Detail práce

Stress Testing of the Banking Sector in Emerging Markets

Autor: Mgr. Vukelič Tatjana
Rok: 2012 - zimní
Vedoucí: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.
Typ práce: Rigorózní
Jazyk: Anglicky
Stránky: 116
Abstrakt: Stress testing is a macro{prudential analytical method of assessing nancial
system's resilience to adverse events. This thesis describes the methodology
of stress tests and illustrates stress testing for credit and market risks on real
bank{by{bank data in two Balkan countries: Croatia and Serbia. Credit risk
is captured by macroeconomic credit risk models that estimate default rates of
corporate and household sectors. Setting{up the framework for countries that
were not much covered in former studies and that face 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 emerging markets that su er from similar
data limitations.
Ke stažení: Rigorózní práce Vukelič




Patria Finance