Publication detail

Stress testing of the Czech banking sector

Author(s): doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D., Heřmánek, Jaroslav
Type: IES Working Papers
Year: 2008
Number: 2
Published in: IES Working Papers 2008/2
Publishing place: Prague
Keywords: stress testing, financial stability, credit risk, credit growth
JEL codes: G21, G28, G33
Suggested Citation: Jakubík, P., Heřmánek, J. (2008). “ Stress testing of the Czech banking sector. ” IES Working Paper 2/2008. IES FSV. Charles University.
Grants: IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
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.
Downloadable: WP 2008_2_Jakubik, Hermanek


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