IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Using stress testing methodology in evaluating banking institution’s exposure to risk

  • Ioan TRENCA
  • Simona MUTU
  • Maria-Miruna POCHEA

    (Babes-Bolyai University, Cluj-Napoca)

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://feaa.ucv.ro/FPV/011-28.pdf
Download Restriction: no

Article provided by University of Craiova, Faculty of Economics and Business Administration in its journal Finance - Challenges of the Future.

Volume (Year): 1 (2010)
Issue (Month): 11 (May)
Pages: 208-217

as
in new window

Handle: RePEc:aio:fpvfcf:v:1:y:2010:i:11:p:208-217
Contact details of provider: Postal: Str. A.I. Cuza nr. 13, Craiova
Phone: 004 0251 411317
Fax: 004 0251 411317
Web page: http://feaa.ucv.ro/
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:aio:fpvfcf:v:1:y:2010:i:11:p:208-217. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alina Manta)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.