Publication at Faculty of Social Sciences |
2010
Abstract
The paper deals theoretically and practically with the other aspect of credit risk measurement technique, namely stress testing. This study tries to enlarge the findings on credit risk stress testing, its development and application in real financial institutions.
After a short introduction, the role of credit risk and related stress testing within Basel II as well as the most important regulatory requirements are analyzed. Further, a general concept of stress testing and specification of methodology for the first and second pillar of Basel II credit risk stress test is introduced.
The core of the paper is based on a survey of actual practice in major Czech banks.