Work detail

Stress testing of the banking sector

Author: Bc. Jana Procházková
Year: 2011 - summer
Leaders: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 66
Awards and prizes: B.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good bachelors diploma thesis.
Link:
Abstract: This bachelor thesis deals with stress testing of the banking sector. Stress testing
as a risk measurement technique has attracted much attention especially in recent years
due to the increased instabilities in financial markets. This work defines two objectives.
The aim of theoretical section is to provide a complex survey of stress testing principles
and methodologies and to contribute to a better understanding of why stress tests are
employed. The empirical section focuses on the credit risk in the Czech Republic. It
tries to estimate whether there is an empirical relationship between the quality of credit
portfolio of the Czech banking system and the development in key macroeconomic
variables. For this purpose the econometric model of vector autoregression has been
applied.
Downloadable: Bachelor Thesis of Procházková

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