Detail práce

Stress Testing of the Banking Sector in Emerging Markets: A Case of the Selected Balkan Countries

Autor: Mgr. Tatjana Vukelič
Rok: 2011 - letní
Vedoucí: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 120
Ocenění: Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek.
Abstrakt: Stress testing is a macro{prudential analytical method of assessing the nancial
system's resilience to adverse events. This thesis describes the methodology of
the stress tests and illustrates the stress testing for credit and market risks on
the real bank{by{bank data in the two Balkan countries: Croatia and Serbia.
Credit risk is captured by the macroeconomic credit risk models that estimate
the default rates of the corporate and the household sectors. Setting{up the
framework for the countries that were not much covered in former studies and
that face the limited availability of data has been the main challenge of the
thesis. The outcome can help to reveal possible risks to nancial stability. The
methods described in the thesis can be further developed and applied to the
emerging markets that su er from the similar data limitations.
Ke stažení: Diplomová práce Vukelič
Příloha k DP




Patria Finance