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Stress testing of the czech banking sector

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  • 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.

Suggested Citation

  • Petr Jakubík & Jaroslav Heřmánek, 2008. "Stress testing of the czech banking sector," Prague Economic Papers, University of Economics, Prague, vol. 2008(3), pages 195-212.
  • Handle: RePEc:prg:jnlpep:v:2008:y:2008:i:3:id:329:p:195-212
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    References listed on IDEAS

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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. Cağatay Başarır, 2016. "A Macro Stress Test Model of Credit Risk for the Turkish Banking Sector," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(12), pages 762-774, December.
    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. 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.
    4. ?tefan Rychtárik, 2009. "Liquidity Scenario Analysis in the Luxembourg Banking Sector," BCL working papers 41, Central Bank of Luxembourg.

    More about this item

    Keywords

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

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • K20 - Law and Economics - - Regulation and Business Law - - - General

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