Stress Testing of the Banking Sector in Emerging Markets: A Case of the Selected Balkan Countries
| Autor: | Mgr. Tatjana Vukelič |
|---|---|
| Rok: | 2011 - letní |
| Vedoucí: | doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 120 |
| Ocenění: | Pochvala děkana Fakulty sociálních věd za vynikající výkon u státních zkoušek. |
| Odkaz: | |
| Abstrakt: | Stress testing is a macro{prudential analytical method of assessing the nancial system's resilience to adverse events. This thesis describes the methodology of the stress tests and illustrates the stress testing for credit and market risks on the real bank{by{bank data in the two Balkan countries: Croatia and Serbia. Credit risk is captured by the macroeconomic credit risk models that estimate the default rates of the corporate and the household sectors. Setting{up the framework for the countries that were not much covered in former studies and that face the 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 the emerging markets that su er from the similar data limitations. |
| Ke stažení: | Diplomová práce Vukelič Příloha k DP |
