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 article updates the stress scenarios, including simple sensitivity analyses …

on the results of a verification of the Czech National Bank's stress testing methodology, the paper argues that stress …This paper focuses on how to calibrate models used to stress test the most important risks in the banking system. Based … tests should be calibrated conservatively and slightly overestimate the risks. However, to ensure that the stress test …

Systemic risk now occupies centre stage in discussions of bank regulatory reform. Systemic risk is often seen as a …

monitoring abilities of German cooperative banks and savings banks increase with their specialization on certain industry sectors … cooperative banks. In the second part we measure the overall effect of better monitoring and the associated higher sectoral credit … impact of higher credit concentrations in the case of the cooperative banks. For savings banks, the results on the net effect …

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously … by bank managers. …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior … on the syndicated loan market. We find that banks more active at originating asset-backed securities are also more …

develops a methodology to detect problems at the individual bank level in an effort to identify those firms with financial … facilitate bank monitoring tasks, as well as some disaggregated subcomponents that are intended to display the relative …

recipients are less likely than whiteowned recipients to borrow from banks and more likely to borrow from fintech lenders is … less likely than white-owned firms to apply to banks and 7.8 percentage points more likely to apply to fintechs. However …, they face similar average approval disparities at banks (7.4 percentage points) and fintechs (8.4 percentage points …