20.500.12556/DKUM-43703 PREVERJANJE TVEGANJ SLOVENSKIH BANK S STRES TESTI Verification of Risk in Slovenian Banks With Stress Tests Banke so v današnjem času čedalje bolj izpostavljene tveganjem in nepredvidljivim situacijam, ki jih lahko doletijo. Izjemni dogodki so sicer redki, vendar verjetni, in prav je, da jih banke upoštevajo. Takšni dogodki radi nastopijo po dolgem času mirnih ekonomskih in finančnih stanj. Stresni dogodki doletijo banke v glavnem ob večjih krizah. Glavni cilj stresnega testa je izračun potencialne izgube finančne institucije ob upoštevanju izjemnih dogodkov. Skozi magistrsko nalogo bomo tako govorili o stresnih testih, ki so pomembno orodje pri ocenjevanju tveganj v primeru individualnih šokov, ki lahko doletijo institucijo. Magistrska naloga je sestavljena iz dveh delov. V prvem delu predstavljamo teoretično izhodišče stresnih testov, njihovih metodologij in scenarijev, pravila in principe bank pri stresnem testiranju ter sam potek stresnega testiranja. Teoretično smo opredelili vrste tveganj, njihove značilnosti in merjenje s poudarkom na likvidnostnem tveganju. V drugem, empiričnem delu magistrske naloge, pa smo najprej na primeru banke prikazali stresni scenarij za upravljanje likvidnosti, kjer lahko vidimo, kako banke v praksi izvajajo stresne teste. Poudarek empiričnega dela je na anketi, ki smo jo poslali vsem bankam, registriranim v Sloveniji, in tako pridobili pomembne informacije o izvajanju stresnih testov v slovenskih bankah. Nowadays banks have been more and more exposure to risk and the ramifications of unforeseen circumstances. While the occurrence of anomalous or exceptional events may be uncommon, they are nevertheless a distinct possibility, and it is appropriate therefore that the banks pay careful consideration to such. These anomalies have a tendency to become manifest after a protracted period of stable economic and financial conditions. Banks are particularly susceptible to stressful events during times of major crises. Stress testing has as its primary objective the calculation of potential losses sustained by financial institutions consequent to irregular or anomalous events. Accordingly, in the context of a postgraduate dissertation we will discuss the importance of stress testing as a tool for economic risk assessment, particularly in regard to those specific shocks that can negatively impact financial institutions. This dissertation is comprised of 2 sections. In the first section we present the theoretical basis for the field of stress testing: its methodology and context; the rules and principles of the banks in regard to stress testing; and, the conduct of stress testing. Concomitantly, we define the different kinds of risks, their characteristics and measurement, with particular emphasis on the risk of insolvency and liquidity. In the second section of the dissertation we consider stress testing from an empirical perspective. Therein we present a scenario of liquidity management in the context of bank stress, and from which can be ascertained how the banks conduct stress tests in practice. The emphasis within the empirical section is on a survey which we previously mailed to all registered banks in Slovenia, and from which we gained important information about the implementation of stress testing in these institutions. stresni test analiza občutljivosti analiza scenarija tveganja stress testing sensitivity analysis scenario analysis risk true true false T. Ravlan Slovenski jezik Angleški jezik Magistrsko delo 2014-02-24 17:52:21 2014-06-11 13:14:29 2022-05-10 03:06:41 2021-04-28 03:15:11 2014 0 [Maribor 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 336.71 11725852 URN:SI:UM:DK:MPKJZPWM MAG_Ravlan_Tadeja_2014.pdf MAG_Ravlan_Tadeja_2014.pdf 1 25DA7620FEF14698EF32CFEB70E4BD95 05aae481d68ccc08638c77343769acdc68da83ccd761c356dc84a7a881e4bca2 b1ea1a83-7c0a-11eb-bb7a-00155d0001ca https://dk.um.si/Dokument.php?lang=slv&id=62335 Ekonomsko-poslovna fakulteta 0 0 0