Detail práce

Stress Testing of the Banking Sector

Autor: Bc. Aneta Mohylová
Rok: 2014 - letní
Vedoucí: PhDr. Jakub Seidler Ph.D.
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 78
Ocenění: Pochvala děkana Fakulty sociálních věd za vynikající bakalářskou práci.
Abstrakt: This bachelor thesis deals with stress testing of the banking sector as a tool that assesses the resilience of
a portfolio, an institution itself or an entire system to adverse macroeconomic development. It aims to
provide the reader with general understanding of theoretical aspects of stress testing and its practical
application. In the theoretical part, the meaning, purpose and use of stress testing is discussed. Further,
stress testing methodology and its limitations are explained and different types of stress tests are
mentioned. In the practical part, two hypotheses are tested using vector autoregression model. Firstly,
the dependence between loan portfolio quality and selected macroeconomic variables is estimated.
Secondly, two types of stress tests are designed in order to test the resilience of the Czech banking sector
and individual groups of banks divided according to their size categorization to three adverse scenarios
via the most common macroeconomic indicator – capital adequacy ratio. Results suggest high resilience
of the Czech banking sector towards adverse macroeconomic development.


Česká Spořitelna


Patria Finance