Prague Economic Papers 2008, 17(3):195-212 | DOI: 10.18267/j.pep.329

Stress testing of the czech banking sector

Petr Jakubík1, Jaroslav Heřmánek2
1 Czech National Bank and the Institute of Economic Studies of Charles University in Prague (petr.jakubik@cnb.cz).
2 Czech National Bank (jaroslav.hermanek@cnb.cz).

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.

Klíčová slova: credit risk, financial stability, stress testing, credit growth, Czech banking sector
JEL classification: G21, G28, G32, G33, K20

Zveřejněno: 1. leden 2008  Zobrazit citaci

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Jakubík, P., & Heřmánek, J. (2008). Stress testing of the czech banking sector. Prague Economic Papers, 17(3), 195-212. doi: 10.18267/j.pep.329
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