Czech Republic : technical note on stress testing the banking sector

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IMF country report. - Washington, DC : IMF, ZDB-ID 2390611-X. - Vol. 12/174

"July 2012

Includes bibliographical references

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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

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