Impact of Stress Testing on Bank Risk
| Author: | Mgr. Martin Dítě |
|---|---|
| Year: | 2015 - summer |
| Leaders: | doc. PhDr. Adam Geršl Ph.D. |
| Consultants: | |
| Work type: | Masters |
| Language: | English |
| Pages: | 70 |
| Awards and prizes: | |
| Link: | https://is.cuni.cz/webapps/zzp/detail/165056/ |
| Abstract: | This thesis studies the impact of macro stress testing on the riskiness of the participating banks. We use a dataset on 48 banks participating in either or both of the 2010 and 2011 EU exercises performed by the CEBS/EBA and 17 peer banks that did not participate. We find that early announcement of the 2010 stress test led to a temporary capitalization increase for the participating banks. We also find that disclosure of the 2011 exercise results caused a decline in capitalization for the participating banks. The results indicate that the way stress tests are prepared and communicated can strongly influence how banks react in terms of capitalization levels. |
