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Stress testing of the czech banking sector

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Author Info

  • Petr Jakubík
  • Jaroslav Heřmánek

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.

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Bibliographic Info

Article provided by University of Economics, Prague in its journal Prague Economic Papers.

Volume (Year): 2008 (2008)
Issue (Month): 3 ()
Pages: 195-212

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Handle: RePEc:prg:jnlpep:v:2008:y:2008:i:3:id:329:p:195-212

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Related research

Keywords: stress testing; financial stability; Czech banking sector; credit risk; credit growth;

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References

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  1. Wagner, Wolf & Marsh, Ian W., 2006. "Credit risk transfer and financial sector stability," Journal of Financial Stability, Elsevier, vol. 2(2), pages 173-193, June.
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Cited by:
  1. Adam Gersl & Jakub Seidler, 2012. "How to Improve the Quality of Stress Tests through Backtesting," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 325-346, August.
  2. ?tefan Rychtárik, 2009. "Liquidity Scenario Analysis in the Luxembourg Banking Sector," BCL working papers 41, Central Bank of Luxembourg.

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