Thesis (Selection of subject)Thesis (Selection of subject)(version: 368)
Thesis details
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Interbank contagion under the Basel III regulatory framework
Thesis title in Czech: Mezibankovní nákaza za regulatorního rámce Basilej III
Thesis title in English: Interbank contagion under the Basel III regulatory framework
Key words: Mezibankovní nákaza, síťová simulace, Basilej II, Basilej III, konsolidované zahraniční pohledávky.
English key words: Interbank contagion, network simulation, Basel II, Basel III, consolidated foreign claims.
Academic year of topic announcement: 2011/2012
Thesis type: rigorosum thesis
Thesis language: angličtina
Department: Institute of Economic Studies (23-IES)
Supervisor: doc. PhDr. Ing. et Ing. Petr Jakubík, Ph.D., Ph.D.
Author: hidden - assigned by the advisor
Date of registration: 30.08.2012
Date of assignment: 30.08.2012
Date and time of defence: 25.10.2012 00:00
Venue of defence: IES
Date of electronic submission:09.09.2012
Date of proceeded defence: 25.10.2012
Opponents: PhDr. Jitka Lešanovská, Ph.D.
 
 
 
Preliminary scope of work
This study assesses the impact of the Basel III regulatory framework on interbank contagion. It focuses on the direct interbank contagion that spreads via interbank foreign claims among national banking sectors. A balance sheet-based network model employs the quarterly consolidated banking statistics, collected by the Bank for International Settlements, to simulate the consequences of credit and funding shock under stressed market conditions. Compared to the Basel II, the Basel III regulatory framework reduces the probability of interbank contagion (following a simulated default of one banking sector) from 31% to 14% and lowers the impact of contagion by 63% in terms of average loss for a banking sector. The simulations under both regulatory frameworks show that relatively smaller banking sectors can trigger severe interbank contagion comparable to large banking sectors. Throughout the 2005-2009 period, the Basel III regulatory framework stabilizes the fluctuations of the scope of interbank contagion.
 
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