Testing Resilience of the Czech Financial System. Jan Frait Deputy Head of Economic Research and Financial Stability Department. Smilovice 2009. Stress testing in the CNB.
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Deputy Head of Economic Research and Financial Stability Department
Simple static stress testing/sensitivity analysis
FSR 2004, FSR 2005, FSR 2006
Transmission of risk factors:
Static stress testing based on (consistent) macroeconomic scenarios and satellite models
FSR 2005, FSR 2006, FSR 2007, FSR 2008/2009
NPL(2)/L(2) = approx. [NPL(1) + L(1)*df - a*NPL(1)]/L(2)
Dynamic model-based stress testing
Last Stress Testing Exercise – Assumptions and Results
... due to higher predicted default rates
corporates - 2009/20010 - baseline 11,8/11,1 % - adverse 13,4/11,6 %
households - 2009/2010 - baseline 5,7/6 % - adverse 7/9 %NPLs in current stress tests
Net income (profit prior to shocks): 90 (70) % of previous 2Y average in baseline (in protracted recession).
Potential „deleveraging“ leads to higher CAR in protracted recession.
For comparison a scenario with credit growth constructed too: negative impact on CAR confirmed.
44Current ST: capital adequacy
Contact:Jan FraitCzech National BankNa Prikope 28CZ-11503 PragueTel.: +420 224 414 430E-mail: email@example.comFinancial Stability Team in the CNBfinancial.firstname.lastname@example.org