In order to correctly estimate the unpredictable effects on their transaction portfolios, the banks developed stress testing methods which turned out to be a very important tool in the bank supervision process. Moreover, the supervision authorities started using stress-testing methods for...

An adequate liquidity management is eesential for the good functioning of the banking system, but also for the whole financial system. Within the present article our aim is to determine and analize the macroeconomic and financial factors that influence the liquidity level of banks from Central...

This paper aims is to examine and verify the appropriateness and usefulness in practical use of models for calculating VaR. It presents a case study applied to a theoretical bank portfolio in order to the identification and protection against market risk, while determining capital requirements....

Taking into account that one of the most important factors which have caused the financial crisis was the bad risk management practices in banks we want to confirm the need to develop more efficient risk management practices. The fact that return distributions are characterized by time varying...

The bank management must decide the proportion placed in different assets and liabilities in order to achieve the desired profitability level and to respect the liquidity, solvency and prudential requirements. Regarding these proportions, the objective of our article is to present a framework...

The liquidity problems that appeared on the interbank money markets during the financial crisis caused an increased volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided the mutual funding, which resulted in a reduction...

The aim of this paper is to analyze the behavior of Eoniaswap rates at different maturities during the 2007-2013 period. This index is representative for the Eurozone interbank swap market and its evolution is significantly influenced by the monetary policy of the European Central Bank. In order...

The liquidity problems that appeared on the interbank money markets during the financial crisis caused an increased volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided the mutual funding, which resulted in a reduction...