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Statements

Subject Item
n2:RIV%2F00216208%3A11230%2F13%3A10210323%21RIV14-GA0-11230___
rdf:type
n11:Vysledek skos:Concept
rdfs:seeAlso
http://journal.fsv.cuni.cz/storage/1288_gersl.pdf
dcterms:description
This paper describes the current stress-testing framework used at the Czech National Bank (CNB) to test the resilience of the banking sector. Macroeconomic scenarios and satellite models linking macroeconomic developments with key risk parameters and assumptions for generating dynamic stock-flow consistent behavior of individual bank balance-sheet items are discussed. Examples from past CNB Financial Stability Reports are given and emphasis is put on conservative calibration of the stress-testing framework so as to ensure that the impact of adverse scenarios on the banking sector is not underestimated. This paper describes the current stress-testing framework used at the Czech National Bank (CNB) to test the resilience of the banking sector. Macroeconomic scenarios and satellite models linking macroeconomic developments with key risk parameters and assumptions for generating dynamic stock-flow consistent behavior of individual bank balance-sheet items are discussed. Examples from past CNB Financial Stability Reports are given and emphasis is put on conservative calibration of the stress-testing framework so as to ensure that the impact of adverse scenarios on the banking sector is not underestimated.
dcterms:title
Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank
skos:prefLabel
Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank
skos:notation
RIV/00216208:11230/13:10210323!RIV14-GA0-11230___
n11:predkladatel
n19:orjk%3A11230
n4:aktivita
n6:P
n4:aktivity
P(GAP403/10/1235)
n4:cisloPeriodika
6
n4:dodaniDat
n18:2014
n4:domaciTvurceVysledku
n14:5556163 n14:1376942 n14:4008634
n4:druhVysledku
n8:J
n4:duvernostUdaju
n13:S
n4:entitaPredkladatele
n15:predkladatel
n4:idSjednocenehoVysledku
70902
n4:idVysledku
RIV/00216208:11230/13:10210323
n4:jazykVysledku
n20:eng
n4:klicovaSlova
stress tests; credit risk; banking sector
n4:klicoveSlovo
n9:stress%20tests n9:banking%20sector n9:credit%20risk
n4:kodStatuVydavatele
CZ - Česká republika
n4:kontrolniKodProRIV
[229D1C67FB63]
n4:nazevZdroje
Finance a úvěr
n4:obor
n17:AH
n4:pocetDomacichTvurcuVysledku
3
n4:pocetTvurcuVysledku
4
n4:projekt
n16:GAP403%2F10%2F1235
n4:rokUplatneniVysledku
n18:2013
n4:svazekPeriodika
63
n4:tvurceVysledku
Seidler, Jakub Konečný, Tomáš Jakubík, Petr Geršl, Adam
n4:wos
000329782500002
s:issn
0015-1920
s:numberOfPages
32
n12:organizacniJednotka
11230