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Stability of the Financial System: Systemic Dependencies between Bank and Insurance Sectors
Procházková, Jana ; Šopov, Boril (advisor) ; Janda, Karel (referee)
The central issue of this thesis is investigating the eventuality of systemic break- downs in the international financial system through examining systemic depen- dence between bank and insurance sectors. Standard models of systemic risk often use correlation of stock returns to evaluate the magnitude of intercon- nectedness between financial institutions. One of the main drawbacks of this approach is that it is oriented towards observations occurring along the central part of the distribution and it does not capture the dependence structure of outlying observations. To account for that, we use methodology which builds on the Extreme Value Theory and is solely focused on capturing dependence in extremes. The analysis is performed using the data on stock prices of the EU largest banks and insurance companies. We study dependencies in the pre- crisis and post-crisis period. The objective is to discover which sector poses a higher systemic threat to the international financial stability. Also, we try to find empirical evidence about an increase in interconnections in recent post- crisis years. We find that in both examined periods systemic dependence in the banking sector is higher than in the insurance sector. Our results also in- dicate that extremal interconnections in the respective sectors increased,...
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Stability of the Financial System: Systemic Dependencies between Bank and Insurance Sectors
Procházková, Jana ; Šopov, Boril (advisor) ; Janda, Karel (referee)
The central issue of this thesis is investigating the eventuality of systemic break- downs in the international financial system through examining systemic depen- dence between bank and insurance sectors. Standard models of systemic risk often use correlation of stock returns to evaluate the magnitude of intercon- nectedness between financial institutions. One of the main drawbacks of this approach is that it is oriented towards observations occurring along the central part of the distribution and it does not capture the dependence structure of outlying observations. To account for that, we use methodology which builds on the Extreme Value Theory and is solely focused on capturing dependence in extremes. The analysis is performed using the data on stock prices of the EU largest banks and insurance companies. We study dependencies in the pre- crisis and post-crisis period. The objective is to discover which sector poses a higher systemic threat to the international financial stability. Also, we try to find empirical evidence about an increase in interconnections in recent post- crisis years. We find that in both examined periods systemic dependence in the banking sector is higher than in the insurance sector. Our results also in- dicate that extremal interconnections in the respective sectors increased,...
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Regulation of legal frame in the insurance industry and instruments for clients´ protection
Hellebrand, Pavel ; Daňhel, Jaroslav (advisor) ; Vostatek, Jaroslav (referee) ; Mesršmíd, Jaroslav (referee)
Thesis focuses on actual trends in regulation of financial markets and institutions, reflecting the financial crisis of 2007 -- 2009. Taking into consideration the range of these issues the thesis specifically deals with the insurance industry and impact of increasing regulation on the insurance companies. Further, thesis concentrates on intensification of financial markets regulation, consolidation of regulatory competence and its transfer on supranational authorities, including on the issue of changes in the approach to the systemic risks regulation. These matters are being analyzed mainly from the perspective of their impact on the insurance industry. Thesis tries to evaluate the adequacy of these trends in respect to insurance market. Also the thesis deals with optimization of the current system of insurance regulation in the Czech Republic by implementation of self-regulation components into it. Finally it deals with evaluation of the regulatory system in total from the clients' perspective.
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