Detail práce

Impact of Stress Testing on Bank Risk

Autor: Mgr. Martin Dítě
Rok: 2015 - letní
Vedoucí: doc. PhDr. Adam Geršl Ph.D.
Konzultant:
Typ práce: Diplomová
Jazyk: Anglicky
Stránky: 70
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/165056/
Abstrakt: This thesis studies the impact of macro stress testing on the riskiness of the participating banks. We use
a dataset on 48 banks participating in either or both of the 2010 and 2011 EU exercises performed by the
CEBS/EBA and 17 peer banks that did not participate. We find that early announcement of the 2010
stress test led to a temporary capitalization increase for the participating banks. We also find that
disclosure of the 2011 exercise results caused a decline in capitalization for the participating banks. The
results indicate that the way stress tests are prepared and communicated can strongly influence how
banks react in terms of capitalization levels.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance