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Credit risk and stress testing of the Czech Banking Sector

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  • Petr Jakubik

    (Czech National Bank)

Abstract

This paper deals with sectoral credit risk in the Czech economy. It follows structural Merton‘ s approach. Latent factor models are employed within this framework. The credit risk models for the corporate and household sectors in the Czech Republic were estimated in this manner. They are able to capture the effects of macroeconomic changes on the sectoral credit risk in the economy. The results of this study can be used for the improvement of the Czech banking sector stress test. The models enable the stress tests to be linked to the Czech National Bank’s official quarterly macroeconomic forecast.

Suggested Citation

  • Petr Jakubik, 2008. "Credit risk and stress testing of the Czech Banking Sector," ACTA VSFS, University of Finance and Administration, vol. 2(1), pages 107-123.
    • Handle: RePEc:prf:journl:v:2:y:2008:i:1:p:107-123
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    File URL: https://www.vsfs.cz/periodika/acta-2008-1-05.pdf
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    References listed on IDEAS

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    8. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
    9. Lucas, Andre & Klaassen, Pieter & Spreij, Peter & Straetmans, Stefan, 2001. "An analytic approach to credit risk of large corporate bond and loan portfolios," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1635-1664, September.
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    Cited by:

    1. Cağatay Başarır, 2016. "A Macro Stress Test Model of Credit Risk for the Turkish Banking Sector," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(12), pages 762-774, December.

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    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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