Table of contents alert
Do you want to receive an email alert about new issue?


Volume 67, Issue 1


Systemic Risk in Financial Risk Regulation

Cipra, Tomas; Hendrych, Radek

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


RePEc: https://ideas.repec.org/a/fau/fauart/v67y2017i1p15-38.html

pdf Attachment [PDF] print Print   Recommend to others Recommend to others