Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83362
Authors: 
Jakubík, Petr
Heřmánek, Jaroslav
Year of Publication: 
2008
Series/Report no.: 
IES Working Paper 2/2008
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.
Subjects: 
stress testing
financial stability
credit risk
credit growth
JEL: 
G21
G28
G33
Document Type: 
Working Paper
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