文章基本信息

标题：STRESS TESTING IN FINANCIAL INSTITUTIONS
其他标题：STRES TESTOVI U FINANSIJSKIM INSTITUCIJAMA
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作者：Vladimir Mirković
期刊名称：Bankarstvo
印刷版ISSN：1451-4354
电子版ISSN：2466-5495
出版年度：2014
卷号：43
期号：1
页码：88-117
DOI：10.5937/bankarstvo1401088M
语种：English
出版社：Association of Serbian Banks
摘要：In 2000 the Basle Committee on the Global Financial System defined stress testing as “a generic term describing various techniques used by financial firms to gauge their potential vulnerability to exceptional but plausible events”.Exceptional events refer to one-off or recurring events with far-reaching consequences for the concerned financial institution and the financial sector’s stability overall.Such unexpected (exceptional) events include,for instance: bankruptcy in Argentina in 2001,stock markets collapse (“Black Monday”) on 19 October 1987,or the fall of the energy giant Enron in 2001.The adoption of the new Basle Accord (better known as Basle II) in 2001 envisaged the implementation of stress tests for the identification of events and future changes in economic circumstances that could cause some unfavorable effects on banks’ credit exposure,along with the assessment of banks’ ability to survive in the new circumstances.Negative experiences from the past,having undermined the stability of financial systems worldwide,made a decisive impact on regulators at all levels to additionally consider the issue of increasing the financial system’s resistance to the occurrence of unexpected - exceptional events.To this end,the introduction of stress tests was the turning point in the process of increased banking systems’ resistance to shocks.This paper primarily deals with stress testing methodology and bank risk measurement techniques,along with the main results of conducted tests,directly impacting the entire financial system.
其他摘要：Bazelski Komitet za globalni finansijski sistem je 2000.godine definisao stres testiranje „kao opšti pojam koji opisuje različite tehnike koje koriste finansijske institucije,da bi ocenile stepen sopstvene stabilnosti na neočekivane i ekstremne događaje“.Neočekivani događaj se odnosi na onaj događaj koji se odigrava jedanput ili više puta,ali sa dalekosežnim posledicama po samu finansijsku instituciju i stabilnost finansijskog sektora u celini.Takvi neočekivani (ekstremni) događaji su,na primer: bankrot u Argentini 2001.godine,krah berzanskih tržišta („Black Monday“) 19.oktobra 1987.godine ili propast energetskog giganta Enron-a 2001.godine.Donošenjem novog Bazelskog sporazuma (poznatijeg kao Bazel II) 2001.godine,je predviđena primena stres testova za identifikovanje događaja i budućih promena u ekonomskim uslovima koji mogu imati nepovoljne efekte po kreditnu izloženost banke,kao i da se izvrši procena bančine sposobnosti da opstane u novonastalim okolnostima.Negativna iskustva iz prošlosti,koja su do temelja uzdrmala stabilnost finansijskih sistema širom sveta,odlučujuće su uticala da regulatori na svim nivoima dodatno razmotre pitanje povećanja otpornosti finansijskog sistema na nastanak neočekivanih - ekstremnih događaja.U tom cilju uvođenje stres testova je predstavljalo prekretnicu u procesu porasta rezistentnosti bankarskih sistema na šokove.Ovaj rad se prvenstveno bavi stres test metodologijom,kao tehnikom merenja bankarskih rizika,kao i osnovnim rezultatima sprovedenih testiranja,koje imaju direktne posledice po ukupni finansijski sistem.
关键词：stress testing;financial institutions;banking sector of Serbia;Basle;unexpected events;scenario analysis;bank’s management
其他关键词：stres testiranje;finansijske institucije;bankarski sektor Srbije;Bazel;neočekivani događaji;scenario analiza;menadžment banke