Stress testing of the czech banking sector

Petr Jakubík and Jaroslav Heřmánek

Prague Economic Papers, 2008, vol. 2008, issue 3, 195-212

Abstract: The results of stress tests of the Czech banking sector based on credit risk and credit growth models, applied to the household and corporate sector are presented in the paper. The use of these newly developed 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: credit risk; financial stability; stress testing; credit growth; Czech banking sector (search for similar items in EconPapers)
JEL-codes: G21 G28 G32 G33 K20 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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Working Paper: Stress testing of the Czech banking sector (2008)
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DOI: 10.18267/j.pep.329

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