Theoretical and Applied Economics
No. 2 / 2010 (543)
The Role of Stress-test Scenarios in Risk Management Activities and in the Avoidance of a New Crisis
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.
Keywords: stress-test; financial crisis; risk management; capital requirements; provisions.
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Contents
- The Role of Stress-test Scenarios in Risk Management Activities and in the Avoidance
of a New Crisis
Arion NEGRILĂ
- On the Intensity of International Subsidy Competition for FDI
Tomáš HAVRÁNEK
Zuzana IRŠOVÁ
- About How Did the First Ever Big Economic Crisis Look Like
Liviu C. ANDREI
- The Role of Empathy in Developing the Leader’s Emotional Intelligence
Leonardo BADEA
Nicolae Alexandru PANĂ
- The Health of the Economy as a Living Organism
Constantin POPESCU
Cristina BURGHELEA
- The Role of Internal Audit in Optimization of Corporate Governance at the Groups
of Companies
Ionel BOSTAN
Veronica GROSU
- Banking Risk Management in the Light of Basel II
Vasile DEDU
Roxana NECHIF
