The Effectiveness of the Model of Stress Testing in the Banking Sector

Student: Kuznetsova Ekaterina

Educational Programme: Business Informatics (Master)

Year of Graduation: 2018

The aim is to improve the accuracy of the valuation of the securities portfolio on the basis of stress tests. Analyzing various approaches to stress testing and specificity of the banking sector, the author developed a model of stress testing, which is a combination of scenario analysis and sensitivity analysis. The use of approaches in the aggregate allowed to achieve a more accurate calculation of the stress test due to a more detailed analysis of the data.

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