Témata prací (Výběr práce)Témata prací (Výběr práce)(verze: 368)
Detail práce
   Přihlásit přes CAS
Stability of the Financial System: Systemic Dependencies between Bank and Insurance Sectors
Název práce v češtině: Stability of the Financial System: Systemic Dependencies between Bank and Insurance Sectors
Název v anglickém jazyce: Stability of the Financial System: Systemic Dependencies between Bank and Insurance Sectors
Klíčová slova: finanční stabilita, systemické riziko, závislost v extrémech, Teorie extremálních hodnot
Klíčová slova anglicky: financial stability, systemic risk, dependence in extremes, Extreme Value Theory
Akademický rok vypsání: 2012/2013
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: PhDr. Boril Šopov, M.Sc., LL.M.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 20.06.2013
Datum zadání: 21.06.2013
Datum a čas obhajoby: 24.09.2014 09:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:31.07.2014
Datum proběhlé obhajoby: 24.09.2014
Oponenti: prof. Ing. Karel Janda, Dr., Ph.D., M.A.
Kontrola URKUND:
Předběžná náplň práce
The events of recent years starting in the U.S. by the Lehman bankruptcy have considerably impaired the stability of financial systems globally. The breakdowns of individual institutions no longer remain an issue of those institutions but they distribute widely across other entities and even the borders. This fact stands behind an extraordinary interest in investigating dependencies among financial entities. Given the very close interaction in the interbank market and similarity of balance sheets, which makes banks extremely vulnerable to systemic risks, most empirical studies have focused their attention on developing methods for measuring dependencies in banking systems. However, to ensure the stability of the entire financial system it is necessary to uncover potential linkages beyond banks. The objective of my thesis will be to examine systemic dependencies between banks and insurance companies in the European Union. Interconnections between these two financial subsystems in such large geographical area are not discussed that much in the literature and they thus might pose a threat to financial stability. The dependencies will be examined in three sample periods (before, during and after the financial crises 2008/2009) with the aim of uncovering a changing pattern in systemic risk over time and under different market conditions. For this purpose I am going to apply financial time series of the EU publicly listed banks and insurance companies.

Systemic dependencies will be investigated using the daily stock market returns of the European banks and insurance companies that are publicly listed. Data will be obtained from a sample of the 15 EU member states and it will cover the period from 2000 up to the present. For each member state the 5 largest banks and insurance companies will be chosen. The selection of financial entities will be made based on the balance sheet criteria meaning that entities with the highest asset value will be included in the model. Such procedure allows creating a unique dataset consisting of 75 banks and insurers. Dependencies will be subsequently modeled within and across both industries. With respect to the method employed, characteristic feature of the stock market time series is that it is distributed in a way which does not correspond to normal distribution and the data thus shows the presence of heavy tails. Consequently, when modeling dependencies it is necessary to make use of techniques that go beyond the simple correlation. Following approach employed by Hartmann et al. (2005) and other related works, I am going to apply the measure which draws on the Extreme Value Theory and examines dependencies in extremes. In addition to bivariate dependence modeling defined as the probability with which an entity goes bankrupt assuming that another entity does so, I would also like to focus on modeling multivariate dependence of stock returns.
Univerzita Karlova | Informační systém UK