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Volume 1
Issue 1
Online publication date 2010-04-01
Title Stress testing as a tool for simulating the effects of crisis in banks
Author Edward Wiszniowski
Abstract Emergence of crisis in financial markets, especially banks, have forced a change in approach to risk management. It has become necessary to develop new or refine existing models of early bankruptcy threat warning, as well as establishing the potential impact of bank failures. One of the tools, indicating that resistance to the phenomenon of crisis is “stress testing”. Its aim, at least in the case of banks, is concerned with estimating the level of economic resistance towards the occurring risk. Some of these risks are: the non-payment of loans due to deterioration in the economic situation of a country, fluctuations in interest rates, exchange rates and a fall in prices of securities which are traded on stock exchanges. This article discusses the nature of stress testing and shows the current legislation in Poland and presents the results of a stress testing conducted on the largest U.S. banks in May 2009. The rank and results of these studies show the importance of the role of stress testing as a complementary research of a diagnostic and prognostic nature.
Citation
References
Basel Committee on Banking Supervision, 2009. Principles for sound stress testing practices and supervision, Bank for International Settlements, www.bis.org

Chyliński, A., 1999. Metoda Monte Carlo w bankowości, TWIGGER

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Federal Deposit Insurance Corporation (FDIC), 30.06.2009, www2.fdic.gov

GINB, 2005. Dokument konsultacyjny DL/7/2F, Generalny Inspektorat Nadzoru Bankowego, Warszawa

Jones, M., Hilbers, P., Slack, G., 2004. Stress testing financial systems: What do when the governor calls, International Monetary Fund, WP/04/127

Knight, F., 1921. Risk, uncertainty, and profit, Hart, Schaffner and Marx

KNF, 2009. Informacja o sytuacji banków w okresie styczeń -wrzesień 2009, Warszawa

Największa w historii fala upadłości banków w USA, www.wp.pl, 25.10.2009

O’Brien, Ch., 2009. Valuation of life insurance on a market-consistent basis: Experience from the United Kingdom, Actual Practice Forum

UKNF, 2008. Uchwały Komisji Nadzoru Finansowego, Nr 380 -386 z dnia 17.12.2008r. (Resolution number: 380-386 of the National Finance Commision, dated 17 th December 2008 -Translation is the author’s)

Wiszniowski, E., 2009. Badanie ekspozycji kredytowych zabezpieczonych hipotecznie przy wykorzystaniu informacji z systemu rachunkowości, (a Study credit exposures secured by mortgages using information from the accounting system - Translation is the author's), SKwP, Warszawa

Keywords Banking, banking risks, risk management, financial crisis
DOI http://dx.doi.org/10.15208/beh.2010.09
Pages 58-66
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