Stress testing: conservative calibration and regular verification

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10048610" target="_blank" >RIV/00216208:11230/10:10048610 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Stress testing: conservative calibration and regular verification
Original language description
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 becalibrated 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.
Czech name
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Czech description
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Project
<a href="/en/project/GAP403%2F10%2F1235" target="_blank" >GAP403/10/1235: Institutional Responses to Financial Market Failures</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 2nd International Conference on Business and Economy
ISBN
978-1-935494-18-8
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
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Publisher name
Addleton Academic Publishers
Place of publication
New York
Event location
Constanta, Romania
Event date
Nov 11, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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