Název: Economic Research Bulletin (2014, No.1)
Číslo části: Volume 12, Number 1, April 2014
Název části: Stress-Testing Analyses of the Czech Financial System
Autoři: Česká národní banka
Typ dokumentu: Firemní tisk
ISSN: 1803-7089
Rok: 2014
Jazyk: eng
Nakladatel: Česká národní banka
Abstrakt: 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.
Klíčová slova: banky; domácnost; finanční trh; pojišťovnictví; zátěžové testy; banks; financial market; household; Household economics; insurance industry; Stress test
Práva: Dílo je chráněno podle autorského zákona č. 121/2000 Sb.

Instituce: Česká národní banka (web)
Externí umístění souboru: http://www.cnb.cz/en/research/research_publications/erb/index.html

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-173866


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Ostatní > Česká národní banka
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