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. |
| Konzultant: | |
| Typ práce: | Rigorózní |
| Jazyk: | Anglicky |
| Stránky: | 116 |
| Ocenění: | |
| Odkaz: | |
| 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 |
