03201ntm a22005057i 4500 000711982 CZ-PrVSE 20240706161803.0 m d cr n|||||||||| 240706s2024 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Siuda, Vojtěch ISIS:101315 dis Four essays on systemic risk estimation. eng Four essays on systemic risk estimation / Vojtěch Siuda 2024 ?? stran : digital, PDF soubor Vedoucí práce: Jiří Málek Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 This dissertation consists of four articles that focus on estimating systemic risk in the banking sector. The articles and the approaches and analyses presented in them are predominantly practical and empirical, while providing the necessary theoretical motivation for the research topics. The first article introduces a framework for assessing corporate exposures, considering industry-specific factors and the propagation of economic shocks across sectors. The second article examines systemic risks of sovereign exposures, including an approach to estimating and predicting credit risk of government bonds. The third article addresses the transition to a low-carbon economy and its impact on the financial sector, along with potential threats to its stability. The fourth article presents an approach to modeling risk-weighted assets of banks under different economic scenarios and limitations of their cyclical behavior. The approaches presented in each article bring some degree of novelty, whether in the form of previously unpublished analyses and approaches, the application of existing models in new areas, or the utilization of new data sources. Each article also emphasizes the mitigation of potential systemic risks through appropriate macroprudential policies, alongside the theoretical and empirical components. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas Banking sector Systemic risk Macroprudential policy Capital ratio Málek, Jiří, 1953- mzk2003181803 ths Aruga, Kentaka opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/87193/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/87193 Hlavní práce https://insis.vse.cz/zp/87193/posudek/oponent/83737 Oponentura https://insis.vse.cz/zp/87193/posudek/oponent/83738 Oponentura https://insis.vse.cz/zp/87193/podrobnosti dc:identifier NEPOSILAT VSKP vse87193 240702 87193