Stress Testing the Italian Banking System during the Global Financial Crisis
diplomová práce (OBHÁJENO)
Zobrazit/ otevřít
Trvalý odkaz
http://hdl.handle.net/20.500.11956/48194Identifikátory
SIS: 93673
Kolekce
- Kvalifikační práce [17112]
Autor
Vedoucí práce
Oponent práce
Jakubík, Petr
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie a finance
Katedra / ústav / klinika
Institut ekonomických studií
Datum obhajoby
13. 9. 2011
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Velmi dobře
Klíčová slova (anglicky)
Financial crisis, macroeconomic stress testing, credit risk, latent-factor modelThis study performs a stress testing exercise on the Italian banking system in view of the 2007 financial crisis which was triggered by the crash of subprime mortgages. At the base of the global financial crisis was a failure of finan- cial regulators to quantify the accumulation of endogenous risks. Following the crisis, stress testing has acquired particular emphasis in the field of risk measurement under the Basel II supervisory framework. An econometric rela- tionship between the probability of default and the macroeconomic indicators is modeled according to the Merton approach for structural analysis using data on the Italian banking system. A latent factor model is employed to under- stand the dependence of the credit risk on the changes in the macroeconomic environment. The resulting relationship is exploited to compute the capital requirement under stressed conditions in order to draw inference about the resilience of the Italian banking system. JEL Classification G0, G01, G17, G10, C50, C22 Keywords Financial crisis, macroeconomic stress testing, credit risk, latent-factor model Author's e-mail jacomessi@yahoo.it Supervisor's e-mail petr.gapko@seznam.cz Abstrakt Klasifikace JEL G0, G01, G17, G10, C50, C22 Klíčová slova Financial crisis, macroeconomic stress test- ing, credit risk,...