Credit Risk and Stress Testing of the Banking Sector of the Czech Republic

Petr Jakubík and Jaroslav Heřmánek

Chapter Thematic Article 1 in CNB Financial Stability Report 2006, 2007, pp 57-68 from Czech National Bank, Research and Statistics Department

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 growth in credit to the 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.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.cnb.cz/export/sites/cnb/en/financial-s ... R_2006_article_1.pdf (application/pdf)
https://www.cnb.cz/en/financial-stability/thematic ... financial-stability/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cnb:ocpubc:fsr06/1

Access Statistics for this chapter

More chapters in Occasional Publications - Chapters in Edited Volumes from Czech National Bank, Research and Statistics Department Contact information at EDIRC.
Bibliographic data for series maintained by Tomas Karhanek ().