Impact of Stress Testing on Bank Risk
|Author:||Mgr. Martin Dítě|
|Year:||2015 - summer|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Masters
|Awards and prizes:|
|Abstract:||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.