Work detail

Stress Testing of the Banking Sector in Emerging Markets

Author: Mgr. Vukelič Tatjana
Year: 2012 - winter
Leaders: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D.
Work type: Doctoral
Language: English
Pages: 116
Awards and prizes:
Abstract: 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.
Downloadable: Rigorous Thesis Vukelič




Patria Finance