Recent episodes of financial instability have motivated researchers as well as policy makers to intensify research on financial stability. This thesis contributes to current research and policy discussion by elaborating and empirically testing methodologies, which can be used to measure financial sector vulnerabilities and identify potential risks for financial stability. It further focuses on the link between real and the financial sector as well as possible implications of household financial distress on the aggregate economy. Together with the proposed framework we provide the survey of the current literature on these topics as well as the empirical results. We argue in favour of stress testing methodologies covering the key risks on banks' balance sheets. These frameworks can also be used for emerging markets where data availability is typically limited. It is shown that due to high volatility of credit growth in emerging economies, the static approach assuming constant balance sheet items is not very appropriate. Furthermore, the feedback effect between the financial sector and the real economy might play an important role under certain assumptions, and therefore it should be taken into account by policy makers. This effect can also emerge in the real sector itself as potential instability can...

This thesis if focused on performance, especially load testing of information systems. In the first part is defined software quality and reader is provided by fundamentals of software testing. Process of sofware testing is well described here. The rest of the paper is oriented on perfomance testing and it's processes and attributes. Specified are goals and principles of performance testing as well as types of performance tests and their purpose. Defined is load testing methodology including metrics for reliability and efficiency of information systems. Metrics are derived from well known international ISO standard 9126 - Software quality model. Methodology and metrics are validated during load test project on which author of this work participated. One chapter is also devoted to the tools used for load testing automatization. This paper is focused on the testing experts as well as on the other readers who want to acquire information on load testing, software efficiency or generally on testing of software quality.

Using a bioeconomic model and stochastic simulation to assess the economic viability of small-scale, recirculating shrimp farms in the Midwestern U.S. A series of stress tests were implemented on key input variables including survival rate, selling price, electricity usage, discount rate and the cost of added salt. The key output variable is the Net Present Value of the operation. <div><br></div><div><br></div>

Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’une seule source de risque systématique qui est la conjoncture macro-économique), ne sont pas respectées. Premièrement, ils existent des portefeuilles concentrés pour lesquels les macro-stress tests ne sont pas suffisants pour mesurer les pertes potentielles, voire inefficaces si ces portefeuilles impliquent des contreparties non cycliques. Deuxièmement, le risque systématique peut provenir de plusieurs sources ; le modèle actuel à un facteur empêche la répercussion propre des chocs « macro ».Nous proposons un stress test spécifique de crédit qui permet d’appréhender le risque spécifique de crédit d’un portefeuille concentré, et un stress test spécifique de liquidité qui permet de mesurer l’impact des chocs spécifiques de liquidité sur la solvabilité de la banque. Nous proposons aussi une généralisation multifactorielle de la fonction d’évaluation du capital réglementaire en IRB, qui permet d’appliquer les chocs des macro-stress tests sur chaque portefeuille sectoriel, en stressant de façon claire, précise et transparente les facteurs de risque systématique l’impactant. Cette méthodologie permet une répercussion propre de ces chocs sur la probabilité de défaut conditionnelle des contreparties de ces portefeuilles et donc une meilleure évaluation de la charge en capital de la banque. / Our thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank.