Stress Testing of the Banking Sector in Emerging Markets - Vukelic, Tatjana
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Recently, financial stability of the banking sector has been a widely discussed issue. Above all, assessment of the appropriate amount of capital that banks should put aside to guard against various types of risks that they face is a great challenge. One of the techniques that help to answer the question of whether a bank and the banking sector have a sufficient capital buffer for the case of a crisis is called stress testing. Stress testing is a macro-prudential analytical method of assessing the resilience of the financial system to severe but plausible events. The book describes the…mehr

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Produktbeschreibung
Recently, financial stability of the banking sector has been a widely discussed issue. Above all, assessment of the appropriate amount of capital that banks should put aside to guard against various types of risks that they face is a great challenge. One of the techniques that help to answer the question of whether a bank and the banking sector have a sufficient capital buffer for the case of a crisis is called stress testing. Stress testing is a macro-prudential analytical method of assessing the resilience of the financial system to severe but plausible events. The book describes the methodology of stress tests and shows case studies for credit and market risks on real bank-by-bank data in two Balkan countries: Croatia and Serbia. Setting-up a proper framework for countries that have not been covered in detail in the literature and that face limited availability of data was the major challenge of the work. The outcome can reveal potential risks to financial stability. The methods described in this book can be applied to test the soundness of the financial sectors in other emerging markets that suffer from data limitations.
Autorenporträt
Ph.D. student in Economics at the Institute of Economic Studies, Charles University in Prague, Czech Republic. Her scope of research includes financial stability of emerging markets, with emphasis on South-Eastern Europe. Currently employed as an Analyst at RWE Transgas, a.s., Prague.