20.500.12556/DKUM-44927 OBREMENITVENI TESTI V POSLOVNIH BANKAH STRESS TESTS IN COMMERCIAL BANKS Obremenitveno testiranje je pomembno orodje za ocenjevanje tveganj. Banke ga uporabljajo kot del svojih notranjih ocenjevalnih programov, ki ga skozi program Basel spodbujajo nadzorniki. Obremenitvena testiranja opozarjajo uprave bank na nepričakovane negativne učinke, povezane z različnimi tveganji in nakazujejo na količino kapitala, ki bi bila potrebna za ublažitev izgub v primeru večjih šokov. Obremenitveni test je način ocenjevanja portfelja na podlagi različnih predpostavk, ki kaže občutljivost portfelja na določeno krizno situacijo. Ti testi so lahko koristni, saj pri večini kapitalskih trgov zgodovina donosov ne nudi dovolj podatkov o vedenju trgov pod ekstremnimi pogoji, poleg tega pa dopolnjujejo tradicionalne modele z ocenami o tem, kako se spreminja vrednost portfelja v odnosu do izrednih a verjetnih sprememb pod osnovnimi kriznimi pogoji. Stress testing is an important risk management tool that is used by banks as part of their internal risk management and, through the Basel II capital adequacy framework, is promoted by supervisors. Stress testing alerts bank management to adverse unexpected outcomes related to a variety of risks and provides an indication of how much capital might be needed to absorb losses should large shocks occur. A stress test is a way of revaluing a portfolio using a different set of assumptions. The result of a stress test show the sensitivity of a portfolio to a particular shock. Stress tests can be useful because for most asset markets, the history of returns does not provide sufficient information about the behavior of markets under extreme events. Stress tests complement traditional models with estimates of how the value of a portfolio changes in response to exceptional but plausible changes in the underlying risk factors. obremenitveni testi Basel minimalne kapitalske zahteve temeljni kapital 1. stopnje regulatorni nadzor Stress test Basel minimum capital requirements Core Tier 1 ratio Supervisory Review process true true false [H. Kos] Slovenski jezik Angleški jezik Diplomsko delo 2014-07-05 10:06:57 2014-10-03 13:41:38 2022-05-14 03:06:35 2021-05-01 03:20:46 2014 0 Vitanje 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 336.71 11795996 URN:SI:UM:DK:UQ2GGOGF VS_Kos_Helena_2014.pdf VS_Kos_Helena_2014.pdf 1 13A6E290E7CF0219F0E86090103564E3 4c6c753588fd34947f46dfd7b4dc7a49420d5cf07d2c3a58822c91af097e3c62 f7f01bdb-7c0a-11eb-bb7a-00155d0001ca https://dk.um.si/Dokument.php?lang=slv&id=64752 Ekonomsko-poslovna fakulteta 0 0 0