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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
An analysis of the stress testing methodology in accordance with IMF
 Vrška, Vratislav ; Blahová, Naďa (advisor) ; Marková, Jana (referee)
This master's thesis is focused on the issues of stress testing in the context of financial stability. It consists of two major parts. The first part deals with methodology of general stress tests with special regard to stressed indicators and relevant risks. In the second part, the difficulties and shortcomings of general stress tests are analysed with respect to the dynamic expansion of financial instruments and markets. A special attention is paid to integrate liquidity risk and contagion risk into the current stress testing framework. Furthermore, the alternative instruments for increasing the complexity of banks financial soundness analysis are presented. It can be said that the system of financial stability analysis before the crisis was not sufficient because it did not reflect on all risk exposures. The main contribution of this thesis is the organized presentation of possible solutions which would help to enhance the quality of stress testing outputs and to a certain extent unify these outputs as well.
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Interbank contagion under the Basel III regulatory framework
 Chleboun, Jakub ; Jakubík, Petr (advisor) ; Lešanovská, Jitka (referee)
This study assesses the impact of the Basel III regulatory framework on interbank contagion. It focuses on the direct interbank contagion that spreads via interbank foreign claims among national banking sectors. A balance sheet-based network model employs the quarterly consolidated banking statistics, collected by the Bank for International Settlements, to simulate the consequences of credit and funding shock under stressed market conditions. Compared to the Basel II, the Basel III regulatory framework reduces the probability of interbank contagion (following a simulated default of one banking sector) from 31% to 14% and lowers the impact of contagion by 63% in terms of average loss for a banking sector. The simulations under both regulatory frameworks show that relatively smaller banking sectors can trigger severe interbank contagion comparable to large banking sectors. Throughout the 2005-2009 period, the Basel III regulatory framework stabilizes the fluctuations of the scope of interbank contagion.
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