СТРЕС-ТЕСТОВЕТЕ КАТО НОВ ИНСТРУМЕНТ ОТ РИСК-МЕНИДЖМЪНТА НА БАНКИТЕ В ПЕРИОД НА ФИНАНСОВИ ТУРБОЛЕНЦИИ ЧАСТ II
THE STRESS TESTS AS THE NEW INSTRUMENT OF BANKS RISK MANAGEMENT IN A PERIDO OF FINANCIAL TURBULENCES PART II
Author(s): Sava Hristov Dimov
Published by: Бургаски свободен университет
Keywords: stress testing; „too big to fail“; „bottom-up“; „top-down“; „reverse” stresstest; vulnerable countries; default.
Summary/Abstract: In the paper a critical analysis is made of the practice in stress testing in banks. On that basis, some aspects of the selection of European banks are considered and reviewed. Some new issues are outlined, as a result of the requirements of the Basel Committee on Banking Supervision ‘Basel III’ and the European Banking Authority. An emphasis is put on the modelling of stress scenarios and „reverse” stress tests. Opinions of Bulgarian, Russian and Western European researchers on the issues of stress testing in the bank sphere are pointed. Interactive results of the stress tests carried out are presented, as of October 2014. The problems addressed are in the context of the global financial and economic crisis and the feasibility for new financial defaults in the countries of the Eurozone.
- Page Range: 423-445
- Page Count: 23
- Publication Year: 2015
- Language: Bulgarian