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Author
Misztal Piotr (Jan Kochanowski University in Kielce, Poland), Łupiński Marcin (Jan Kochanowski University in Kielce, Poland)
Title
Are Polish Banks Stable? A Systemic Risk Analysis
Czy polskie banki są stabilne? Analiza ryzyka systemowego
Source
Zeszyty Naukowe SGGW w Warszawie. Polityki Europejskie, Finanse i Marketing, 2022, nr 27 (76), s. 68-79, rys., tab., bibliogr. 31 poz.
Scientific Journals Warsaw University of Life Sciences - SGGW. European Policies, Finance and Marketing
Keyword
Ryzyko systemowe, Banki, Sektor finansowy, Pomiar ryzyka
Systemic risk, Banks, Financial sector, Risk measures
Note
JEL Classification: G21, G23, G32
streszcz., summ.
Abstract
Kryzys finansowy 2007+ ujawnił braki w reakcji decydentów politycznych na ryzyko systemowe. Okazało się, że nie tylko upadki poszczególnych banków, ale także negatywne efekty zewnętrzne wśród podmiotów mogą spowodować poważne zagrożenie dla sektora finansowego. W ciągu ostatnich 10 lat podjęto wiele międzynarodowych i krajowych inicjatyw mających na celu wzmocnienie stabilności systemu finansowego, wprowadzając perspektywę makroostrożnościową do nadzoru finansowego. Jednak ostatnie pandemie COVID19 okazały się poważnym negatywnym szokiem dla wielu gospodarek i ich sektorów finansowych. W niniejszym artykule, wykorzystując model sieciowy, staramy się przeanalizować, w jaki sposób te nieoczekiwane wydarzenia wpłynęły na polski sektor bankowy z ryzykiem systemowym. W celu analizy stabilności polskich banków opracowaliśmy formalne ramy testów warunków skrajnych oparte na modelu sieciowym, które umożliwiły identyfikację, modelowanie i pomiar ryzyka systemowego. Staraliśmy się zintegrować analizę czasu i przekrojowego charakteru ryzyka systemowego. (abstrakt oryginalny)

The financial crisis that began in 2007 pointed out deficiencies in policy-makers' responses to systemic risk. It turned out that not only individual bank insolvencies but also spillovers from negative externalities among entities can cause serious threats to the financial sector. During the last 10 years, many international and national initiatives were taken to strengthen the soundness of the financial system, introducing a macroprudential perspective to financial supervision. However, the recent COVID-19 pandemic resulted in a serious negative shock for many economies and their financial sectors. In this paper, using the network model we try to analyse how these recent unexpected developments affected the Polish banking sector with systemic risk. To analyse Polish bank stability we developed a formal stress-testing framework based on the network model that allowed systemic risk identification, modelling and measurement. We tried to integrate analysis of time and the cross-sectional nature of systemic risk. (original abstract)
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Bibliography
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ISSN
2081-3430
Language
pol
URI / DOI
http://dx.doi.org/10.22630/PEFIM.2022.27.76.6
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