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Description
  • This paper describes the stress-testing framework used in the Czech central bank and focuses on the general question of how to calibrate the models and parameters used to stress test the most important risks in the banking system. The paper argues that stress tests should be calibrated conservatively to overestimate the risks so that sufficient buffers are in place for when adverse shocks materialize. However, to ensure that the stress test framework is conservative enough over time, backtesting, i.e., comparison of the actual values of key financial variables with the predictions generated by the stress-testing models, should be a standard part of the stress-testing framework.
  • This paper describes the stress-testing framework used in the Czech central bank and focuses on the general question of how to calibrate the models and parameters used to stress test the most important risks in the banking system. The paper argues that stress tests should be calibrated conservatively to overestimate the risks so that sufficient buffers are in place for when adverse shocks materialize. However, to ensure that the stress test framework is conservative enough over time, backtesting, i.e., comparison of the actual values of key financial variables with the predictions generated by the stress-testing models, should be a standard part of the stress-testing framework. (en)
Title
  • How to Improve the Quality of Stress Tests through Backtesting
  • How to Improve the Quality of Stress Tests through Backtesting (en)
skos:prefLabel
  • How to Improve the Quality of Stress Tests through Backtesting
  • How to Improve the Quality of Stress Tests through Backtesting (en)
skos:notation
  • RIV/00216208:11230/12:10124480!RIV13-GA0-11230___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP403/10/1235), S
http://linked.open...iv/cisloPeriodika
  • 4
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
  • 139714
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11230/12:10124480
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • bank capital; credit risk; stress testing; stability; Czech banking sector (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [01794FC190ED]
http://linked.open...i/riv/nazevZdroje
  • Finance a Uver
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 62
http://linked.open...iv/tvurceVysledku
  • Geršl, Adam
  • Seidler, Jakub
http://linked.open...ain/vavai/riv/wos
  • 000308068400002
issn
  • 0015-1920
number of pages
http://localhost/t...ganizacniJednotka
  • 11230
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