Projects

Systemic risk on financial markets: interconnectedness of financial institutions

prof. Ing. Štefan Lyócsa, PhD.

Members of project
doc. Ing. Tomáš Výrost, PhD., prof. Ing. Juraj Sipko, PhD., MBA., Ing. Tomáš Plíhal, PhD., prof. Ing. Štefan Lyócsa, PhD., Ing. Zuzana Košťálová, PhD., prof. Ing. Eva Horvátová, CSc., prof. Roman Horváth, PhD., prof. Iftekhar Hasan, Ing. Peter Gernát, PhD., doc. Ing. Eduard Baumohl, PhD.

• Basic informations
• Characteristics

• Duration of the project: 07/2019 - 12/2022
  ID number: APVV-18-0335

• Systemic risk leads to spillover effect of distress of one or more financial institution into other, local or foreign, parts of the financial system, while at the same time intensity of systemic risk varies over time, depending on the interconnectedness of institutions in the financial system. The majority of assets in the financial system of Slovakia is controlled by foreign institutions, which leads to increased fragility of the financial system in Slovakia. The main aim of the proposed applied research project is to design an application that allows to create and model a complex network of linkages between financial institutions in the world that will be used to monitor systemic risk and fragility of the financial system. We are going to create a complex financial network that allows the beneficiary of the research proposal to evaluate the fragility of the Slovak financial system, to evaluate not only how government policies, regulators and monetary authorities influence the level of systemic risk, but also how systemic risk influences indebtedness of households and firms. Our solution uses new methods that integrate global and systematic approaches towards systemic risk and allows a comparison across countries that allows us to test how different policies and regulations influence the systemic risk.