Stress testing of the Czech banking sector

Petr Jakubík and Jaroslav Heřmánek

No 2008/02, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB’s official quarterly macroeconomic forecast. In addition, the article updates the stress scenarios, including simple sensitivity analyses of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed credit growth to corporate sector and households poses any threat to the stability of the banking sector. The analyses conclude that the banking sector as a whole seems to be resilient to the macroeconomic shocks under consideration.

Keywords: stress testing; financial stability; credit risk; credit growth (search for similar items in EconPapers)
JEL-codes: G21 G28 G33 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2008-02, Revised 2008-02
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (1)

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Journal Article: Stress testing of the czech banking sector (2008)
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