\begin{tikzpicture} 
\begin{axis}[
axis equal,
axis lines*=middle,
enlargelimits = false,
xmax=1.5,
xmin=-1.5,
ymin=-1.5,
ymax=1.5,
axis line style={->,>=stealth},
xlabel={$\mathrm{Re}\{z\}$},
ylabel={$\mathrm{Im}\{z\}$},
every axis x label/.style={
    at={(ticklabel* cs:1)},
    anchor=north,
},
every axis y label/.style={
    at={(ticklabel* cs:1)},
    anchor=south,
},
xtick={0.7, 1},
ytick=\empty,
xticklabels={$a$, 1},
%xmajorgrids,
%ymajorgrids,
xticklabel style = {xshift=-0.2cm},
every outer y axis line/.append style={white!15!black},
every y tick label/.append style={font=\color{white!15!black}},
legend style={draw=white!15!black,fill=white,legend cell align=left}]
\addplot[line width=1pt,mark=*, mark size = 3pt, mark options={fill=white}] coordinates {(0, 0)};
\addplot[line width=1pt,mark=x, mark size = 3pt] coordinates {(0.7, 0)};
\draw (axis cs:0,0) circle [black, line width=2pt, radius=1];
\draw[name path=A, dashed] (axis cs:0,0) circle [black, line width=2pt, radius=0.7];
\draw [name path=B, white] (axis cs:-1.4, -1.4) rectangle (axis cs:1.4,1.4);
%\draw[fill=black!20] (axis cs:1.3, -1.3) rectangle (axis cs:1.5,-1.1);
\addplot [
thick,
color=black,
fill=black, 
fill opacity=0.2
]
fill between[
of=A and B,
];
\node[fill=black!20] (roc) at (axis cs:0.7, -1.2) {ROC: $|z| > |a|$};
\end{axis}
\end{tikzpicture}
