Publication detail

Stress Testing of the Czech Banking Sector

Author(s): doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D., Jaroslav Heřmánek
Type: Articles in journals with impact factor
Year: 2008
Number: 3
Published in: Prague Economic Papers, 3, pp. 195-212
Publishing place:
Keywords: stress testing, financial stability, credit risk, credit growth, Czech banking sector
JEL codes:
Suggested Citation:
Grants: IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: The results of stress tests of the Czech banking sector based on credit risk and credit growth models, applied to the household and corporate sector are presented in the paper. The use of these newly developed 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.


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