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Theoretical and Applied Economics
No. 2 / 2010 (543)

The Role of Stress-test Scenarios in Risk Management Activities and in the Avoidance of a New Crisis

Arion NEGRILĂ
Romanian Commercial Bank

Abstract. Stress-tests can increase the endurance of banks and financial system when faced with crises especially during economic growth periods, when they may accept higher risks more easily and with lower prices. Their importance was revealed by the crisis which has proven to be much more severe in terms of amplitude than the worst scenarios used by banks.
The case study presented assessed the impact that the deterioration of the main macroeconomic indicators might have upon a bank’s exposure to credit, FX, liquidity, interest, operational and market risks, upon its capital requirements, provisions and the balance sheet.

Keywords: stress-test; financial crisis; risk management; capital requirements; provisions.

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