资源描述：
《macroeconomicstresstest：宏观压力测试》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
1、Macroeconomicstresstest-ComparativereviewoftheSerbiaandCzechRepublicViktorijaMisicStudentdoktorskéhostudia,Katedrahospodarskeasocialnipolitiky,NárodohospodářskáfakultaVŠEvPraze,Nám.W.Churchilla4,13067Praha3;e-mail:xmisv900@vse.cz.Abstract:AfterthecollapseofinvestmentbankLehmanBrothersbackin2008andt
2、heUSsubrimecrisis,themainquestionbecamethequantificationoffinancialsectorvulnerabilities.Sincethecollapseofcommercialbankscanleadtofinancialinstability,oneofadequatemeasureswouldbetoexaminetheeffectofshockstovariousriskfactorsonthefinancialconditionofbanks.Creditrisk,beingacrucialriskinbanks,isther
3、iskthataborrowerwilldefaultonhisfinancialobligations.Itcanleadtobiglossesinbankingbooks.WithintheframeworkofmacroeconomicstresstestweinvestigatetwocountriesCzechRepublicandRepublicofSerbia.TheCzechRepublicbecamethememberofEuropeanUnionin2004andpublishedfirstFinancialStabilityreportin2005.TheCzechfi
4、nancialsystemprovedresilienttotheeffectsoftheglobalfinancialcrisis.Duringthelastthreeyears,banksfurtherstrengthenedcapitalizationlevels,withtotalcapitalizationincreasingto15.9percentbyJune2011.Hence,theCzechbankingsectorwasoneofthefewinCentralandEasternEurope(CEE)which,sofar,didnotrequirepublicsupp
5、ort(InternationalMonetaryFund,2012).AlthoughSerbiabecameacandidateforEuropeanUnionmembershipin2012,startingfrom1.July2010,theNationalBankofSerbiamadeaffordsinstrengtheningstabilityofthefinancialsystem.AsapartoftheFinancialSectorAssessmentprogram(FSAP)stresstestwereconductedtoassesstheresilienceofth
6、eSerbianbankingsectortoasetofextremebutplausibleshocks.Thispaperdescribesthemethodologyofcreditstresstest,implementationandpracticallyapplymacroeconomicstresstestaswellastheresultsofSerbianandCzechbankingsector.Ourfocusisoncalculationofdefaultrateforcorporateandhouseholdsectorunderthescenario1,scen
7、ario2andscenario3incaseofCzechRepublicandRepublicofSerbia.Keywords:bank,financialstability,stresstests,creditrisk,macrostresstest,non-performingloans.JELclassification:C22,E24,E31,E27,G21,G28.1.Introduction
