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Stress testing of the Czech banking sector

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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 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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File URL: http://ies.fsv.cuni.cz/default/file/download/id/7496
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Bibliographic Info

Paper provided by Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies in its series Working Papers IES with number 2008/02.

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Length: 14 pages
Date of creation: Feb 2008
Date of revision: Feb 2008
Handle: RePEc:fau:wpaper:wp2008_02

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Keywords: stress testing; financial stability; credit risk; credit growth;

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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, 2010. "Conservative Stress Testing: The Role of Regular Verification," Working Papers IES 2010/12, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2008.
  2. 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.
  3. ?tefan Rychtárik, 2009. "Liquidity Scenario Analysis in the Luxembourg Banking Sector," BCL working papers 41, Central Bank of Luxembourg.

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