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Credit risk and stress testing of the Czech Banking Sector

Petr Jakubík ()

ACTA VSFS, 2008, vol. 2, issue 1, 107-123

Abstract: This paper deals with sectoral credit risk in the Czech economy. It follows structural Merton‘ s approach. Latent factor models are employed within this framework. The credit risk models for the corporate and household sectors in the Czech Republic were estimated in this manner. They are able to capture the effects of macroeconomic changes on the sectoral credit risk in the economy. The results of this study can be used for the improvement of the Czech banking sector stress test. The models enable the stress tests to be linked to the Czech National Bank’s official quarterly macroeconomic forecast.

JEL-codes: G21 G28 G33 (search for similar items in EconPapers)
Date: 2008
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