Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83382
Authors: 
Geršl, Adam
Seidler, Jakub
Year of Publication: 
2010
Series/Report no.: 
IES Working Paper 12/2010
Abstract: 
This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank's stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly overestimate the risks. However, to ensure that the stress test framework is conservative enough over time, a verification, i.e. comparison of the actual values of key banking sector variables - in particular the capital adequacy ratio - with predictions generated by the stress-testing models should become a standard part of the stress-testing framework.
Subjects: 
stress testing
credit risk
bank capital
JEL: 
E44
E47
G21
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
210.04 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.