Credit risk stress testing of the Czech banking sector
| Název práce v češtině: | Stresové testování úvěrového rizika českého bankovního sektoru |
|---|---|
| Název v anglickém jazyce: | Credit risk stress testing of the Czech banking sector |
| Klíčová slova: | zátěžové testování, úvěrové riziko, finanční stabilita, bankovní rizika, česká ekonomika |
| Klíčová slova anglicky: | stress testing, credit risk, financial stability, banking risks, Czech economy |
| Akademický rok vypsání: | 2019/2020 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | Mgr. Magda Pečená, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 25.07.2020 |
| Datum zadání: | 25.07.2020 |
| Datum a čas obhajoby: | 08.06.2021 09:00 |
| Místo konání obhajoby: | Opletalova - Opletalova 26 |
| Datum odevzdání elektronické podoby: | 04.05.2021 |
| Datum proběhlé obhajoby: | 08.06.2021 |
| Oponenti: | Mgr. Josef Švéda |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| CNB. (2019) ‘Financial Stability Report 2018/2019’. Available at: https://www.cnb.cz/export/sites/cnb/en/financial-stability/.galleries/fs_reports/fsr_2018-2019/fsr_2018-2019.pdf
CNB. (2020) ‘Financial Stability Report 2019/2020’. Available at: https://www.cnb.cz/export/sites/cnb/en/financial-stability/.galleries/fs_reports/fsr_2019-2020/fsr_2019-2020.pdf Čihák, M. (2007) ‘Introduction to applied stress testing’. IMF Working Paper, WP/07/59. Available at: https://www.imf.org/external/pubs/ft/wp/2007/wp0759.pdf EBA. (2017) ‘2018 EU-Wide Stress Test - Methodological Note’. Available at: https://eba.europa.eu/sites/default/documents/files/documents/10180/2106643/a72411ca-3d95-44d3-9c6a-2c36de7d482f/2018%20EU-wide%20stress%20test%20-%20Methodological%20Note.pdf EBA. (2018) ‘2018 EU-wide stress test results’. Available at: https://eba.europa.eu/sites/default/documents/files/documents/10180/2419200/126521e6-613f-45e4-af84-cbd3b854afc5/2018-EU-wide-stress-test-Results.pdf ECB. (2019) ‘Macroprudential stress test of the euro area banking system’. Available at: https://www.ecb.europa.eu/pub/pdf/scpops/ecb.op226~5e126a8e37.en.pdf ESRB (2018), ‘Adverse macro-financial scenario for the 2018 EU-wide banking sector stress test’. Available at: https://www.esrb.europa.eu/mppa/stress/shared/pdf/esrb.20180131_EBA_stress_test_scenario__macrofinancial.en.pdf Mejstřík, M., Pečená, M., Teplý, P. (2014) Banking in Theory and Practice. 1st ed. Praha: Karolinum. ISBN 978-80-246-2870-7. Papadopoulos, G., Papadopoulos, S. and Sager T. (2016) ‘Credit risk stress testing for EU15 banks: a model combination approach’. Bank of Greece Working Paper. Available at: https://www.bankofgreece.gr/Publications/Paper2016203.pdf |
| Předběžná náplň práce v anglickém jazyce |
| Research question and motivation
In this thesis, I will study the credit risk stress testing of the Czech banking sector. Credit risk is one of the most important financial risks, according to the Banking in Theory and Practice (2014, page 171), credit risk represents 60 – 80% of all banking risk. Besides, especially in recent months, we can observe that the economic crisis may come quite unexpectedly. That further strengthens the significance of stress testing. The purpose of the stress tests is to model various scenarios of economic development and to test the financial sector’s resilience. In case of credit risk, the adverse scenario of the CNB assumes a decrease in GDP, which causes an increase in default rates (PD) and loss given default (LGD) and growth of non-performing loans (NPL). Consequently, banks have to deal with declining profits and a lower capital ratio. This bachelor thesis aims to describe, evaluate and compare the methodology of stress testing of credit risk. The main focus will be on the testing of the Czech National Bank. The paper will cover the assumptions of the tests, compare the results of the adverse scenario with actual developments during the current crisis and monitor the readiness and reactions of Czech banks. Moreover, I will observe which (credit) values and ratios and to what extent it will affect. Finally, the thesis will deal with other EU stress tests and their predictions. Contribution The main contribution is that the paper will provide a study of the newest data and the current developments in the COVID-19 crisis. I will analyse the adverse scenarios of Czech and EU banks and the accuracy of their predictions. Furthermore, the thesis will focus on how banks are prepared for the crisis, how they work with the results of stress tests and what is the impact of credit risk on the capital requirement. Methodology In my thesis, I will use and analyse data from the Reports of the Financial Stability, the public database ARAD, both published by the Czech National Bank, the bank’s obligatory published information and EBA’s EU-wide stress test results. Outline 1. Introduction 2. Literature review 3. Theoretical overview, data and methodology 4. Empirical part 5. Discussion of results 6. Conclusion |