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Introduction to applied stress testing
Čihák, Martin (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.imf.org/external/pubs/ft/wp/2007/wp0759.pdf Novo okno

Izvleček
Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustratetheir strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing forcredit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.

Jezik:Angleški jezik
Ključne besede:finančni sistemi, obvladovanje tveganj, tveganje, krediti, obrestna mera, likvidnost, testiranje, indikatorji, ekonometrija, modeli, financial systems, risk management, risk, credit, interest rate, liquidity, testing, indicators, econometrics, models
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2007
Založnik:International Monetary Fund
Št. strani:74 str.
Kraj:Washington
UDK:336
COBISS.SI-ID:17266662 Povezava se odpre v novem oknu
Število ogledov:537
Število prenosov:79
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
Skupna ocena:(0 glasov)
Vaša ocena:Ocenjevanje je dovoljeno samo prijavljenim uporabnikom.
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