Модели за оценка на риска при извършване на стрес тестове в банковия сектор
Risk Assessment Models In Stress Testing The Banking Sector

Summary/Abstract: This paper presents methods and approaches for risk assessment as part of today’s bank risk management and their applicability in the methodology of simulation stress testing the stability of the banks and banking system. The aim is to present risk assessment models and stress tests as a tool for stochastic modelling of the assessment of banks’ financial stability, analyzing the features of the methodology, and the approaches to modelling changes in risk and the regulatory aspects of control over these processes. The features and applicability of the VaR and ES Models, as well as of the stochastic models, in risk assessment and banks’ simulation stress tests are clarified.

• Details
• Contents