Czy polskie banki są stabilne? Analiza ryzyka systemowego

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Piotr Misztal
Marcin Łupiński


Słowa kluczowe : stabilność finansowa, ryzyko systemowe, model sieci
Abstrakt
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.

Article Details

Jak cytować
Misztal, P., & Łupiński, M. (2022). Czy polskie banki są stabilne? Analiza ryzyka systemowego. Zeszyty Naukowe SGGW, Polityki Europejskie, Finanse I Marketing, (27(76), 68–79. https://doi.org/10.22630/PEFIM.2022.27.76.6
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