Credit risk stress testing of the Czech banking sector
| Author: | Bc. Karolína Vachušková |
|---|---|
| Year: | 2021 - summer |
| Leaders: | Mgr. Magda Pečená Ph.D. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 60 |
| Awards and prizes: | |
| Link: | https://ckis.cuni.cz:443/F/?func=direct&doc_number=002447991&local_base=CKS01&format=999 |
| Abstract: | This thesis aims to describe stress testing in the Czech banking sector focusing on the most significant banking risk, which is credit risk. The thesis examines the difference between regulatory and internal stress testing, compares their assumptions, outcome quality and usability. It deals with the regulation of stress tests, which banks must fulfil. Further, it uses the current Covid-19 crisis as a test of whether the adverse scenarios used are sufficiently severe to cover the risks for and impacts on the actual negative development of the economy. This analysis assesses the Czech banking sector’s readiness and resilience and includes the reactions of banks and the Czech authorities to increasing risks |
