Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank

被引：0

作者：

Gersl, Adam ^{[1
,2
]}

Jakubik, Petr ^{[2
,3
]}

Konecny, Tomas ^{[4
]}

Seidler, Jakub ^{[2
,4
]}

机构：

[1] Czech Natl Bank, Joint Vienna Inst, Prague, Czech Republic

[2] Charles Univ Prague, Fac Social Sci, Prague, Czech Republic

[3] Czech Natl Bank, European Insurance & Occupat Pens Author EIOPA, Prague, Czech Republic

[4] Czech Natl Bank, Prague, Czech Republic

来源：

FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE | 2013年 / 63卷 / 06期

关键词：

banking sector; credit risk; stress tests; CREDIT RISK; PRICE;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper describes the current stress-testing framework used at the Czech National Bank (CNB) to test the resilience of the banking sector. Macroeconomic scenarios and satellite models linking macroeconomic developments with key risk parameters and assumptions for generating dynamic stock-flow consistent behavior of individual bank balance-sheet items are discussed. Examples from past CNB Financial Stability Reports are given and emphasis is put on conservative calibration of the stress-testing framework so as to ensure that the impact of adverse scenarios on the banking sector is not underestimated.

引用

页码：505 / 536

页数：32

共 49 条

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