Adam Geršl, Petr Jakubík, Tomáš Konečný, Jakub Seidler
This paper describes the current stress-testing framework used at the Czech National Bank 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 an 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.
JEL codes: E44, E47, G21
Keywords: Banking sector, credit risk, stress tests
Issued: December 2012
Download: CNB WP No. 11/2012 (pdf, 410 kB)