This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB’s official quarterly macroeconomic forecast. In addition, the...

Credit risk assessment is a crucial part of macroprudential analysis, with the aggregate nonperforming loan (NPL) ratio serving as a proxy for the economy-wide probability of default of the banking sector’s overall loan exposure. Therefore, the factors driving the NPL ratio deserve a lot of...

This paper aims to analyse macroeconomic and institutional empirical determinants of growth of NPL ratios. Research is focused on selected CEEC and SEE countries in the period 2006-2013. For our analysis we use static panel model approach with the logarithm of share of NPLs to total loans as a...

Financial stability is a primary objective of international decision-making process. The analysis and evaluation of the Romanian banking system is paramount, because this is the core of the financial market, which is in the process of European integration and shocks' propagation cross-border...

The article focuses on the evaluation of selected methods of quantifying liquidity risk which is affected by a broad spectrum of risk factors, including in particular the credit risk. The following forms of impact of credit risk on liquidity risk were taken into consideration: (1) problems...

This paper examines the impact of monetary conditions on the risk-taking behaviour of banks in the Czech Republic by analysing the comprehensive credit register of the Czech National Bank. Our duration analysis indicates that expansionary monetary conditions promote risk-taking among banks. At...

Austrian banks are heavily engaged in Central and Eastern European (CEE) markets primarily by running local subsidiaries but also by extending cross-border loans. We give an account of the historical development and the status quo of these exposures and conduct a stress test for the Austrian...

In this study a macroeconomic credit risk model for stress testing the South African banking sector was developed. The findings demonstrate that macroeconomic shocks have a large impact on credit losses. However, owing to a high level of current capitalisation, the South African banking sector...

We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly information on virtually all loans granted by all credit...