Work detail

Systemic risk and sovereign crises

Author: Mgr. Tomáš Klinger
Year: 2013 - summer
Leaders: doc. PhDr. Petr Teplý Ph.D.
Work type: Finance, Financial Markets and Banking
Language: English
Pages: 105
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis.
Abstract: This thesis focuses on the link between financial system and sovereign debt crises through sovereign
support to banks on one hand and banks’ exposures to weak sovereigns on the other. After illustrating the
main relationships on the recent financial crisis, we construct an agent-based network model of an
artificial financial system allowing us to analyse the effects of state support on systemic stability and the
feedback loops of risk transfer back into the financial system. First, the model is tested with various
parameter settings in Monte Carlo simulations and second, it is calibrated to the real world data using a
unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in
the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the
effects of state support depend on several parameters but still there are settings in which it significantly
mitigates the systemic crisis. Finally, there are differences among the effects of the different types of
support measures.


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