Work detail

Stability of the Banking Sector: Dependence Beyond Correlation

Author: Bc. Tomáš Fiala
Year: 2013 - summer
Leaders: PhDr. Boril Šopov, MSc., LL.M.
Consultants:
Work type: Bachelors
Language: English
Pages: 58
Awards and prizes: B.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good bachelors diploma thesis.
Link: https://is.cuni.cz/webapps/zzp/detail/110693/
Abstract: We analyze systemic risk of banks in countries of the so-called Visegrad Group (V4). Particularly, we focus on the relationship between a foreign mother and its local subsidiary which we compare to the relationship between subsidiaries in a given V4 country. We find that the systemic risk between two subsidiaries is higher than that between a mother and the respective subsidiary. In our analysis, we employ a technique stemming from a nonparametric multivariate Extreme Value Theory which is distribution free. Thus, our results are robust to heavy tails. Keywords Extreme value theory, systemic risk, financial stability, Visegrad Group, mother-subsidiary

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