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Systemic Risk in Russian Financial Sector

ФИО студента: Boskovic Luka

Руководитель: Luca Gelsomini

Кампус/факультет: International College of Economics and Finance

Программа: Double Degree Programme in Economics of the NRU HSE and the University of London (Bachelor)

Оценка: 8

Год защиты: 2017

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.

Full text (added June 16, 2017)

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