03364ntm a22005297i 4500 000534609 CZ-PrVSE 20170916122215.0 m d cr n|||||||||| 170916s2017 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Szabo, Milan ISIS:101219 dis Two Essays on Build-ups of Systemic Risk eng Two Essays on Build-ups of Systemic Risk / Milan Szabo 2017 ?? stran : digital, PDF soubor Vedoucí práce: Karel Brůna Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2017 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2017 This thesis contains two essays that discuss measuring of systemic risk during the buildup phase. I lay theoretical foundations to the measuring of systemic risk, define systemic risk, discuss its buildups, and its endogenous nature. Following the theoretical framework, I propose two models. The first model, from the first essay, presents an early warning model built on systemic banking crises identified in 40 countries throughout a period 1970Q1:2010Q4. I put forth (i) a clear evidence of the endogenous character of systemic risk, as they are preceded by periods of credit booms, leveraging, and excessive growths in asset prices, (ii) I construct a regulator's loss function with respect to false negative and false positive errors, and (iii) outline a cost-benefit analysis of macroprudential policy while using the model framework. The second essay explores market based approach to measure systemic risk. Employing the methodology of regime switching models for week-to-week changes of TED spread starting with observations from 2011, I present another approach that can be applied to capture abrupt changes in systemic risk. Identified tumult periods are related to possible events that may stay behind the turmoils, when in particular, the new regulation amendments of money market funds are discussed. Způsob přístupu: Internet bankovnictví a pojišťovnictví [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas credit booms regime switching models early warning models measure of systemic risk asset prices booms Brůna, Karel, 1973- mzk2009543943 ths Šíma, Ondřej ISIS:41743 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/60844/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/60844 Hlavní práce https://insis.vse.cz/zp/60844/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/60844/posudek/oponent/54350 Oponentura https://insis.vse.cz/zp/60844/priloha/15902 Přiloha k práci https://insis.vse.cz/zp/60844/podrobnosti dc:identifier NEPOSILAT VSKP vse60844 170914 60844