Work detail

Credit risk stress testing of the Czech banking sector

Author: Bc. Karolína Vachušková
Year: 2021 - summer
Leaders: Mgr. Magda Pečená Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 60
Awards and prizes:
Link: https://ckis.cuni.cz:443/F/?func=direct&doc_number=002447991&local_base=CKS01&format=999
Abstract: This thesis aims to describe stress testing in the Czech banking sector focusing on the
most significant banking risk, which is credit risk. The thesis examines the difference
between regulatory and internal stress testing, compares their assumptions, outcome
quality and usability. It deals with the regulation of stress tests, which banks must
fulfil. Further, it uses the current Covid-19 crisis as a test of whether the adverse
scenarios used are sufficiently severe to cover the risks for and impacts on the actual
negative development of the economy. This analysis assesses the Czech banking sector’s
readiness and resilience and includes the reactions of banks and the Czech authorities
to increasing risks
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