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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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A Tool for Robustness Testing of Web-Services
Zelinka, Tomáš ; Očenášek, Pavel (referee) ; Rychlý, Marek (advisor)
This project deals with testing of web services. The result of this work will be a tool for load testing of web services using fault injection in their communication. The first part of the project discusses the basic aspects of testing web services. The second part of the work is more focused on testing high loads in combination with fault injection. The tool will allow automated run of the tests. The distributed model of the tool was designed to simulate real loads. In the last chapter are summarized achieved results.
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Perfecting the analysis of 10Gbit/s computer network
Ťápal, Tomáš ; Polívka, Michal (referee) ; Škorpil, Vladislav (advisor)
The master’s thesis consists of several parts. Describes the technology 10 Gbps Ethernet. Analyzer Ixia and Endace presents, especially their use for traffic analysis and stress testing the network devices. It deals with documents RFC concerning the routers and switch testing. Thesis includes the reports of tests switches and router performed by RFC 2544 and RFC 2889 documents. Part of the thesis is dedicated to COMBO FPGA cards. Documentations to the analyzers is created in this thesis and macro is on the CD for presentation of measurement results.
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Importance and development of stress tests of banks in Czech Republic and the EU
Štefančíková, Michaela ; Radová, Jarmila (advisor) ; Rybák, Zdeněk (referee)
This thesis deals with the stress testing of banks in Czech Republic and the EU. The first part discusses the financial stability. Attention is paid mainly to different opinions of financial institutions and other experts. The first part includes the financial stability assessment tools of two major financial institutions that deal with financial stability (IMF and ECB). The second part is devoted to one the specific assessment tool for financial stability - stress testing. Stress testing part targets to include the latest theoretical knowledge that are related to stress testing. The third part deals with the stress testing of the banking sector in the Czech Republic and examines the evolution of stress scenarios and methods of stress tests, which are the responsibility of CNB. The fourth part analyzes in detail the stress scenarios and the results of stress tests of the banking sector in the Czech Republic. The last part of the thesis is devoted to the analysis of stress tests of the EU banking sector.
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Stress Testing the Private Household Sector Using Microdata
Galuščák, Kamil ; Hlaváč, Petr ; Jakubík, Petr
We develop a methodology for identifying financially distressed households and use it for testing the responses to shocks to the unemployment rate, the interest rate and prices of essential expenditure in the Czech Republic. We extend the approach of Johansson and Persson (2006) for Sweden and Albacete and Fessler (2010) for Austria to allow for full labour market transitions between employment and unemployment, and, due to data availability, to account for heads and spouses within households. This improvement may lead to a higher response of household distress incidence due to the unemployment rate shock than in both Sweden and Austria, while the effects due to the interest rate shock are of similar size as in Austria. We illustrate the use of our approach for stress testing households’ ability to pay their debts using macroeconomic scenarios from the CNB’s official forecast and from the CNB’s Financial Stability Report. The results highlight the importance of using micro-level datasets in the analysis of household distress incidence, as the impact of shocks is more pronounced among lower-income households.
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Models for Stress Testing in the Insurance Sector
Komárková, Zlatuše ; Gronychová, Marcela
The project is focused on top-down stress testing of the Czech insurance sector. The aim of the present paper is to describe the advanced method for macro stress testing of insurance companies used by the CNB. We apply the presented stress test to eleven Czech insurance companies. The shocks applied are designed to replicate a macroeconomic scenario and to impact on both the asset and liability sides of the balance sheet. We consider both investment and insurance risks relating to the Czech insurance sector. An application of the simulated scenario to the Czech insurance sector illustrates that the sector is sufficiently resilient and stable.
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