Бошкович Лука -
Systemic Risk in Russian Financial Sector
In this diploma work author tries to analyze the current level of systemic risk in Russian financial sector. The problem of systemic risk has become intensively discussed after the financial crisis of 2008, when the high level of systemic risk was on the main reasons for severe consequences of the crisis. For this matter, the author models the current situation in the Russian financial sector by analyzing daily returns of five largest Russian banks using data from 2012 to 2017. For measuring the level of contribution to systemic risk of each of the banks, the author uses econometric instruments CoVaR and ΔCoVaR introduced in the article "CoVaR" by T. Adrian and K. Brunnermeier in 2008. Based on received results, additional regulatory measures for banks, which significantly contribute to the level of systemic risk, are proposed.
Текст работы (работа добавлена 16 июня 2017г.)