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Stress testing of the banking sector
Název práce v češtině: Stress testing of the banking sector
Název v anglickém jazyce: Stress testing of the banking sector
Klíčová slova: zátěžové testování, bankovní sektor, finanční stabilita, bankovní rizika, kapitálová přiměřenost, vektorová autoregrese
Klíčová slova anglicky: stress testing, banking sector, financial stability, banking risks, capital adequacy, vector autoregression
Akademický rok vypsání: 2010/2011
Typ práce: bakalářská práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: doc. PhDr. Ing. et Ing. Petr Jakubík, Ph.D., Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 08.11.2010
Datum zadání: 29.11.2010
Datum a čas obhajoby: 14.09.2011 08:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:31.07.2011
Datum proběhlé obhajoby: 14.09.2011
Oponenti: Mgr. Doina Todica
 
 
 
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Předběžná náplň práce
Předmětem bakalářské práce je zátěžové testování bankovního sektoru. Zátěžové testování jako metoda zabývající se detekcí finančních rizik si získalo pozornost zejména v posledních letech v důsledku výskytu nestabilit na finančních trzích. Tato práce si vymezuje dva hlavní cíle. Cílem teoretické části je podat komplexní přehled o základních principech a metodách využívaných v zátěžovém testování a objasnit motivaci aplikování zátěžových testů. Empirická část se zaměřuje na posuzování úvěrového rizika v České republice. Jejím cílem je prokázání případného empirického vztahu mezi kvalitou úvěrového portfolio českého bankovního sektoru a vývojem základních makroekonomických veličin. K tomuto účelu je využit ekonometrický model vektorové autoregrese.
Předběžná náplň práce v anglickém jazyce
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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