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Key Indicators Of Banking Behaviour Changes Contributing To The Results Of Regulatory Stress Testing

Pore, Prasad (2016) Key Indicators Of Banking Behaviour Changes Contributing To The Results Of Regulatory Stress Testing. Masters thesis, Dublin, National College of Ireland.

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Abstract

Global Financial Crisis (GFC) of 2007-2011 resulted in failure of many financial institutions like Lehman Brothers and Washington Mutual. After GFC, Basel Committee on Banking Supervision (BCBS) and many worldwide regulatory/governing authorities focused on the implementation of a standardized framework for enhancing the ability of banking sector to withstand financial or economic crisis. This standardized framework, Third Basel Accord (Basel III), mainly concerns with stress testing, capital adequacy requirement and market liquidity risk. With the help of different financial indicators like capital, risk profile etc., regulatory stress testing assesses the ability of financial institutions to withstand financial and economic crisis. Changes in these indicators show certain banking behavior in anticipation of regulatory stress testing. This study tries to find such key indicators of banking behavioral changes contributing to the results of EU wide regulatory stress testing conducted in 2014. To understand similar problems and methodologies to solve such problems, literature in the field of data mining, statistics and finance has been reviewed in this paper.

Item Type: Thesis (Masters)
Subjects: Q Science > QA Mathematics > Electronic computers. Computer science
T Technology > T Technology (General) > Information Technology > Electronic computers. Computer science

H Social Sciences > HG Finance > Banking
H Social Sciences > HC Economic History and Conditions > Economic Recession
Divisions: School of Computing > Master of Science in Data Analytics
Depositing User: CAOIMHE NI MHAICIN
Date Deposited: 03 Dec 2016 12:23
Last Modified: 03 Dec 2016 14:46
URI: http://trap.ncirl.ie/id/eprint/2494

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