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  • This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank?s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly overestimate the risks. However, to ensure that the stress test framework is conservative enough over time, a verification, i.e. comparison of the actual values of key banking sector variables ? in particular the capital adequacy ratio ? with predictions generated by the stress-testing models should become a standard part of the stress-testing framework.
  • This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based on the results of a verification of the Czech National Bank?s stress testing methodology, the paper argues that stress tests should be calibrated conservatively and slightly overestimate the risks. However, to ensure that the stress test framework is conservative enough over time, a verification, i.e. comparison of the actual values of key banking sector variables ? in particular the capital adequacy ratio ? with predictions generated by the stress-testing models should become a standard part of the stress-testing framework. (en)
Title
  • Stress testing: conservative calibration and regular verification
  • Stress testing: conservative calibration and regular verification (en)
skos:prefLabel
  • Stress testing: conservative calibration and regular verification
  • Stress testing: conservative calibration and regular verification (en)
skos:notation
  • RIV/00216208:11230/10:10048610!RIV11-GA0-11230___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP403/10/1235), S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 290341
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11230/10:10048610
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Verification; Regular; Role; The; Testing:; Stress; Conservative (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [5DCDE4B15C1F]
http://linked.open...v/mistoKonaniAkce
  • Constanta, Romania
http://linked.open...i/riv/mistoVydani
  • New York
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the 2nd International Conference on Business and Economy
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Geršl, Adam
  • Seidler, Jakub
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Addleton Academic Publishers
https://schema.org/isbn
  • 978-1-935494-18-8
http://localhost/t...ganizacniJednotka
  • 11230
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