IDEAS home Printed from https://ideas.repec.org/a/fau/fauart/v67y2017i1p15-38.html
   My bibliography  Save this article

Systemic Risk in Financial Risk Regulation

Author

Listed:
  • Tomas Cipra

    (Faculty of Mathematics and Physics, Charles University in Prague)

  • Radek Hendrych

    (Faculty of Mathematics and Physics, Charles University in Prague)

Abstract

The paper deals with the systemic risk concept which is important in the framework of modern risk regulatory systems in finance and insurance (the most actual examples are Basel III in finance and Solvency II in insurance). Two numerical applications of possible approaches are presented. The first one shows that marginal expected shortfall MES can be a useful risk measure when the systemic risk is examined using the Czech data represented by the composing index PX of Prague Stock Exchange. The second approach based on the common shock can be suitable for risk regulation in insurance.

Suggested Citation

  • Tomas Cipra & Radek Hendrych, 2017. "Systemic Risk in Financial Risk Regulation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(1), pages 15-38, March.
    • Handle: RePEc:fau:fauart:v:67:y:2017:i:1:p:15-38
    as

    Download full text from publisher

    File URL: http://journal.fsv.cuni.cz/storage/1377_cipra_final_issue_01_2017.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Radek Hendrych & Tomáš Cipra, 2019. "Common shock approach to counterparty default risk of reinsurance," Risk Management, Palgrave Macmillan, vol. 21(2), pages 123-151, June.
    2. Johannes K. Dreyer & Peter A. Schmid & Victoria Zugrav, 2018. "Individual, Systematic and Systemic Risks in the Danish Banking Sector," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(4), pages 320-350, September.
    3. Radu LUPU & Iulia LUPU & Tanase STAMULE & Mihai ROMAN, 2022. "Entropy as Leading Indicator for Extreme Systemic Risk Events," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 58-73, December.

    More about this item

    Keywords

    systemic risk; common shock; marginal expected shortfall; Basel III; Solvency II;
    All these keywords.

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:67:y:2017:i:1:p:15-38. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.