Thesis title: Quantile regression: applications to systemic risk evaluation
This dissertation reviews the theory of quantile regression from a statistical and econometrical point of view and presents two applications to systemic risk evaluation. The first one exploits the quantile regression to develop the work of Adrian, Boyarchenko, and Giannone (2019) and to analyze the link between financial markets and real economy in Italy. The second one evaluates banks’ systemic importance from a market risk perspective by constructing a CoVaR in the style of Adrian and Brunnermeier (2016).