Zátěžové testy tržního rizika u vybraných subjektů v pojistném sektoru

Abstract

The diploma thesis is focused on the evaluation of the resilience of selected investment portfolios created on the basis of approximations of the portfolios of five entities from the Czech insurance market. For this purpose, there is performed market risk stress testing based on the modeling of various stress scenarios. The diploma thesis is divided into five chapters. The first chapter is an introduction, which is focused on getting knowledge about the aim of the work and its structure. The second chapter contains a description of selected methods of stress testing, definition of risk and market risk, clarification of Value at Risk issues, stress testing and scenario analysis. Next chapter is the analysis of input data. This chapter contains a description of selected entities from the Czech insurance market and calculation of input parameters for stress testing. In the fourth chapter, the selected stress scenarios are described, the stress testing is applied to the selected database and at the end of the chapter the results of the stress tests are evaluated. The final chapter briefly summarizes and evaluates the results found in the diploma thesis.