We develop a methodology for identifying financially distressed households and use it for testing the responses to shocks to the unemployment rate, the interest rate and prices of essential expenditure in the Czech Republic. We extend the approach of Johansson and Persson (2006) for Sweden and...

This paper presents the results of an analysis of data on individual bank loans of nonfinancial corporations in the Czech Republic taken from the CNB’s Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast...

This article sets out to describe an expanded and refined framework for stress testing the household sector. In contrast to the original tests conducted by the Czech National Bank since 2011, the new framework incorporates modelling of transitions between employment and unemployment at the level...

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...

This paper describes the current stress-testing framework used at the Czech National Bank to test the resilience of the banking sector. Macroeconomic scenarios and satellite models linking macroeconomic developments with key risk parameters and assumptions for generating dynamic stock-flow...

This study deals with credit risk modelling and stress testing within the context of a Merton-type one-factor model. We analyse the corporate and household sectors of the Czech Republic and Germany to find determining variables of credit risk in both countries. We find that a set of similar...