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Summary of the Results of Stress Tests in Banks

In: CNB Financial Stability Report 2005

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  • Jaroslav Hermanek
  • Martin Cihak

Abstract

The subject of this article is stress tests, which constitute one of the key quantitative tools for the assessment of financial stability. Under one of the approaches, financial stability may be viewed as a situation where the financial system, inter alia, shows a high degree of resilience to external shocks. Under this definition, so-called aggregate stress tests are prepared in order to capture the impact of various significant shocks and business risks. In model simulations, the domestic financial system is subject to hypothetical, unlikely, but plausible shocks. The article contains the results of updated basic tests according to the methodology presented in the 2004 Financial Stability Report. In addition, the article newly presents the results of interbank risk testing and results of stress testing for scenarios based on a macroeconomic model.

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Bibliographic Info

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This chapter was published in: Jaroslav Hermanek & Martin Cihak CNB Financial Stability Report 2005, , chapter Thematic Article 1, pages 73-83, 2006.

This item is provided by Czech National Bank, Research Department in its series Occasional Publications - Chapters in Edited Volumes with number fsr05/1.

Handle: RePEc:cnb:ocpubc:fsr05/1

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