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...

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...

This paper describes the current stress-testing framework used at the Czech National Bank 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...

This paper examines the impact of monetary conditions on the risk-taking behaviour of banks in the Czech Republic by analysing the comprehensive credit register of the Czech National Bank. Our duration analysis indicates that expansionary monetary conditions promote risk-taking among banks. At...

This paper presents the results of an analysis of data on individual bank loans of non-financial corporations in the Czech Republic taken from the CNB’s Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast...

This paper focuses on the key credit risk parameter–Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market...

This paper focuses on the key credit risk parameter – Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors and macroeconomic conditions. Furthermore, we illustrate how the LGD can be extracted from market...

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...

This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market observable...