Thesis (Selection of subject)

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Stress testing of the banking sector

Thesis title in Czech:	Stress testing of the banking sector
Thesis title in English:	Stress testing of the banking sector
Key words:	zátěžové testování, bankovní sektor, finanční stabilita, bankovní rizika, kapitálová přiměřenost, vektorová autoregrese
English key words:	stress testing, banking sector, financial stability, banking risks, capital adequacy, vector autoregression
Academic year of topic announcement:	2010/2011
Thesis type:	Bachelor's thesis
Thesis language:	angličtina
Department:	Institute of Economic Studies (23-IES)
Supervisor:	doc. PhDr. Ing. et Ing. Petr Jakubík, Ph.D., Ph.D.
Author:	hidden - assigned by the advisor
Date of registration:	08.11.2010
Date of assignment:	29.11.2010
Date and time of defence:	14.09.2011 08:00
Venue of defence:	IES
Date of electronic submission:	31.07.2011
Date of proceeded defence:	14.09.2011
Opponents:	Mgr. Doina Todica

References

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Preliminary scope of work

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.

Preliminary scope of work in English

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.