Jaroslav Heřmánek, Martin Čihák
The subject of this article is stress tests, which constitute one of the key quantitative tools for the assessment of financial stability. Under one of the approaches, financial stability may be viewed as a situation where the financial system, inter alia, shows a high degree of resilience to external shocks. Under this definition, so-called aggregate stress tests are prepared in order to capture the impact of various significant shocks and business risks. In model simulations, the domestic financial system is subject to hypothetical, unlikely, but plausible shocks. The article contains the results of updated basic tests according to the methodology presented in the 2004 Financial Stability Report.120 In addition, the article newly presents the results of interbank risk testing and results of stress testing for scenarios based on a macroeconomic model.
Issued: June 2006
Download: Thematic article in the Financial Stability Report 2005 (pdf, 167 kB)