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Original title:
Economic Research Bulletin (2014, No.1)
Number of part: Volume 12, Number 1, April 2014
Name of part: Stress-Testing Analyses of the Czech Financial System
Authors: Česká národní banka
Document type: Trade print
ISSN: 1803-7089
Year: 2014
Language: eng
Publisher: Česká národní banka
Abstract: This edition of the Research Bulletin presents four articles that introduce the modelling framework of the various stress tests used regularly by the Czech National Bank. The first article focuses on the methodology of the current stress tests employed to assess the stability of the banking sector. It explains the links between the core and satellite models and how various adverse scenarios are generated to test the stability of the Czech banking sector. It also provides guidelines on how stresstest parameters should be calibrated. Concerns about liquidity played an enormous role in the recent financial crisis, and the second article therefore focuses specifically on the liquidity risk of the banking sector. It presents a well-defined methodology used also by other central banks, but tailors it to the specific conditions of the Czech banking sector. The third article presents a recently developed methodology for assessing the ability of Czech households to pay their debts. Using detailed household-level data, it quantifies how different adverse events, such as unemployment and higher interest rates on debt repayment, affect households’ incidence of becoming financially distressed. The fourth article introduces stress-test models for the insurance sector. It discusses the specificities of the stress tests developed for this sector. It also sets out how to extend these already advanced tests to align them with changes going on in the regulatory framework.
Keywords: banks; financial market; household; Household economics; insurance industry; Stress test; banky; domácnost; finanční trh; pojišťovnictví; zátěžové testy
Rights: This work is protected under the Copyright Act No. 121/2000 Coll.
Institution: The Czech National Bank (web)
External URL: http://www.cnb.cz/en/research/research_publications/erb/index.html
Permalink: http://www.nusl.cz/ntk/nusl-173866
The record appears in these collections:
Miscellaneous > The Czech National Bank
Trade literature > Trade print
Number of part: Volume 12, Number 1, April 2014
Name of part: Stress-Testing Analyses of the Czech Financial System
Authors: Česká národní banka
Document type: Trade print
ISSN: 1803-7089
Year: 2014
Language: eng
Publisher: Česká národní banka
Abstract: This edition of the Research Bulletin presents four articles that introduce the modelling framework of the various stress tests used regularly by the Czech National Bank. The first article focuses on the methodology of the current stress tests employed to assess the stability of the banking sector. It explains the links between the core and satellite models and how various adverse scenarios are generated to test the stability of the Czech banking sector. It also provides guidelines on how stresstest parameters should be calibrated. Concerns about liquidity played an enormous role in the recent financial crisis, and the second article therefore focuses specifically on the liquidity risk of the banking sector. It presents a well-defined methodology used also by other central banks, but tailors it to the specific conditions of the Czech banking sector. The third article presents a recently developed methodology for assessing the ability of Czech households to pay their debts. Using detailed household-level data, it quantifies how different adverse events, such as unemployment and higher interest rates on debt repayment, affect households’ incidence of becoming financially distressed. The fourth article introduces stress-test models for the insurance sector. It discusses the specificities of the stress tests developed for this sector. It also sets out how to extend these already advanced tests to align them with changes going on in the regulatory framework.
Keywords: banks; financial market; household; Household economics; insurance industry; Stress test; banky; domácnost; finanční trh; pojišťovnictví; zátěžové testy
Rights: This work is protected under the Copyright Act No. 121/2000 Coll.
Institution: The Czech National Bank (web)
External URL: http://www.cnb.cz/en/research/research_publications/erb/index.html
Permalink: http://www.nusl.cz/ntk/nusl-173866
The record appears in these collections:
Miscellaneous > The Czech National Bank
Trade literature > Trade print
Record created 2014-06-10, last modified 2024-07-16
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