Macro Stress Testing on Credit Risk of banking sectors in PIIGS countries
diplomová práce (OBHÁJENO)
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Trvalý odkaz
http://hdl.handle.net/20.500.11956/72075Identifikátory
SIS: 138296
Kolekce
- Kvalifikační práce [17115]
Autor
Vedoucí práce
Oponent práce
Lelovská, Adriána
Fakulta / součást
Fakulta sociálních věd
Obor
Ekonomie a finance
Katedra / ústav / klinika
Institut ekonomických studií
Datum obhajoby
24. 9. 2014
Nakladatel
Univerzita Karlova, Fakulta sociálních vědJazyk
Angličtina
Známka
Velmi dobře
Klíčová slova (česky)
stress-testing, banks, financial stabilityKlíčová slova (anglicky)
stress-testing, banks, financial stabilityIn this paper we stress test the banking sectors of the PIIGS countries. We focus in particular on modeling the credit risk and estimating the impact of changes in macroeconomic variables on the level of capital adequacy. We develop two scenarios - a baseline stress testing scenario and an adverse scenario. The results indicate that under both scenarios, the analyzed banking systems have some capital adequacy issues. We find that the Portuguese banking sector is facing biggest capitalization problems. Number of undercapitalized banks under the adverse scenario is bigger than in baseline scenario for all the countries. Another finding which is common for all the countries is that large-sized privately owned banks are better capitalized than small and medium-sized ones. Last finding concerns ownership structure where we have found that all the state-owned banks are undercapitalized in both scenarios. JEL Classification F12, F21, C53, E37, G21, G28 Keywords bank, credit risk, macro stress testing, PIIGS Author's e-mail igor.vukic@gmail.com Supervisor's e-mail adibabin@gmail.com