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Cette thèse étudie l’impact des stress tests bancaires sur les différents acteurs du marché. Le premier chapitre analyse comment les actionnaires et les détenteurs d’obligations bancaires réagissent à l’information transmise par les stress tests durant une période de crise. Il s’appuie sur le test de résistance conduit en 2011 par l’Autorité Bancaire Européenne (ABE) au moment de la crise de la dette souveraine. Une étude économétrique de nature événementielle révèle que les actionnaires réagissent davantage aux informations spécifiques à chaque banque alors que les détenteurs d’obligations ont en général des réactions de nature plus macroéconomique et sont plus influencés par l’impact global de la crise financière. Cependant, si on va plus loin dans l’analyse, en prenant en compte différentes catégories d’obligations, on montre que le comportement des détenteurs de dette subordonnée tend à rejoindre celui des actionnaires. Cette réaction spécifique des actionnaires et des créanciers qui en sont les plus proches démontre que ce sont les acteurs les plus à même d’exercer une discipline de marché en période de crise financière. Le second chapitre prend en compte les stress tests bancaires menés en Europe et aux Etats-Unis et analyse leur contenu informationnel à partir de leur impact sur le cours des actions bancaires. L’objectif est de déterminer si cet impact est fonction du degré d’opacité des banques. On montre tout d’abord que le marché réagit significativement à l’annonce des résultats des stress tests à la fois pour les banques testées et les banques non testées. On met ensuite en évidence une relation non linéaire entre le degré d’opacité des banques et l’impact des stress tests, indiquant que les tests ont un contenu informatif pour les banques moyennement opaques mais pas pour celles qui sont déjà très transparentes ou au contraire très opaques. Le troisième chapitre étudie l’impact de la publication des résultats des stress tests sur les divergences de notations à l’émission des obligations bancaires. On met l’accent sur les notations de Moody’s et de Standard & Poor’s concernant les obligations émises par les banques ayant participé aux différents stress tests européens et américains. L’analyse de l’évolution des divergences de rating sur les périodes avant et après chaque stress test montre que la publication des résultats peut globalement accroître ou réduire ces divergences selon le test considéré. Les agences de notation peuvent donc interpréter les résultats détaillés des stress tests différemment et leur impact n’est donc pas univoque, pouvant même provoquer plus de divergences. Cependant, dans des périodes fortement troublées, telles que celle de la crise de la dette souveraine européenne, où le marché est confronté à beaucoup d’incertitudes et à un fort besoin d’information, les résultats des stress tests conduisent à une plus grande convergence des agences sur leurs notations des obligations bancaires. / This dissertation studies the impact of banks’ stress tests on the different market players. The first chapter analyzes how stockholders and bondholders react to the information disclosed in the financial market during crisis periods. We consider the 2011 EBA stress test as it discloses detailed information about banks and it is conducted during the European sovereign debt crisis. We use an event study methodology and find that stockholders’ reaction is more specific to the information disclosed, while bondholders have generally macro reaction and are more sensible to the financial crisis. However, when we go further in our analysis by considering the different categories of bonds, we find that the behavior of subordinated bondholders tends to be closer to the behavior of stockholders. This specific reaction of stockholders during financial distress may make them more susceptible to impose market discipline when there is a financial crisis. In a second chapter, we consider European and US banks’ stress tests to analyze the information value of the stress tests using stock market prices. We investigate if the stock market reactions to the stress test results are different according tothe degree of opacity of banks. We find that the stock market reacts significantly to the disclosure of the stress tests’ results on the whole banks (tested and non-tested) meaning that the stress test transparency has an impact not only on tested banks but also on banks that do not participated to the stress test. By separating the sample of banks in less opaque and highly opaque banks, we find a non-linear relation between opacity and market reaction. The third chapter of this thesis investigates the impact of the disclosure of the stress tests results on the credit rating agencies’ split ratings on bonds issued by banks. To calculate the split rating variable, we consider bonds jointly rated by Moody’s and Standard & Poor’s and issued by banks that participated to the European and US banks’ stress tests. The analysis of the split ratings on the period before and after each stress test results disclosure in Europe and in the US shows that the stress tests have mixed effect on credit rating agencies. Market participants could interpret the detailed data disclosed by the stress tests differently and these different interpretations may create more disagreements. However, we remark that in periods of distress i.e. during the European sovereign debt crisis, because of the high information need and the greater uncertainty, the stress tests results disclosure tends to decrease the split ratings.

Cette thèse se propose de traiter de trois problèmes de gestion des risques financiers en utilisant différentes approches asymptotiques. La première partie présente un algorithme Monte Carlo d’échantillonnage d’importance pour la valorisation d’options asiatiques dans des modèles exponentiels de Lévy. La mesure optimale d’échantillonnage d’importance est obtenue grâce à la théorie des grandes déviations. La seconde partie présente l’étude du comportement asymptotique de la somme de n variables aléatoires positives et dépendantes dont la distribution est un mélange log-normal ainsi que des applications en gestion des risque de portefeuille d’actifs. Enfin, la dernière partie, présente une application de la notion de variations régulières pour l’analyse du comportement des queues de distribution d’un vecteur aléatoire dont les composantes suivent des distributions à queues épaisses et dont la structure de dépendance est modélisée par une copule Gaussienne. Ces résultats sont ensuite appliqués au comportement asymptotique d’un portefeuille d’options dans le modèle de Black-Scholes / This thesis focuses on three problems from the area of financial risk management, using various asymptotic approaches. The first part presents an importance sampling algorithm for Monte Carlo pricing of exotic options in exponential Lévy models. The optimal importance sampling measure is computed using techniques from the theory of large deviations. The second part uses the Laplace method to study the tail behavior of the sum of n dependent positive random variables, following a log-normal mixture distribution, with applications to portfolio risk management. Finally, the last part employs the notion of multivariate regular variation to analyze the tail behavior of a random vector with heavy-tailed components, whose dependence structure is modeled by a Gaussian copula. As application, we consider the tail behavior of a portfolio of options in the Black-Scholes model

Stress tests are on a regular basis mentioned on the financial markets where some institutions have to perform it as a regulatory requirement and others have it as an optional way to complement their predictions. Stress tests are used to see how robust a financial instrument or a portfolio are in various scenarios. The challenge is to construct a stress test that is sufficiently extreme, while it is still plausible. The objective of this work is to study various stress testing methods that can be applied at Second Swedish National Pension Fund (AP2) associated with their prediction of market risks. Two different methods are implemented with various scenarios and thus unique analyzes are performed for each method. Hence, the methods are not compared against each other, but each method is analyzed individually with the advantages and disadvantages based on the choice of method and type of scenarios. The results of the first method, historical stress test, shows that the stressed portfolio would decrease in value under the specified scenario. For the second method, coherent stress test, the results vary for the different scenarios. / På den finansiella marknaden förekommer termen stresstester med jämna mellanrum, där vissa institutioner har det som krav och andra har det som ett frivilligt sätt att komplettera prediktioner. Stresstester används för att mäta hur robust ett finansiellt instrument eller en portfölj är i olika scenarion, där utmaningen blir att konstruera ett stresstest som är relevant och tillräckligt extremt. Målet med arbetet är att studera olika stresstestmetoder som ska kunna bli tillämpade hos Andra AP-fonden (AP2) i samband med deras prediktion av marknadsrisker. Två olika metoder implementeras med olika scenarion och således utförs unika analyser för respektive metod. Därav jämförs inte metoderna mot varandra utan varje metod analyseras individuellt med för- och nackdelar utifrån valet av metod och typen av scenarion. Resultatet för den första metoden, historiskt stresstest, påvisar att portföljen som stressas skulle minska i värde under det specificerade scenariot. För den andra metoden, koherent stresstest, varierar resultatet för de olika scenarierna.

This thesis studies the impact of macro stress testing on the riskiness of the participating banks. We use a dataset on 48 banks participating in either or both of the 2010 and 2011 EU exercises performed by the CEBS/EBA and 17 peer banks that did not participate. We find that early announcement of the 2010 stress test led to a temporary capitalization increase for the participating banks. We also find that disclosure of the 2011 exercise results caused a decline in capitalization for the participating banks. The results indicate that the way stress tests are prepared and communicated can strongly influence how banks react in terms of capitalization levels. Powered by TCPDF (www.tcpdf.org)

Title: The impact of training process on the stress tests results of women cross country skiing representation. Aim: The aim of this thesis is the comparison of the results of stress tests carried out preparatory period before and after the preparation period and whether the results were influenced by the applied training process. Methods: In this thesis was used background research of professional publications, content analyzes of documents and comparison of the results of stress tests and consultations with coaches and professionals who deal with cross-country skiing and stress tests issues. Results: The results of functional exercise diagnostic in test with the running ergometer showed positive effects of the training process on the stress test results after the preparatory period. Keywords: stress tests, laboratory conditions, stress, training, national team representants

Title: Optimization and stress tests Author: Diana Fašungová Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Jitka Dupačová, DrSc., Department of Probability and Mathematical Statistics Abstract: In the thesis we apply contamination technique on a portfolio optimiza- tion problem using minimization of risk measure CVaR. The problem is considered from a risk manager point of view. We stress correlation structure of data and of revenues using appropriately chosen data for this kind of problem and for ge- nerated stress scenarios. From behaviour of CVaR with regard to contamination bounds, we formulate recommendations for the risk manager optimizing his port- folio. The recommendations are interpreted for both types of stress scenarios. In the end, limitations of the model and possible ways of improvement are discussed. Keywords: contamination bounds, stress tests, portfolio optimization, risk mana- gement

Esta dissertação revê as metodologias de teste de estresse em sistemas financeiros e descreve uma análise de cenário e um teste de estresse aplicado ao Brasil. Os cenários macroeconômicos são modelados por vetores auto-regressivos e o teste de estresse por um probit ordenado com efeitos aleatórios. Dados para o Brasil no período de 11/2002 a 11/2007 são usados para estimar os cenários macroeconômicos. A experiência brasileira de 2002 e início de 2003 parecem particularmente interessante para um teste de estresse por incluir uma grande volatilidade de mercado com taxas de inadimplência e perdas bancárias acima da média. A introdução de cenários macroeconômicos no teste de estresse do sistema financeiro brasileiro e o uso de regressões de dados categorizados com dados em painel são a principal contribuição deste trabalho. O modelo pode ser estendido para usar dados para um setor industrial especifico para identificar potenciais riscos de concentração de empréstimos. / This dissertation reviews financial system stress-testing methodologies and describes a scenario analysis and macro stress testing applied to Brazil. The macroeconomic scenarios are modeled by a vector autoregressive and the stress testing by a random effects ordered probit panel. Data for Brazil over the time period from 11/2002 to 11/2007 is used to estimate the macroeconomic scenarios. The Brazilian experience in 2002 and early 2003 appears particularly suited for macro stress-testing as it includes a great market volatility with significantly higher than average default rates and banks\' losses. Introducing macroeconomic scenarios in Brazilian financial system stress-testing and using categorical regression with panel data are the main contributions of the dissertation. The model can be extended to use industrial specific sector data to stress in order to identify potential risks of loans\' concentration.

History of peaceful use of nuclear energy, despite of all necessary emphasis on operation safety, is accompanied by a series of accidents, some of which left indelible trace in minds of wide public and so led to changes in the comprehension of nuclear safety and in the access to its preservation. Because the consequences of possible nuclear power plant accident have always serious social impacts, it is most desirable to define all possibly risks, to quantify probability of their formation and in this way to gain the possibility to prevent them effectively and efficiently. This work is dedicated to approve or to disapprove that the KARS method is practically applicable for evaluation of nuclear power station operation safety. The work objective is to evaluate events and risks associated with the operation of a particular nuclear facility by the KARS method and critically evaluate obtained results and the used method as such. The work is divided into theoretical and practical part. Theoretical part includes basic information necessary for correct understanding of the chosen data processing procedure and subsequent interpretation of the gained results. A brief overview of basic concepts relating to the nuclear safety, the safety culture and the emergency preparedness, including their definitions is given in this section of the work. For the evaluation of obtained results it is useful to make familiar with basic concepts of the NPP safety evaluation, PSA and the stress tests. Obviously, it is necessary to describe the KARS method and to define the concept of quality of human performance with regard to the obtained results. The risk analysis by the KARS method was carried out in the four consecutive steps: 1. Data collection for the risk analysis. 2. Data processing by the use of the KARS method. 3. Interpretation of the obtained results. 4. Comparison of the obtained results with the available data. The particular risks for the construction of the risk correlation table were based on the analysis of activities of individual members of the emergency and technical support center on the basis of managing documentation for each function. In the emergency instructions these risks are either named or the action to manage them are determined. Subsequently these risks are further more specify according to the operational documentation used for solving abnormal and emergency conditions or solving of severe accidents. Determination of the risk correlation seems to be subjective and requires a considerable degree of professional insight into the analyzed issues. The risk analysis was processed according to the procedure that was laid down by Ing. Stefan Pacinda, Ph.D. Each risk taken into consideration in this analysis is briefly described within the interpretation of obtained results. The coefficients of activity with the biggest value were found for these risks: human error, earthquake, plane crash, terrorist threat, errors in operating and managing documentation and fire. The coefficients of passivity with the biggest value were found for these risks: human failure, serious damage to health, ecological disaster, components malfunctions, radiation accident, nuclear material integrity damage and control system malfunctions. Comparison of the risks that were postulated in the stress tests and the risks that were considered in this analysis indicate that the ETE NPP emergency response was prepared to be able to cope these risks. Results of this analysis showed that the essential element for the safe operation of nuclear power plants is qualified, well selected and systematically trained staff. In light of the experience acquired during elaboration of this work I have concluded that the KARS method can be used for nuclear safety evaluation only in a limited way.