Išvestinių finansinių priemonių poveikio Euro zonos šalių sisteminei rizikai vertinimas

Abstract

Doctoral dissertation aims to solve a scientific problem: how to assess the impact of derivatives on the country’s systemic risk. The theoretical aspects of the country’s systemic risk and of the impact of derivatives on country’s systemic risk, as well as assessment models of country’s systemic risk, indicators of derivatives factors, and methods for assessing the impact of derivatives on country’s systemic risk are analyzed in the dissertation, advantages and disadvantages of applied assessment methods are identified. a new methodology of empirical research is justified, that allows to evaluate different characteristics of derivatives, i.e. different factors – market size of derivatives, market volatility of derivatives, market liquidity of derivatives, complexity of derivatives, leverage of derivatives, inter-connections between derivatives and other financial instruments – and the impact of these factors on systemic risk of euro area. To assess the impact, time series logistics data analysis method is applied, econometric correlation and regression analysis methods are used. Results of dissertation reveal, that the impact of derivatives on country’s systemic risk is significant, and the biggest impact can be observed via market size factor of derivatives. Additionally, indicators of derivatives key factors are suitable to be used in early warning systems, and the best factor to assess early systemic risk is complexity factor of derivatives.