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2013, vol. 42, br. 5, str. 30-53
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U funkciji procene rizika u bankarskom sektoru zemalja jugoistočne Evrope
Stress testing in the function of risk assessment in the banking sectors of Southeast Europe (SEE) countries
Projekat: Unapređenje konkurentnosti Srbije u procesu pristupanja Evropskoj uniji (MPNTR - 47028)
Sažetak
Poslovni ambijent u kome bankarski sektor obavlja aktivnosti postao je veoma dinamičan. Da bi se poslovanje efikasno obavljalo, banke donose politiku upravljanja rizicima kao polazni akt koji treba bliže da definiše prepoznavanje i kontrolu ukupne izloženosti banke svim vrstama rizika. Za očuvanje finansijske stabilnosti široko je rasprostranjeno testiranje otpornosti na stres, koje analizira mogućnosti pojedinih finansijskih institucija ili celokupnog finansijskog sistema u cilju apsorbovanja različitih vrsta šokova (rizika). Kao analitička metoda, stres test pruža kvantitativnu procenu ranjivosti bankarskog portfolija, koja se najčešće vezuje za neočekivane, ali stvarne ekonomske događaje i šokove. Cilj stres testova je da na univerzalan i sistematizovan način ukaže na potencijalne probleme unutar bankarskog sistema i time omogući državi i učesnicima na finansijskom tržištu da blagovremeno reaguju. Kolaps američkog finansijskog tržišta negativno je uticao na globalni ekonomski i finansijski sistem. Analiza otpornosti na stres, kao instrument za procenu rizika dobija na važnosti u krugovima međunarodnih finansijskih institucija i regulatornih tela sa izbijanjem svetske ekonomske krize.
Abstract
The business environment in which banking sectors function has become rather dynamic. In order to conduct their operations efficiently, banks adopt a risk management policy as the basic document closely defining detection and control of total bank's exposure to all types of risk. A method widely used for the purpose of preserving financial stability is testing resilience to stress, which analyses the possibilities of individual financial institutions or the overall financial system, in terms of absorbing various types of shocks (risks). As an analytical method, stress test provides a quantitative assessment of a banking portfolio's vulnerability, mostly related to unexpected, but realistic economic events and shocks. The objective of stress tests is to indicate, in a universal and systematized manner, potential problems within the banking system, thereby enabling the government and financial market participants to respond in a timely fashion. The collapse of the US financial market has exerted an adverse impact on the global economic and financial system. The analysis of stress tolerance, as a risk assessment instrument, has gained importance in the circles of international financial institutions and regulatory bodies since the outbreak of the global economic crisis.
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