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Stress Testing of the Banking Sector
Mohylová, Aneta ; Seidler, Jakub (advisor) ; Džmuráňová, Hana (referee)
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. Powered by TCPDF (www.tcpdf.org)
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Four Essays on Financial Stability
Jakubík, Petr ; Dědek, Oldřich (advisor) ; Mejstřík, Michal (referee) ; Kodera, Jan (referee) ; Peltonen, Tuomas (referee)
Recent episodes of financial instability have motivated researchers as well as policy makers to intensify research on financial stability. This thesis contributes to current research and policy discussion by elaborating and empirically testing methodologies, which can be used to measure financial sector vulnerabilities and identify potential risks for financial stability. It further focuses on the link between real and the financial sector as well as possible implications of household financial distress on the aggregate economy. Together with the proposed framework we provide the survey of the current literature on these topics as well as the empirical results. We argue in favour of stress testing methodologies covering the key risks on banks' balance sheets. These frameworks can also be used for emerging markets where data availability is typically limited. It is shown that due to high volatility of credit growth in emerging economies, the static approach assuming constant balance sheet items is not very appropriate. Furthermore, the feedback effect between the financial sector and the real economy might play an important role under certain assumptions, and therefore it should be taken into account by policy makers. This effect can also emerge in the real sector itself as potential instability can...
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Firewall Security Analysis
Cigánek, Josef ; Burda, Karel (referee) ; Hajný, Jan (advisor)
The bachelor essay is about security analysis and stress testing of firewalls. The main goal is to create a testing environment for eavesdropping of all communication of the firewall, on the principal of security analysis of the hardware firewall and stress testing with device Spirent Avalanche. The theoretical part of the essay is informing the readers about the problems surrounding firewall, security audits and penetration tests. The following practical part consists of commenting on the results of chosen security analysis and stress testing, applied in a laboratory for the hardware firewalls Hillstone SG-6000-G2120 and SG-6000-M7260.
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Stress testing of the banking sector
Procházková, Jana ; Jakubík, Petr (advisor) ; Todica, Doina (referee)
This bachelor thesis deals with stress testing of the banking sector. Stress testing as a risk measurement technique has attracted much attention especially in recent years due to the increased instabilities in financial markets. This work defines two objectives. The aim of theoretical section is to provide a complex survey of stress testing principles and methodologies and to contribute to a better understanding of why stress tests are employed. The empirical section focuses on the credit risk in the Czech Republic. It tries to estimate whether there is an empirical relationship between the quality of credit portfolio of the Czech banking system and the development in key macroeconomic variables. For this purpose the econometric model of vector autoregression has been applied.
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Loan Book Credit Risk Stress Testing - Survey on Practice in the Czech Republic
Argayová, Šárka ; Pečená, Magda (advisor) ; Kubíček, Martin (referee)
Stress testing is a general term for framework that assesses possible impact of an adverse shock on the financial health and a capital adequacy of a bank, other financial institution or the whole financial system. Because credit risk is typically the most important risk of a bank and many international surveys describe the credit risk stress testing as one of the least developed, it became the main topic of this thesis. Credit risk stress testing methods developed in the last years very dynamically especially thanks to the requirements on stress testing under the Basel II regulatory framework and a fact that further improvement of these methods is expected to ensure higher financial stability of institutions and financial sector to adverse shocks and enable to withstand severe crisis. The thesis concentrates on the micro level stress tests that are run by each individual bank. It describes the whole credit risk stress testing procedure, Basel II regulatory requirements, the importance of this framework for an institution and offers examples of possible stress testing methods and scenarios. The first significant contribution to the topic is a survey on practice in the mayor Czech banks that analyzes whether they are influenced in their credit risk stress testing framework by their parents or the...
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The impact of macroeconomic shocks on credit risk of Slovakian banking sector and its stress testing
Lörinčík, Martin ; Dědek, Oldřich (advisor) ; Kubíček, Martin (referee)
Credit risk tracking and quantification play important roles in risk management and they are not applied only by financial institutions on microeconomic level, but also by central banks on the background of aggregated data. This master thesis deals with the analyses of shocks of given significant macroeconomic variables and their reply on changes of households' and firms' defaulted, non performing loans in Slovakian banking sector. In introductory part, the method of data handling is described, because of their inconsistency in the given field of research. That is caused on one hand by the post-transformational consolidation process of Slovakian banking sector and on the other hand by legislative shifts and changes in calculation methodology of non performing loans. The main aim of the thesis is not to describe and interpret most precisely the economic relations that could influence the level of non performing loans, but the effort to widen the range of credit risk stress testing possibilities in Slovakian banking sector. In order to check the macroeconomic variables' significance, OLS regression is used. Important part of the stress tests is the application of Monte Carlo method which simulates high number of stress scenarios and macroeconomic variables' shocks and therefore helps to improve the...
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Macroeconomic stress-testing of banking systems: survey of methodologies and empirical application
Šimečková, Jana ; Geršl, Adam (advisor) ; Pečená, Magda (referee)
This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.
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Stress testing of banks in the United Kingdom
Jíša, Ondřej ; Blahová, Naděžda (advisor) ; Cibulka, Jakub (referee)
This bachelor thesis deals with the concept of stress testing the UK banking system. The first part examines used approaches to stress testing, summarises existing development in this area and describes individual measured risks. It is therefore a theoretical basis for an understanding of the second part. The second part is dedicated to the specific implementation of stress testing in the British economy. The results of stress tests from years 2014 and 2015 are analysed in this part. The thesis also includes a comparison of UK stress test 2014 with EU-wide stress test carried out in the same year. The conclusion includes a contemplation of future development of stress testing.
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Performace and Stress Testing Tool
Javorský, Daniel ; Veselý, Vladimír (referee) ; Ščuglík, František (advisor)
This thesis is concerned about performance and stress testing of Xtend product developed by Xura, Inc. Software development knowledge, theoretical knowledge of testing and testing tools are described in opening chapters together with key features and services provided by Xtend. Emphasis was put on implementation of performance and stress testing tool, which focuses on short-term and long-term testing scenarios and output of this tool serves Xtend developers. Part of this thesis also focuses on results of stress and performance tests.
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Stress testing of computer networks
Bolek, Daniel ; Martinásek, Zdeněk (referee) ; Hajný, Jan (advisor)
Bachelor's thesis deals with stress testing of server running on operating system Linux. Theoretical part of this project briefly describes the history of Linux, choice of distribution Debian and the server's applications Apache and Vsftpd. Then I describe device Spirent Avalanche 3100, which is designed to generate load and interprets results of tests. Semestral project also deals with DDoS attacks, analyzes current state in this field and describe those DDoS attacks, which provides device Avalanche 3100. Then shows possible solution, how to proceed, if we want to design protection against DDoS attacks. Practical part of semestral project is focused on installation of a operating system Linux, implementation and configuration web, FTP and SSH server services and firewall settings. After that the server is subjected to stress testing. The main aim is to test the success of HTTP and FTP server for different load height and determine, whether size of downloaded file has an effect to response time of the server. The aim of following section is to measure the impact of the choosen DDoS attacks. Protection against SynFlood attack is tested in the last part.
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