg 14-15
5) Empirical Results and Tables.................................................................................................Pg 16-22
6)
Systemic risk: Evidence in the wake of the LTCM near collapse. Sarvesh Mehta
MSc Finance and Economics
Student ID: 0851273
Supervisor: Xing Jin
ACKNOWLEDGEMENTS
I would like to thank my supervisor Mr Xing Jin for his valuable comments and guidance. I would also like to express my appreciation to all my lecturers and staff at Warwick Business School. Finally, I would like to thank my parents and family for their constant support and encouragement.
All the work contained within is my own unaided effort and conforms with the University’s guidelines on plagiarism.
CONTENTS
1)
Abstract..........................................................................................................................Pg 2
2)
Introduction....................................................................................................................Pg 3-7
3)
Review of Literature........................................................................................................Pg 7-11
4)
Data and Methodology
4.1.1) Main Model..................................................................................................................Pg 11
4.1.2) Systemic Risk Effect Model............................................................................................Pg 12
4.2) Event Selection................................................................................................................Pg 12-13
4.3) Data Collection................................................................................................................Pg 13-14
4.4) Methodology...................................................................................................................Pg 14-15
5) Empirical Results and Tables.................................................................................................Pg 16-22
6)
Bibliography: financial institutions participating in the bailout dropped by over 21% from the time of LTCM’s announcement of losses through the bailout period (Jill L.Wetmore, 2007). there seems to be an absence of apparent links (Cheung, Chi-sang Tan et al.., 2009). detection scope of the VaR models used by LTCM (Davis, 1999). Russia defaulted on its debt, resulting in drying up of liquidity in the global financial markets