The author presented the results of research based on the extreme values theory, the conditional loss distribution function and the profitability analysis of the loan portfolio. The achieved outcomes has been shown in the context of the provisions of the New Basel Capital Accord and the subsequent consultation documents published by the Basel Committee on Banking Supervision. It was shown that losses caused by the rare but still plausible events could significantly exceed the minimum capital requirements estimated in accordance with IRB method. | Implementation of the stress test methods in the retail portfolio
