New Approaches to Stress Testing the Czech Banking Sector (in English)
This paper provides an overview of the stress testing of the Czech banking sector conducted by the Czech National Bank. The paper begins by updating historical and hypothetical stress-testing scenarios. It also includes a sensitivity analysis of the interest-rate risk and new presentation forms of such. The results of interbank contagion tests (both simple and combined) based on Czech banks’ exposures on the interbank market are offered. Finally, the paper integrates the stress testing with CNB macroeconomic forecasts (i.e., the quasi-phase-matching model). The authors’ stress testing was also integrated with the macroeconomic credit-risk model, with the impact on individual bank portfolios, and with interbank contagion. One baseline and three alternative scenarios were tested they have shown that the Czech banking sector was relatively resilient to the shocks. However, the exercise also revealed certain limitations of the stress-testing approach, to which the authors offer recommendations for the further development of this apparatus.
Volume (Year): 57 (2007)
Issue (Month): 1-2 (March)
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References listed on IDEAS
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- Upper, Christian & Worms, Andreas, 2004.
"Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?,"
European Economic Review,
Elsevier, vol. 48(4), pages 827-849, August.
- Upper, Christian & Worms, Andreas, 2002. "Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?," Discussion Paper Series 1: Economic Studies 2002,09, Deutsche Bundesbank, Research Centre.
- Cottarelli, Carlo & Dell'Ariccia, Giovanni & Vladkova-Hollar, Ivanna, 2005. "Early birds, late risers, and sleeping beauties: Bank credit growth to the private sector in Central and Eastern Europe and in the Balkans," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 83-104, January.
- Degryse, H.A. & Nguyen, G., 2004. "Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System," Discussion Paper 2004-4, Tilburg University, Center for Economic Research. Full references (including those not matched with items on IDEAS)