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Statements

Subject Item
n2:RIV%2F00216208%3A11230%2F12%3A10124480%21RIV13-GA0-11230___
rdf:type
n11:Vysledek skos:Concept
rdfs:seeAlso
http://journal.fsv.cuni.cz/storage/1252_325-346---gersl.pdf
dcterms: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.
dcterms:title
How to Improve the Quality of Stress Tests through Backtesting How to Improve the Quality of Stress Tests through Backtesting
skos:prefLabel
How to Improve the Quality of Stress Tests through Backtesting How to Improve the Quality of Stress Tests through Backtesting
skos:notation
RIV/00216208:11230/12:10124480!RIV13-GA0-11230___
n11:predkladatel
n17:orjk%3A11230
n3:aktivita
n12:S n12:P
n3:aktivity
P(GAP403/10/1235), S
n3:cisloPeriodika
4
n3:dodaniDat
n9:2013
n3:domaciTvurceVysledku
n8:1376942 n8:5556163
n3:druhVysledku
n15:J
n3:duvernostUdaju
n10:S
n3:entitaPredkladatele
n20:predkladatel
n3:idSjednocenehoVysledku
139714
n3:idVysledku
RIV/00216208:11230/12:10124480
n3:jazykVysledku
n18:eng
n3:klicovaSlova
bank capital; credit risk; stress testing; stability; Czech banking sector
n3:klicoveSlovo
n4:Czech%20banking%20sector n4:bank%20capital n4:stability n4:stress%20testing n4:credit%20risk
n3:kodStatuVydavatele
CZ - Česká republika
n3:kontrolniKodProRIV
[01794FC190ED]
n3:nazevZdroje
Finance a Uver
n3:obor
n16:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n19:GAP403%2F10%2F1235
n3:rokUplatneniVysledku
n9:2012
n3:svazekPeriodika
62
n3:tvurceVysledku
Geršl, Adam Seidler, Jakub
n3:wos
000308068400002
s:issn
0015-1920
s:numberOfPages
22
n14:organizacniJednotka
11230