文章基本信息

标题：Using stress testing methodology in evaluating banking institution’s exposure to risk
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作者：Trenca, Ioan ; Mutu, Simona ; Pochea, Maria-Miruna 等
期刊名称：Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN：1583-3712
出版年度：2010
卷号：1
期号：11
页码：208-217
出版社：University of Craiova, Faculty of Economics and Business Administration
摘要：In order to correctly estimate the unpredictable effects on their transaction portfolios, the banks developed stress testing methods which turned out to be a very important tool in the bank supervision process. Moreover, the supervision authorities started using stress-testing methods for evaluating systemic risk and for determining the adequacy degree of capital in the banking sector. Taking into account the importance of these simulations, the present paper presents methodologies with which stress testing methods could be implemented by banks as well as their role in the management of credit risk, market risk and liquidity risk while also meeting the requirements imposed by the Basel II accord. By means of a case study we have simulated several scenarios in which the inter-bank market interest rate was varied, quantifying its impact on bank revenues as well as on the market value of their portfolios.
关键词：stress testing; credit risk; market risk; liquidity risk; capital adequacy; Basel II Accord