Systemic Risk in Financial Risk Regulation
Year: 2017 Volume: 67 Issue: 1 Pages: 15-38
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.
JEL classification: G28, G18, G21, G24, C18
Keywords: systemic risk, common shock, marginal expected shortfall, Basel III, Solvency II
|Attachment [PDF]||Print Recommend to others|