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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10210323" target="_blank" >RIV/00216208:11230/13:10210323 - isvavai.cz</a>
Result on the web
<a href="http://journal.fsv.cuni.cz/storage/1288_gersl.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1288_gersl.pdf</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank
Original language description
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.
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

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)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)