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

In: CNB Financial Stability Report 2006

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  • Petr Jakubik
  • Jaroslav Hermanek

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.

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Bibliographic Info

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This chapter was published in: Petr Jakubik & Jaroslav Hermanek CNB Financial Stability Report 2006, , chapter Thematic Article 1, pages 57-68, 2007.

This item is provided by Czech National Bank, Research Department in its series Occasional Publications - Chapters in Edited Volumes with number fsr06/1.

Handle: RePEc:cnb:ocpubc:fsr06/1

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Cited by:
  1. Mejra Festić & Sebastijan Repina & Alenka Kavkler, 2009. "The overheating of five EU new member states and cyclicality of systemic risk in the banking sector," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 10(3), pages 219-232, May.
  2. Alenka Kavkler & Mejra Festić, 2010. "The Trade Deficit and Banking Sector Results in Romania and Bulgaria," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 12(27), pages 199-213, February.

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