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[{"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Parviainen, Elina", "language": "", "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2019-07-02T06:07:44Z", "language": null, "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2019-07-02T06:07:44Z", "language": null, "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2019", "language": "", "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/64943", "language": null, "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "T\u00e4m\u00e4n Pro gradu -tutkielman tarkoituksena oli tutkia Basel-s\u00e4\u00e4d\u00f6sten vaikutusta\npankkij\u00e4rjestelm\u00e4n systeemiseen riskiin. Tutkielman alkupuolella tarkasteltiin\nBasel-s\u00e4\u00e4d\u00f6ksi\u00e4, joiden avulla s\u00e4\u00e4dell\u00e4\u00e4n p\u00e4\u00e4asiassa pankkien p\u00e4\u00e4oman\nm\u00e4\u00e4r\u00e4\u00e4 ja laatua. Kirjallisuuden perusteella tarkasteltiin s\u00e4\u00e4d\u00f6sten vaikutuksia\ntalouteen, esiteltiin systeemisen riskin eri m\u00e4\u00e4ritelmi\u00e4 sek\u00e4 mittareita ja tarkasteltiin\nsit\u00e4, voidaanko Basel-s\u00e4\u00e4d\u00f6ksill\u00e4 hallita systeemist\u00e4 riski\u00e4.\nAineisto koostui FTSE Eurooppa ja FTSE Euroopan pankit -kokonaistuottoindekseist\u00e4.\n\nAineiston pohjalta m\u00e4\u00e4riteltiin viisi eri kriisiperiodia, jotka otettiin\nanalyysissa huomioon. Systeemisen riskin mittarina k\u00e4ytettiin pankkien Valueat-\nRisk-lukua (VaR), joka kertoo pankin suurimman odotetun tappion tietyll\u00e4\nluottamustasolla ja tietyll\u00e4 aikahorisontilla normaalien markkinaolosuhteiden\nvallitessa. VaR-luvun laskemiseksi hy\u00f6dynnettiin yleistetty\u00e4 autoregressiivist\u00e4\nehdollista heteroskedastista (GARCH) mallia, jonka avulla saatiin estimaatti\ntuottojen varianssille. Lopulta testattiin regressioanalyysin avulla, miten Basels\u00e4\u00e4d\u00f6sten\ntiukentaminen on vaikuttanut pankkien systeemiseen riskiin.\n\nTulosten mukaan Basel-s\u00e4\u00e4d\u00f6kset eiv\u00e4t ole pienent\u00e4neet pankkien systeemist\u00e4\nriski\u00e4, vaan systeeminen riski n\u00e4ytt\u00e4isi itseasiassa kasvaneen samanaikaisesti\nviimeisimpien Basel-s\u00e4\u00e4d\u00f6sten k\u00e4ytt\u00f6\u00f6noton kanssa. Tulosten perusteella volatiliteetin\nklusteroituminen on suurin yksitt\u00e4inen selitt\u00e4v\u00e4 tekij\u00e4 pankkien VaRluvulle\neli toisin sanoen suuret shokit yleens\u00e4 seuraavat suuria shokkeja. Tutkimuksen\nperusteella voidaan p\u00e4\u00e4tell\u00e4, ett\u00e4 Basel-s\u00e4\u00e4d\u00f6ksiss\u00e4 on viel\u00e4 puutteita ja\nniiden uudistamisessa tulee jatkossa keskitty\u00e4 systeemisen riskin pienent\u00e4miseen,\njotta voidaan saavuttaa yh\u00e4 vakaampi pankkij\u00e4rjestelm\u00e4 ja ehk\u00e4ist\u00e4 suurten\nfinanssikriisien tapahtuminen.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by Paivi Vuorio (paelvuor@jyu.fi) on 2019-07-02T06:07:44Z\nNo. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2019-07-02T06:07:44Z (GMT). No. of bitstreams: 0\n Previous issue date: 2019", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "66", "language": "", "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "fin", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "Basel-s\u00e4\u00e4d\u00f6kset", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "systeeminen riski", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "systeemisen riskin mittarit", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "pankkij\u00e4rjestelm\u00e4", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Basel-s\u00e4\u00e4d\u00f6sten vaikutus pankkij\u00e4rjestelm\u00e4n systeemiseen riskiin", "language": "", "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-201907023527", "language": "", "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Business and Economics", "language": "en", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Taloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "yvv.contractresearch.funding", "value": "0", "language": "", "element": "contractresearch", "qualifier": "funding", "schema": "yvv"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": null, "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": "", "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "riskit", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "pankit", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "p\u00e4\u00e4oma", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "pankkikriisit", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": "https://rightsstatements.org/page/InC/1.0/", "language": null, "element": "rights", "qualifier": "url", "schema": "dc"}, {"key": "dc.type.okm", "value": "G2", "language": null, "element": "type", "qualifier": "okm", "schema": "dc"}]
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