声明
LIST OF ACRONYMS
CHAPTER 1:INTRODUCTION
1.1 Background of the problem
1.2 Statement of the problem
1.3 Objectives
1.4 Innovation of the research
1.5 The outline of the research
CHAPTER 2:LITERATURE REVIEW
2.1 Overview
2.2 Systemic risk
2.3 Macroprudential policy
2.4 Stress testing
2.5 Basel approach to systemic risk measurement
2.6 Classification of systemic risk measures
2.7 Problems existing in the literatures
2.8 The research of the thesis
CHAPTER 3:A THEORETICAL FRAMEWORK FOR ASSESSING THE SYSTEMIC RISK
3.1 Theoretical framework
3.2 Estimations of bilateral exposures matrix
3.3 Estimation of the time evolution of vi
3.4 The measures of banks default
3.5 Conclusion
CHAPTER 4:A THEORETICAL FRAMEWORK FOR MACROPRUDENTIAL CAPITAL REQUIREMENTS
4.1The network model of the banking system
4.2The measure of bank macroprudential capital requirements
4.3Macroprudential capital measures underlying four risk allocations mechanisms
4.4 Conclusion
CHAPTER 5:SYSTEMIC RISK ANALYSIS
5.1 Data
5.2.Network centrality measures
5.3 Estimation of market variables
5.4 Basic and contagious defaults
5.5 Conclusion
CHAPTER 6:STRESS TESTING
6.1 Shock scenario
6.2 Conclusion
CHAPTER 7:MACROPRUDENTIAL CAPITAL REQUIREMENTS OF THE NIGERIAN BANKING SYSTEM
7.1 Data
7.2 Changes in capital requirements
7.3 Probability of bank defaults and the macroprudential capital requirements
7.4 Conclusion
CHAPTER 8:CONCLUSIONS AND RECOMMENDATIONS
8.1 Contributions
8.2 Possible regulatory approaches for the systemic risk
8.3 Study limitations and areas for future research
参考文献
APPENDIX
PUBLICATIONS
致谢
