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Testy warunków skrajnych jako metoda pomiaru ryzyka banków
Abstract
In the traditional concept, the primary goal of the undertaken stress tests wasan attempt to answer the question how sensitive is the portfolio of financial institution in response to assumed, emergency, but likely changes of operating conditions of a financial institution. As time passes, the use of stress tests continued to spread, covering wider and wider areas. Currently, the stress tests are an effective and complementary tool to the prudential norms e.g. Basel III. The flexibility in the selection of scenarios and risk parameters enable to identify systemic weaknesses in the banking sector and the assessment of the capital position of individual banks. The aim of this article is to present the main methodological framework for stress testing and their role in light of new prudential rules.
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stress tests , financial stability , Basel III , prudential standardsDownload files
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Vol. 64 No. 3 (2016)
Published: 2016-09-16
10.26354
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.