National Repository of Grey Literature 28 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
Stress Testing of Internet Telephony
Šípek, Martin ; Ilgner, Petr (referee) ; Číka, Petr (advisor)
The thesis deals with the development of a module for JMeter that adds SIP stress testing functionality that was previously missing in the program. The theoretical part of the thesis deals with Internet telephony and codecs used in telephony. The SIP protocol is discussed in detail and the end of this part is devoted to stress testing. The practical part focuses mainly on the development of the proposed module, where the code of the module is described in detail, but it also deals with the installation and configuration of the Asterisk PBX on which the proposed module is tested. The results of this testing are analyzed at the very end of this thesis.
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.
Financial Stability Issues and Stress Testing of the Insurance Sector
Hauryliuk, Nadzeya ; Jakubík, Petr (advisor) ; Čech, František (referee)
The purpose of this thesis is to provide an overview of risk and vulnerabilities for financial stability of the European Insurance sector. The methods and principles of risk assessment are examined, as well as their application for the insurance sector. The current macroeconomic situation and its impact on insurers' financial stability is described. Downward changes of interest rates are identified as the biggest current risk. This results from a system-wide stress test conducted by EIOPA (European Insurance and Occupational Pensions Authority), analysis of sensitivities published by several big European Insurers published on a yearly basis and finally from an econometric analysis of the relationship between market data and changes in macroeconomic variables. Keywords financial stability, stress testing, insurance sector, insurance risks
Credit risk stress testing of the Czech banking sector
Vachušková, Karolína ; Pečená, Magda (advisor) ; Švéda, Josef (referee)
This thesis aims to describe stress testing in the Czech banking sector focusing on the most significant banking risk, which is credit risk. The thesis examines the difference between regulatory and internal stress testing, compares their assumptions, outcome quality and usability. It deals with the regulation of stress tests, which banks must fulfil. Further, it uses the current Covid-19 crisis as a test of whether the adverse scenarios used are sufficiently severe to cover the risks for and impacts on the actual negative development of the economy. This analysis assesses the Czech banking sector's readiness and resilience and includes the reactions of banks and the Czech authorities to increasing risks.
Impact of the EU-wide stress tests results on market valuation of banks
Zelenka, Jiří ; Brechler, Josef (advisor) ; Gutiérrez Chvalkovská, Jana (referee)
Tato práce se zabývá vztahem mezi výsledky Evropských zátěžových testů 2016 WST) a tržním ohodnocením účastnících se bank, tedy jaký efekt měly výsledky a forma jejich prezentace na investory. První část práce je teoretická a přináší přehled základních informací o zátěžových testech a jejich metodice, dále se zde nachází jak ohlasy, tak i obhajoba WST. Také zde čtenář nalezne alternativní postupy testování bank, využívající metody AQR 2014, CCAR a SRISK, následované přístupů. Druhá část obsahuje přehled stěžejní literatury týkající se zátěžových testů a vlivu zveřejňování jejich výsledků. Třetí část práce se zabývá modelem využívajícím "First Difference" estimátor, který pomocí tří zkoumaných časových úseků analyzuje vliv jednotlivých testovaných faktorů na změny tržních hodnotách bank, které nastaly po zveřejnění výsledků jak EU ostatních testů. Dva modely popisují izolovaný vliv těchto testů po zveřejněních, zatímco poslední model nahlíží na daný časový úsek jako na celek. Výsledky modelů ukazují jen málo signifikantních odhadů, způsobených pravděpodobně Závěrečná kapitola shrnuje získané poznatky doplněné o autorův komentář. Klíčová slova Zátěžové testy, Kapitál, Tržní ohodnocení, EBA, AQR, CCAR, SRISK
Financial Stability Issues and Stress Testing of the Insurance Sector
Hauryliuk, Nadzeya ; Jakubík, Petr (advisor) ; Čech, František (referee)
The purpose of this thesis is to provide an overview of risk and vulnerabilities for financial stability of the European Insurance sector. The methods and principles of risk assessment are examined, as well as their application for the insurance sector. The current macroeconomic situation and its impact on insurers' financial stability is described. Downward changes of interest rates are identified as the biggest current risk. This results from a system-wide stress test conducted by EIOPA (European Insurance and Occupational Pensions Authority), analysis of sensitivities published by several big European Insurers published on a yearly basis and finally from an econometric analysis of the relationship between market data and changes in macroeconomic variables. Keywords financial stability, stress testing, insurance sector, insurance risks
The importance of stress testing in freediving.
Bachura, Lubomír ; Vondrášek, David (advisor) ; Bažant, Filip (referee)
Title: The importance of stress testing in freediving. Objectives: The aim of this work is to choose the most appropriate stress tests in freediving collected from specialized literature, personal experience and from freedivers. Methods: The main methods were compilation to gathering studying resources, summary and organization of sources and nonformal interview with specialists from freediving. Keywords: Freediving, stress testing, performa
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)
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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