Macro Stress Testing Framework at the National Bank of Slovakia

Ján Klacso

No PP 1/2014, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This paper describes the current macro stress testing framework at the National Bank of Slovakia. Stress testing is aimed at testing the resilience of the banking sector to negative developments on the financial markets and in the real economy. The paper describes satellite models and assumptions used in the framework. The results of back testing and the most actual results of stress testing are also presented.

Keywords: macro stress testing; banking sector; back testing (search for similar items in EconPapers)
JEL-codes: E44 E47 G21 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2014-10
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1029

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