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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
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    More about this item

    Keywords

    systemic risk; common shock; marginal expected shortfall; Basel III; Solvency II;

    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

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