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In this paper we stress test the banking sectors of the PIIGS countries. We focus in particular on modeling the credit risk and estimating the impact of changes in macroeconomic variables on the level of capital adequacy. We develop two scenarios - a baseline stress testing scenario and an adverse scenario. The results indicate that under both scenarios, the analyzed banking systems have some capital adequacy issues. We find that the Portuguese banking sector is facing biggest capitalization problems. Number of undercapitalized banks under the adverse scenario is bigger than in baseline scenario for all the countries. Another finding which is common for all the countries is that large-sized privately owned banks are better capitalized than small and medium-sized ones. Last finding concerns ownership structure where we have found that all the state-owned banks are undercapitalized in both scenarios. JEL Classification F12, F21, C53, E37, G21, G28 Keywords bank, credit risk, macro stress testing, PIIGS Author's e-mail igor.vukic@gmail.com Supervisor's e-mail adibabin@gmail.com

The problem of the study was to determine the effect of a progressive muscle relaxation program on secretaries' self-reported job stress. It was hypothesized that there would be no difference in post-test scores of the control group and the experimental group on the Personal Strain subscale of the OSI-R questionnaire. It was also hypothesized that there would be no difference between the groups in post-test scores on the Occupational Stress subscale of the OSI-R questionnaire.The population of prospective subjects for the study consisted of Ball State University secretaries who were randomly selected and then randomly assigned to one of two groups. The experimental group received a multi-activity intervention which included: 1) a progressive muscle relaxation training session; 2) reminder sheets with the steps on how to do progressive muscle relaxation in case they forgot; 3) e-mail messages to remind them to do progressive muscle relaxation; and 4) the keeping of logs of their progressive muscle relaxation activities. The design of the study was a post-test only control group design. All subjects were asked to complete the OSI-Rquestionnaire at the end of the three-week intervention period. Descriptive statistics and two-tailed paired t-tests were used to analyze the data.The results indicated that there were no significant differences between the two groups on both the Personal Strain subscale and the Occupational Stress subscale of the OSI-R questionnaire. Based upon the results of this study, it was concluded that 15 minutes of progressive muscle relaxation did not make a difference in job stress levels of the subjects. Also, a three-week intervention period may not have been a sufficient amount of time to see results from the stress management technique used.Some of the recommendations for future study include using a larger sample size and using logs as a covariate for data analysis. Using a larger sample size could help create more variance in subjects and their responses. Having a covariate could help account for those individuals not complying with the intervention requirements. / Department of Physiology and Health Science

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Due to turbulence in the financial market throughout history, stress testing has become a growing part of the risk analysis performed by clearing houses. Events connected to previous crises have increased the demand for prudent risk exposure, and in this thesis we investigate regulators view on how CCPs should construct risk scenarios to meet best practice for stress testing their members’ composite portfolios. A method based on multivariate t-distributions and copula-transformations applied to historical time series data, is proposed for constructing an independent scenario generator which should be used as a compliment to other, more knowledge-based methods. The method was implemented in Matlab to test the theory in practice, and experiments were setup for pure stock portfolios as well as for derivative based portfolios. Backtests were then carried out to validate the underlying theory on historical data spanning 25 years in total. Results show that the method proposed in this thesis indeed has the potential to be a useful approach for creating stress scenarios. Its ability to render specific levels of plausibility seems to show a sufficient level of consistency with real life data, and further research is thereby justified.

This study performs a stress testing exercise on the Italian banking system in view of the 2007 financial crisis which was triggered by the crash of subprime mortgages. At the base of the global financial crisis was a failure of finan- cial regulators to quantify the accumulation of endogenous risks. Following the crisis, stress testing has acquired particular emphasis in the field of risk measurement under the Basel II supervisory framework. An econometric rela- tionship between the probability of default and the macroeconomic indicators is modeled according to the Merton approach for structural analysis using data on the Italian banking system. A latent factor model is employed to under- stand the dependence of the credit risk on the changes in the macroeconomic environment. The resulting relationship is exploited to compute the capital requirement under stressed conditions in order to draw inference about the resilience of the Italian banking system. JEL Classification G0, G01, G17, G10, C50, C22 Keywords Financial crisis, macroeconomic stress testing, credit risk, latent-factor model Author's e-mail jacomessi@yahoo.it Supervisor's e-mail petr.gapko@seznam.cz Abstrakt Klasifikace JEL G0, G01, G17, G10, C50, C22 Klíčová slova Financial crisis, macroeconomic stress test- ing, credit risk,...

This study initially presents historical trends in both the capitalized value and market value of farmland in the eight states comprising the Corn Belt and Lake States production regions as defined by the USDA. An econometric analysis of annual real cash rents per acre prior to determining the capitalized value of farmland in the eight states is then conducted. Two distributed lag models were hypothesized. The comparison of regression results of these two distributed lag models indicates that current year real cash rent can be best explained by current year real net farm income, lagged real net farm income over a period of years, and real cash rent in the previous year. A spreadsheet simulation model is used to project capitalized farmland values in each state as well as regional averages over the 2012-2015 period. These projections reflect alternative assumptions regarding future trends in real net farm income at the state level as well as the rate on 10-year constant maturity U.S. government bonds to assess the potential sensitivity of capitalized farmland values under adverse economic conditions. The projected trends in capitalized farmland values under two alternative stress scenarios reflecting higher interest rates levels and lower net farm income levels indicates that capitalized farmland values are particularly sensitive to interest rate fluctuations since cash rent expectations of landlords are based on current and lagged historical profit performance.