Philippine financial system macrofinancial vulnerabilities: Assessing and forecasting systematic risk using LOGIT and VAR: Thesis

• Main Authors: Abino, Dale Justin C., Adrias, Rolando Antonio C., Damot, John Jasper A., Virtucio, Zarah Margareth C.
• Format: text
• Language: English
• Published: Animo Repository 2013
• Subjects: Financial institutions > Management; Financial risk > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18463
• Institution: De La Salle University

This paper focuses on assessing and quantifying systemic risk by constructing a model employing multivariate analysis using discrete choice models (LOGIT) for determining the best indicator of systemic events (i.e. financial friction), and vector auto regressions (VAR) for quantifying systemic risk....