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Banking system : system-wide stress tests within the process of equivalence of the prudential regulatory and supervisory framework between Angola and the European Union
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Orientador(es)
Resumo(s)
The report describes the activities developed during the internship at EY, which
focused on the ongoing project of the BNA to align the Angolan prudential framework
with the EU (European Union) framework, with a view to obtaining recognition of
equivalence by the EC (European Commission). In this context, the activities carried out
focused on the methodological design of a stress test exercise with application on the
system and to be executed annually by the BNA in the context of the SREP. The reference
for this exercise is the stress tests conducted by EBA and the ECB. However, it was not
possible to conclude results since the report was written before the system-wide stress
tests were implemented.
Descrição
Mestrado Bolonha em Mathematical Finance
Palavras-chave
Supervisor Banking Financial Institutions Macroeconomic factors Pillar 1 Risks (Market Risk, Credit Risk, Operational Risk) Interest rate risk of the banking book Pillar 2 Guidance RWA Fluctuation LGD stages System-Wide Stress Tests
Contexto Educativo
Citação
Mónica, Rui Alexandre Henriques Bolais (2022). “Banking system : system-wide stress tests within the process of equivalence of the prudential regulatory and supervisory framework between Angola and the European Union”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão