Czech Republic : Technical Note on Stress Testing the Banking Sector.

Format:

Book

Government document

Author/Creator:

International Monetary Fund.

Contributor:

International Monetary Fund.

Series:

IMF Staff Country Reports; Country Report ; No. 2012/174

IMF Staff Country Reports

Language:

English

Subjects (All):

Banks and banking--Czech Republic.

Banks and banking.

Economic development--Czech Republic.

Economic development.

Physical Description:

1 online resource (45 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2012.

Language Note:

English

Summary:

This technical note summarizes stress tests undertaken for the Czech banking system as part of the Financial Sector Assessment Program (FSAP) Update. The tests were tailored to capture the specificities of the Czech banking system, characterized by a high share of foreign-owned banks. The program addressed current market developments and medium-term structural trends. All banks were assessed against solvency, liquidity, and contagion risks. The solvency tests revealed that the Czech banking system is robust even against substantial shocks on a standalone basis.

Contents:

Cover; Contents; Glossary; Executive Summary; I. Introduction; Figures; 1. Financial Soundness Indicators for the Czech Banking System; 2. Overview of the FSAP Bank Stress Testing Framework; II. Bank Solvency Stress Tests; A. Approaches and Coverage; B. Scenarios and Shocks; Tables; 1. Comparison of Different Solvency Stress Test Methods; C. Concept and Assumptions; 3. GDP Trajectories Under Different Scenarios; 2. Overview of the Modeling of Key Solvency Parameters; 4. Potential Impact of Pillar 2 Capital Charges for Name Concentration; D. Outcome of the Solvency Tests

3. Overview of the Basel III Minimum Capital Requirements5. Outcome of Solvency Stress Tests for the Czech Banking System; 6. Distribution of the Outcome of Solvency Stress Tests; III. Liquidity Stress Tests; A.Method and Scenarios; 4. Scenarios used for Liquidity Tests; 7. Outcome of Liquidity Stress Tests for the Czech Banking System; IV. Stress Tests for Nonbanks; A. Insurance and Pension Sector; B. Credit Unions; V. Conclusion and Recommendations; 8. Simplified Stress Test for an Average Credit Union; VI. References; Appendixes; I. Stress Test Matrix: Solvency Risk and Scenarios

Appendix TablesI. Evolution of Macroeconomic Variables Under Different Scenarios; II. Projections of the Key Stress Test Drivers; 9. Decomposition of Czech Banks' Operating Income; II. Comparison of the Trajectories of Key Risk Drivers by Method; III. Stress Test Matrix for Solvency; 10. Schematic Overview for the Calibration of Funding Costs; III. Calibration of Funding Costs used for the FSAP; IV. Stress Test Matrix for Liquidity Risk

Notes:

"July 2012."

Includes bibliographical references.

Description based on print version record.

ISBN:

9781475522853

1475522851

9781475564181

147556418X

9781299263819

129926381X