Regulatory Stress Testing

regulatory stress testing

In order to ensure financial stability, the supervisory authority assesses the resilience of financial institutions to adverse market developments. One of the assessment tools is mandatory Stress Testing focusing on the impact of risk factors on the institutions’ capital adequacy.

Stress tests are based on macroeconomic scenarios, related methodological notes and a set of templates issued by the regulator. Banks are required to provide both qualitative and quantitative information in the stress test deliverables. The testing consists of a baseline and an adverse scenario, both within a 3-year horizon. The impact of the scenarios is monitored via multiple types of risk areas.

Risk Areas

In each of the risk areas, the banks face the following challenges:

Completing the stress test templates within the given timelines might be demanding, especially in terms of human resources and understanding the methodology. PwC can support banks to overcome the above mentioned challenges by providing senior expertise as well as our automatization tools (including simulation of portfolio development under stress-testing conditions for NII purposes) in order to assist with the completion of the templates. In addition, PwC offers to provide project management throughout the whole process of stress testing. 

Contacts

Rostislav Černý

Rostislav Černý

Risk Management & Modelling, PwC Czech Republic

Tel: +420 775 176 782

Ondřej Glatz

Ondřej Glatz

Financial Risk Modelling, PwC Czech Republic

Tel: +420 608 113 228

Petr Novák

Petr Novák

Data & AI in Financial Services, PwC Czech Republic

Tel: +420 602 383 972

Jan Muchna

Jan Muchna

Financial Risk Modelling, PwC Czech Republic

Tel: +420 777 563 619

David Dolejší

David Dolejší

Risk Management & Modelling, PwC Czech Republic

Tel: +420 731 282 814

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