Kvantifikace systémového rizika: Metody, míry a jejich aplikace

This diploma thesis named “Systemic risk quantification” examines systemic risk from two perspectives, the regulatory and the market. The first half of the thesis describes the regulatory approach to systemic risk, specifically identification of systemically important institutions from global or domestic point of view, and further application of macroprudential regulation. The other half of the thesis describes market indicators and measures of systemic risk. First of all are described measures of the overall tension on the market, e.g. TED spread or LIBOR-OIS spread, second of all measures of the contribution of an individual institution to the banking sectors’ systemic risk, e.g. CoVaR, MES and SRISK. In the last part of the thesis are described basic indicators of systemic risk in application to chosen countries of the European Union.