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

Author

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  • 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 / Editura Economica, vol. 2(2(543)), pages 5-24, February.
    • Handle: RePEc:agr:journl:v:2(543):y:2010:i:2(543):p:5-24
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    Citations

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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    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.

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