Draft

National Research University

Higher School of Economics

Faculty of Economics

Department of Banking

DRAFT

Of the paper

“Systemic Risk in Russian Banking System”.

Student Rodina V.I.

Group 41BBD

Argument Consultant Professor Solodkov V.M.

Language Consultant Assistant Professor Ph.D Guskova N.V.

2013

Introduction ………………………………………………………….……………… 3

Chapter 1. Theoretical background and regulation ……………..... 5

1.1. The Relevance of Basel II and Basel III. Systemically Important Banks … 5

1.2. Measuring Systemic Risk ……………………………………………………….…..6

1.3 Stress tests …….……………………………….………………………………..……..6

Chapter 2. Systemic Risk in Russian Banking System..……………… 7

2.1. Features of Russian Banking System ……………….……..………..………….7

2.2. Empirical findings in Russia ………………………..………………………………7

2.3 Financial crisis and systemic risk distribution …......................................8

Chapter 3. Methodology and Data..…………………………………………. 9

References ……………………………………………………………………………….10

Introduction

Systemic risk of banking system assumes aggregation of all types of risks which are interconnected and come from the same factor. This risk involves credit, market, operation risk and all its components. Usually, systemic risk arises from economic factors, such as financial crises, natural disasters, changes in government policy or sharp decrease or increase in prices of goods.

There are also a few definitions of systemic risk. Predominantly, systemic risk is understood as the probability of contagion effects that cause cascades of defaults.[1] The Financial Stability Board determines systemic risk as “a risk of disruption to financial services that is (i) caused by an impairment of all or parts of the financial system and (ii) has the potential to have serious negative consequences for the real economy”[2].

The object of...