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)
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:333472 |
| Date | January 2015 |
| Creators | Dítě, Martin |
| Contributors | Geršl, Adam, Jakubík, Petr |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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