Satellite Model Accuracy in Bank Stress Testing

• Název práce v češtině: Přesnost satelitních modelů v zátěžových testech bank
• Název v anglickém jazyce: Satellite Model Accuracy in Bank Stress Testing
• Klíčová slova: satelitní model, kreditní riziko, Česká ekonomika, kombinování modelů
• Klíčová slova anglicky: satellite model, credit risk, Czech economy, model combination
• Akademický rok vypsání: 2016/2017
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: Mgr. Petr Polák, M.Sc., Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 14.06.2017
• Datum zadání: 14.06.2017
• Datum a čas obhajoby: 16.01.2019 08:30
• Místo konání obhajoby: Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206
• Datum odevzdání elektronické podoby: 04.01.2019
• Datum proběhlé obhajoby: 16.01.2019
• Oponenti: Mgr. Magda Pečená, Ph.D.

Seznam odborné literatury

Baboucek & Jancar (2005): “A var analysis of the effects of macroeconomic shocks to the quality of the aggregate loan portfolio of the czech banking sector.” CNB Working Paper Series(2005/1)

Blaschke, Jones, Majnoni, & Peria (2001): “Stress testing of financial systems: An overview of issues, methodologies, and fsap experiences.” IMF Working Paper

Buckland, Burnham, & Augustin (1997): “Model selection: An integral part of inference.” Biom etrics 53(2): pp. 603-618.

Cihak & Hermanek (2005): “Stress testing the czech banking system: Where are we? where are we going?” CNB Research and Policy Notes (2005/2)

Dees, Henry, & Martin (2017): “Stampe: Stress-test analytics for macro­ prudential purposes in the euro area.” European C entral Bank

Deutsche Bundesbank (2015): “Macro stress tests — technical documentation.” Deutsche Bundesbank.

Gersl, Jakubik, Konecny, & Seidler (2012): “Dynamic stress testing: The framework for testing banking sector resilence used by the czech national bank.” CNB Working Paper Series (2012/11)

Henry & Kok (2013): “A macro stress testing framework for assessing systemic risks in the banking sector.” European C entral Bank

Hjort & Claeskens (2003): “Frequentist model average estimators.” Journalof the American Statistical Associaction 98: pp. 879-899.

Jakubik & Schmieder (2008): “Stress testing credit risk: Comparison of the czech republic and germany.” Financial Stability Institute

Moral - Benito (2015): “Model averaging in economics: An overview.” Journal of Econom ic Surveys 29(1): pp. 46-75.

Papadopoulos, Papadopoulos, & Sager (2016): “Credit risk stress testing for eu15 banks: a model combination approach.” Bank of Greece: W orking Paper

Rumelhart, Hinton, & Williams (1986): “Learning representations by back-propagating errors.” Nature 323: pp. 533-536.

Sala-I-Martin, Doppelhofer, & Miller (2004): “Determinants of long term growth: A bayesian averaging of classical estimates (bace) approach.” American Economic Review 94(4) : pp. 813-835.


Wang, Zhang, & Zou (2009): “Frequentist model averaging estimation: A review.” Jrl Syst Sci & Complexity 2009pp. 732-748.

Willmott & Matsuur a (2005): “Advantages of the mean absolute error (mae) over the root mean square error (rmse) in assessing average model performance.” Clim Res 30(1)

CNB Financial Stability Report 2006 (2007): Czech National Bank.

CNB Financial Stability Report 2007 (2008): Czech National Bank.

CNB Financial Stability Report 2008/2009 (2009): Czech National Bank.

CNB Financial Stability Report 2009/2010 (2010): Czech National Bank.

CNB Financial Stability Report 2010/2011 (2011): Czech National Bank.

CNB Financial Stability Report 2011/2012 (2012): Czech National Bank.

CNB Financial Stability Report 2012/2013 (2013): Czech National Bank.

CNB Financial Stability Report 2013/2014 (2014): Czech National Bank.

CNB Financial Stability Report 2014/2015 (2015): Czech National Bank.

CNB Financial Stability Report 2015/2016 (2016): Czech National Bank.

CNB Financial Stability Report 2016/2017 (2017): Czech National Bank.

CNB Financial Stability Report 2017/2018 (2018): Czech National Bank.

Předběžná náplň práce

Aim of the thesis is to develop new satellite models (relations between financial and macroeconomic variables) for bank-stress testing in the Czech Republic.

Předběžná náplň práce v anglickém jazyce

Aim of the thesis is to develop new satellite models (relations between financial and macroeconomic variables) for bank-stress testing in the Czech Republic.