IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v2(543)y2010i2(543)p5-24.html
   My bibliography  Save this article

The Role of Stress-test Scenarios in Risk Management Activities and in the Avoidance of a New Crisis

Author

Listed:
  • Arion NEGRILÄ‚

    (Romanian Commercial Bank)

Abstract

Stress-tests can increase the endurance of banks and financial system when faced with crises especially during economic growth periods, when they may accept higher risks more easily and with lower prices. Their importance was revealed by the crisis which has proven to be much more severe in terms of amplitude than the worst scenarios used by banks. The case study presented assessed the impact that the deterioration of the main macroeconomic indicators might have upon a bank’s exposure to credit, FX, liquidity, interest, operational and market risks, upon its capital requirements, provisions and the balance sheet.

Suggested Citation

  • Arion NEGRILÄ‚, 2010. "The Role of Stress-test Scenarios in Risk Management Activities and in the Avoidance of a New Crisis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 2(2(543)), pages 5-24, February.
    • Handle: RePEc:agr:journl:v:2(543):y:2010:i:2(543):p:5-24
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/439.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=439&rid=58
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pavla Klepkova Vodova, 2015. "Sensitivity of Czech Commercial Banks to Run on Banks," DANUBE: Law and Economics Review, European Association Comenius - EACO, issue 2, pages 91-107, June.
    2. Pavla Klepková Vodová, 2015. "Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 1953-1960.
    3. Pavla Vodová, 2014. "Liquidity Risk Sensitivity of Czech Commercial Banks," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 62(2), pages 427-436.
    4. Pavla Klepková Vodová & Daniel Stavárek, 2015. "Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run," Working Papers 0020, Silesian University, School of Business Administration.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:2(543):y:2010:i:2(543):p:5-24. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marin Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.