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Autor:innen: 
Geršl, Adam
Seidler, Jakub
Datum: 
2010
Schriftenreihe/Nr.: 
IES Working Paper No. 12/2010
Verlag: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Zusammenfassung: 
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.
Schlagwörter: 
stress testing
credit risk
bank capital
JEL: 
E44
E47
G21
Dokumentart: 
Working Paper

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