RISK ASSESSMENT AND STRESS TESTING ON EUROPEAN BANKS

Abstract: 

The banking sector is an important part of the economic system. This has been clearly demonstrated through the recent crisis, which has emphasized the impact that the operation of banks has on other sectors.

The rapid changes of the past decades have created new opportunities and challenges for banks. Within this context banking risk management has become crucial. Among the various risk management techniques, stress testing has become extremely useful. Vulnerability assessments will be conducted upon European banks under extreme but feasible macroeconomic scenarios. Corporate governance and monetary policies of banks will be examined too.

  • Bank ratios and macroeconomic variables will be collected by standard databases for the first work package (WP1).
  • Literature reviews (WP2) from all research areas and econometric analyses (WP3) will be elaborated by seven quarterly reports.
  • WP1-3 will prepare us in order to produce three Ph.D. theses and eleven publications to journals with significant impact factor (WP4).
  • Software for risk assessement and stress testing,along with user-friendly manuals will be developed in WP5.

The results of the project will advance the existing research on stress testing in banking risk management, through the introduction of multidimensional and multicriteria techniques for integrated risk appraisal. In addition to, its contributions to the theory of risk management, the project will also develop tools that can be used by practitioners and policy makers. Among other contributions, econometric models will be developed to relate macroeconomic variables to banking risks in the context of economic crises. Also a user-friendly decision support system will be developed enabling users to conduct stress testing scenarios and to perform a multicriteria evaluation of their results. The adoption of the project's results in practice will provide a competitive advantage to banks by improving their risk management practices.

Project info

Acronym:
duth7
Coordinating Institution:
Democritus University of Thrace (DUTH)
Scientific Coordinator:
Papadopoulos Savas
Research Team 2 Leader:
Gogas Periklis
Research Team 3 Leader:
Zopounidis Konstantinos
Research Team 4 Leader:
Drimpetas Evaggelos

Stats

I.D.:
1355
Mis:
383547
Duration (months):
45
Budget:
600 000.00
Diavgeia:
ΑΔΑ: Β4ΘΔ9-ΥΩ3

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