Stress Testing the Czech Banking System: Where Are We? Where Are We Going?

Martin Cihak () and Jaroslav Heřmánek

Research and Policy Notes from Czech National Bank, Research and Statistics Department

Abstract: This note summarizes the various outputs from the CNB research project Stress Testing for Banking Supervision. Previous research notes in this project presented the key stress testing concepts and discussed the design of stress tests in general terms. Since then, the project has generated outputs that were presented, for example, in the CNB's first Financial Stability Report. The note describes the current status of the project by presenting the latest stress test results and by comparing the methodology of these tests with those presented by other central banks. Finally, the note suggests further steps to improve the stress testing program at the CNB, such as strengthening credit risk modeling, including by engaging commercial banks in the exercise. The note is accompanied by an appendix presenting one of the project's outputs, namely a survey of stress testing practices in commercial banks.

Keywords: Banking system; stress tests (search for similar items in EconPapers)
JEL-codes: E44 G21 G28 (search for similar items in EconPapers)
Date: 2005-02
New Economics Papers: this item is included in nep-ban, nep-cfn, nep-fmk and nep-mac
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:cnb:rpnrpn:2005/02

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