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Stress Tests and Liquidity Crisis in the Banking System

100%
Llorent J., Melgar M. d. C., Ordaz J. A., Guerrero F. M.
Equilibrium. Quarterly Journal of Economics and Economic Policy
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2013
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vol. 8
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issue 2
31-43
EN
The paper´s aim is to contribute to the debate on the impact of stress test on banking system liquidity. Due to the theoretical character of the problem, the used methodology is a set of results from research and theoretical works about how the attempts to increase system solvency could lead into a greater lack of liquidity.
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Testy warunków skrajnych w ocenie adekwatności kapitałowej banku

63%
Zieliński T.
Studia Ekonomiczne
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2014
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vol. 186 cz 1
304-320
EN
Capital adequacy of the bank is only theoretical concept. In conditions of extreme complexity of banking activity as well as its market environment, it's impossible to ensure, that in case of bankruptcy, the bank is able to fully satisfy all of its external obligations. Contemporary, prudential regulations tend to improve regulatory framework of calculating economic capital in possibly the most perfect way. Providing coverage of economic capital in own funds, bank ensures the best safeguard for its stability. Unfortunately, all capital measures appear to be highly imperfect because of inconsistency of stylized statistical models with much more complex reality. One of the relatively new solutions, which are expected to improve the foregoing methodology, became stress testing method. Its role is to take into account not only typical risks events, but also those that may occur with a very little probability, but which may also result with serious losses. The main target for this paper is to introduce basic ideas of stress testing, to present fundamental rationales and to confront its pros and cons.
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