The project is focused on top-down stress testing of the Czech insurance sector. The aim of the present paper is to describe the advanced method for macro stress testing of insurance companies used by the CNB. We apply the presented stress test to eleven Czech insurance companies. The shocks applied are designed to replicate a macroeconomic scenario and to impact on both the asset and liability sides of the balance sheet. We consider both investment and insurance risks relating to the Czech insurance sector. An application of the simulated scenario to the Czech insurance sector illustrates that the sector is sufficiently resilient and stable.
JEL codes: G22, G28, G33
Keywords: Financial stability, insurance, risks, stress testing
Issued: December 2012
Download: RPN No. 2/2012 (pdf, 385 kB)