Work detail

Impact of the EU-wide stress tests results on market valuation of banks

Author: Bc. Jiří Zelenka
Year: 2017 - summer
Leaders: Mgr. Josef Brechler
Consultants:
Work type: Bachelors
Language: Czech
Pages: 50
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/166408/
Abstract: This thesis examines the relationship between EU Wide Stress Test 2016 results
(EU-WST) and market values of participating banks which includes both the effects of the
results presented and the form of presentation on the investors. The first part of this work is
theoretical, it provides a basic overview of the stress testing and its methodology, there is also
one section including both criticism and defense of WST. Readers find here the stress testing
alternatives using AQR 2014, CCAR and SRISK methods followed by comparison of all
approaches.
The second part consists of the literature review focused on the topic of stress testing and
impact of the presentation of results.
The third part is focused on the model using First-Difference estimator used by author to
analyze in the three periods effect of individual tested parameters on market values of banks,
which occurred after the publishing of EU-WST 2016 results and alternative results. Two
models describe an isolated impact right after the publishing, while the last one works with
the whole period.
Results show a lack of significant estimators, which is probably caused by a really small
testing sample.
The final chapter summarizes findings together with author’s comments.

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