FFA Working Papers

Measuring Flood Risk in Czechia with Stress Testing and a Gumbel copula‑based VaROriginal contributions

Marek Folprecht

FFA Working Papers 6:001 (2026)88  

The study presents a holistic approach to modeling flood risk of real estate properties. The method combines the hydrological flow simulation model and a model of financial losses. Two use cases of the model are discussed. First, a stress testing method, based on historical scenario simulations, is presented. Next, a Value at Risk approach using the Generalized extreme value distribution and the Gumbel copula is discussed. Both methods are then tested on a large sample of Czech house data. The results show that the model can replicate the order of historical flood magnitudes under the historical scenarios. Moreover, the Value at Risk approach can generate...