Macroeconomic stress-testing of banking systems: survey of methodologies and empirical application
|Author:||Mgr. Jana Šimečková|
|Year:||2011 - summer|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||This thesis deals with stress testing as a process that helps to assess the impact of potential
adverse shocks on the soundness of a financial system. First section is dedicated to
non-technical discussion about stress testing and to some methodological issues. The main
focus lies on the system-wide macroeconomic stress testing.
The empirical part of the thesis is a contribution to macroprudential analysis of the quality
of the aggregate loan portfolio in the Czech Republic. This study adopts a vector
autoregression model applied to the Czech banking sector in order to judge its stability and
present some evidence on macroeconomic variables affecting the Czech banking system.
As a measure of the strength of the loan portfolio is used the stock of non-performing loans
vis-à-vis total loans in the sector. The thesis follows the widely used methodology and
seeks to identify significant macroeconomic risk factors affecting the loan portfolio
quality. The latter part aims also to forecast the most likely development of the loan
|Downloadable:|| Diploma Thesis of Šimečková