Sökning: "bank stress testing"

Hittade 3 uppsatser innehållade orden bank stress testing.

  1. 1. Micro Drivers behind the Changes of CET1 Capital Ratio : An empirical analysis based on the results of EU-wide stress test

    Magister-uppsats, Högskolan i Jönköping/IHH, Företagsekonomi

    Författare :Dan Luo; Yajing Ran; [2019]
    Nyckelord :EU-wide Stress Testing; Bank Capital Structure; EU Banks; Determinants; Panel Data Analysis; GARCH Model.;

    Sammanfattning : Background: Stress tests have been increasingly used as a part of the supervisory tool by national regulators after the financial crisis, which can also be used to conduct authorities’ supervisory for determining bank capital levels, assessing the health of a bank. Purpose: The main purpose of this study is to assess whether some micro factors play important roles on the changes of Common Equity Tier One Capital Ratio (between the bank accounting value and the stress testing results under the adverse scenarios). LÄS MER

  3. 2. Bank Opacity - Empirical evidence from the CDS and equity market

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Björn Björkman; [2012]
    Nyckelord :bank opacity; event-study; bank stress testing; credit default swap; Business and Economics;

    Sammanfattning : This paper examines to what extent the 2011 EU-wide bank stress test provided the market with new information. The intention is to conclude whether the European banking sector should be considered opaque or not. This is done by studying the credit default swap market and the equity market using event-study methodologies. LÄS MER

  4. 3. Value at Risk: A Standard Tool in Measuring Risk : A Quantitative Study on Stock Portfolio

    Master-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Hosea Ofe; Peter Okah; [2011]
    Nyckelord :Value at Risk; Back Testing; Kupiec Test; Student T-Distribution; Historical Simulation; Normal Distribution; and Exponentially Weighted Moving Average.;

    Sammanfattning : The role of risk management has gained momentum in recent years most notably after the recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of value at risk which is considered a benchmark to measure financial risk. LÄS MER