Moldova Financial Sector Assessment Program : Stress Testing
This note discusses the stress tests that were carried out on Moldova’s banking system as part of the 2014 financial sector assessment program (FSAP) update. The objective of this exercise was to assess the resilience of the banking system to major...
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| Format: | Report |
| Language: | English en_US |
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Washington, DC
2015
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| Online Access: | http://documents.worldbank.org/curated/en/2015/10/25149649/moldova-financial-sector-assessment-program-technical-note-stress-testing http://hdl.handle.net/10986/22905 |
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okr-10986-22905 |
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oai_dc |
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Digital Repository |
| institution_category |
Foreign Institution |
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Digital Repositories |
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World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
CURRENCY MISMATCHES DEPOSIT CAPITAL MARKETS HOLDING REGULATORY FRAMEWORK EQUITY INSTRUMENT BORROWER CORPORATE DEFAULT INTEREST INCOME OIL PRICE NPL DEPOSITS FIXED INCOME DEFAULTS STOCK VALUATION INTEREST MATURITY DATE INTEREST RATE EXCHANGE BANKING SYSTEM LIQUIDITY REPAYMENTS DEFAULT PROBABILITY PORTFOLIO LIQUIDITY RISK DEFAULT RISK BONDS CAPITAL ADEQUACY MACROECONOMIC CONDITIONS LOAN PROBABILITY OF DEFAULT BORROWERS NON-PERFORMING LOANS GOVERNMENT BOND INFLATION CASH FLOWS OUTPUT LOSSES INSTRUMENTS CENTRAL BANK MATURITY WITHDRAWALS MARKET LIQUIDITY VALUATION CHANGES OIL PRICES GLOBAL ECONOMY CURRENCY DOMESTIC CURRENCY EXCHANGE RATE MOVEMENTS INCOME INSTRUMENTS BOND YIELD PORTFOLIOS DEBTS RISK FACTOR FOREIGN CURRENCIES EXCHANGE RATES TRADING CREDIT RISKS INTEREST RATES MONETARY FUND SOVEREIGN BOND MONEY MARKET RATE DOMESTIC BANKS MARKETS DEBT COUPON PAYMENT SOVEREIGN RATING BANK LIQUIDITY LOANS RESERVES GROSS DOMESTIC PRODUCT FINANCIAL SYSTEM INVESTMENT RISKS FINANCE FOREIGN CURRENCY DOMESTIC BANK TAXES LOAN CATEGORY BANKING SECTOR GOVERNMENT SECURITIES TRANSACTIONS EMERGING MARKETS EQUITY FINANCIAL STABILITY FINANCIAL CRISIS MARKET PRICES LIQUIDITY RATIOS BOND PORTFOLIO FUTURE DEPOSIT LIABILITIES CAPACITY CONSTRAINTS LIQUIDITY POSITION EQUITY INVESTMENTS DOMESTIC BANKING CAPITALIZATION ASSET QUALITY LOAN PORTFOLIO FOREIGN BANKS BALANCE SHEET MARKET DEFAULT LOCAL CURRENCY FOREIGN EXCHANGE MARKET RISK EQUITY INVESTMENT DEFAULT PROBABILITIES MONETARY POLICIES INVESTMENT PORTFOLIOS SECURITIES SOLVENCY CAPITAL INFLOW CREDIT SPREADS RISK FACTORS MARKET RISKS CREDIT RISK MACROECONOMIC VARIABLES HOLDINGS CURRENCIES EQUITY INSTRUMENTS GOVERNMENT BONDS DOMESTIC GOVERNMENT BONDS EQUITY HOLDINGS CORPORATE BONDS MARKET SHARE NONPERFORMING LOAN DEBT INSTRUMENTS STOCK EXCHANGE NATIONAL BANK INVESTMENT LENDING INTEREST RATE BOND DOMESTIC CREDIT SOVEREIGN BONDS SHARE CORPORATE BOND BANKRUPTCIES BALANCE SHEETS COLLATERAL FINANCIAL MARKETS FLOATING RATE RISK MEASUREMENT INDIVIDUAL BOND CURRENCY RISK COUPON CAPITAL INFLOWS MONEY MARKET LIQUIDITY POSITIONS INVESTMENTS LENDING DEBT INSTRUMENT INTEREST RATE RISK LIQUIDITY RATIO CREDIT GROWTH BANKING SECTOR ASSETS MATURITIES EXCHANGE RATE INSTRUMENT REMITTANCES LIABILITIES HEDGE LIQUID ASSETS INTERNATIONAL SETTLEMENTS CREDIT LINES FOREIGN BANK |
| spellingShingle |
CURRENCY MISMATCHES DEPOSIT CAPITAL MARKETS HOLDING REGULATORY FRAMEWORK EQUITY INSTRUMENT BORROWER CORPORATE DEFAULT INTEREST INCOME OIL PRICE NPL DEPOSITS FIXED INCOME DEFAULTS STOCK VALUATION INTEREST MATURITY DATE INTEREST RATE EXCHANGE BANKING SYSTEM LIQUIDITY REPAYMENTS DEFAULT PROBABILITY PORTFOLIO LIQUIDITY RISK DEFAULT RISK BONDS CAPITAL ADEQUACY MACROECONOMIC CONDITIONS LOAN PROBABILITY OF DEFAULT BORROWERS NON-PERFORMING LOANS GOVERNMENT BOND INFLATION CASH FLOWS OUTPUT LOSSES INSTRUMENTS CENTRAL BANK MATURITY WITHDRAWALS MARKET LIQUIDITY VALUATION CHANGES OIL PRICES GLOBAL ECONOMY CURRENCY DOMESTIC CURRENCY EXCHANGE RATE MOVEMENTS INCOME INSTRUMENTS BOND YIELD PORTFOLIOS DEBTS RISK FACTOR FOREIGN CURRENCIES EXCHANGE RATES TRADING CREDIT RISKS INTEREST RATES MONETARY FUND SOVEREIGN BOND MONEY MARKET RATE DOMESTIC BANKS MARKETS DEBT COUPON PAYMENT SOVEREIGN RATING BANK LIQUIDITY LOANS RESERVES GROSS DOMESTIC PRODUCT FINANCIAL SYSTEM INVESTMENT RISKS FINANCE FOREIGN CURRENCY DOMESTIC BANK TAXES LOAN CATEGORY BANKING SECTOR GOVERNMENT SECURITIES TRANSACTIONS EMERGING MARKETS EQUITY FINANCIAL STABILITY FINANCIAL CRISIS MARKET PRICES LIQUIDITY RATIOS BOND PORTFOLIO FUTURE DEPOSIT LIABILITIES CAPACITY CONSTRAINTS LIQUIDITY POSITION EQUITY INVESTMENTS DOMESTIC BANKING CAPITALIZATION ASSET QUALITY LOAN PORTFOLIO FOREIGN BANKS BALANCE SHEET MARKET DEFAULT LOCAL CURRENCY FOREIGN EXCHANGE MARKET RISK EQUITY INVESTMENT DEFAULT PROBABILITIES MONETARY POLICIES INVESTMENT PORTFOLIOS SECURITIES SOLVENCY CAPITAL INFLOW CREDIT SPREADS RISK FACTORS MARKET RISKS CREDIT RISK MACROECONOMIC VARIABLES HOLDINGS CURRENCIES EQUITY INSTRUMENTS GOVERNMENT BONDS DOMESTIC GOVERNMENT BONDS EQUITY HOLDINGS CORPORATE BONDS MARKET SHARE NONPERFORMING LOAN DEBT INSTRUMENTS STOCK EXCHANGE NATIONAL BANK INVESTMENT LENDING INTEREST RATE BOND DOMESTIC CREDIT SOVEREIGN BONDS SHARE CORPORATE BOND BANKRUPTCIES BALANCE SHEETS COLLATERAL FINANCIAL MARKETS FLOATING RATE RISK MEASUREMENT INDIVIDUAL BOND CURRENCY RISK COUPON CAPITAL INFLOWS MONEY MARKET LIQUIDITY POSITIONS INVESTMENTS LENDING DEBT INSTRUMENT INTEREST RATE RISK LIQUIDITY RATIO CREDIT GROWTH BANKING SECTOR ASSETS MATURITIES EXCHANGE RATE INSTRUMENT REMITTANCES LIABILITIES HEDGE LIQUID ASSETS INTERNATIONAL SETTLEMENTS CREDIT LINES FOREIGN BANK International Monetary Fund Moldova Financial Sector Assessment Program : Stress Testing |
| geographic_facet |
Europe and Central Asia Moldova |
| description |
This note discusses the stress tests
that were carried out on Moldova’s banking system as part of
the 2014 financial sector assessment program (FSAP) update.
The objective of this exercise was to assess the resilience
of the banking system to major sources of risk. The stress
tests were conducted in collaboration with the National Bank
of Moldova (NBM), and complement other approaches, such as
the analysis of financial indicators and the assessment of
the quality of supervision. The stress tests focused on the
banking system and covered all 14 banks operating in the
country. Four macroeconomic scenarios were considered in the
financial stability assessment. The stress tests include a
comprehensive assessment of risk factors. Potential credit
risk losses on the loan book represent the most important
risk factor for the banking system. The stress tests also
assessed the liquidity in foreign currency, and yielded
similar results. However, there are a couple of banks whose
ability to meet the liquidity norms is based on relatively
large-scale cross-border interbank placements, and there are
some doubts about the genuine liquidity of these positions.
This note is structured as follows: section one gives
executive summary; section two presents a brief description
of the banking sector in Moldova and stress test coverage;
section three describes the macroeconomic scenarios used in
the stress tests; section four details the different
methodologies used in the solvency stress tests; section
five describes the liquidity stress tests; and section six concludes. |
| format |
Report |
| author |
International Monetary Fund |
| author_facet |
International Monetary Fund |
| author_sort |
International Monetary Fund |
| title |
Moldova Financial Sector Assessment Program : Stress Testing |
| title_short |
Moldova Financial Sector Assessment Program : Stress Testing |
| title_full |
Moldova Financial Sector Assessment Program : Stress Testing |
| title_fullStr |
Moldova Financial Sector Assessment Program : Stress Testing |
| title_full_unstemmed |
Moldova Financial Sector Assessment Program : Stress Testing |
| title_sort |
moldova financial sector assessment program : stress testing |
| publisher |
Washington, DC |
| publishDate |
2015 |
| url |
http://documents.worldbank.org/curated/en/2015/10/25149649/moldova-financial-sector-assessment-program-technical-note-stress-testing http://hdl.handle.net/10986/22905 |
| _version_ |
1764452381994516480 |
| spelling |
okr-10986-229052021-04-23T14:04:11Z Moldova Financial Sector Assessment Program : Stress Testing International Monetary Fund CURRENCY MISMATCHES DEPOSIT CAPITAL MARKETS HOLDING REGULATORY FRAMEWORK EQUITY INSTRUMENT BORROWER CORPORATE DEFAULT INTEREST INCOME OIL PRICE NPL DEPOSITS FIXED INCOME DEFAULTS STOCK VALUATION INTEREST MATURITY DATE INTEREST RATE EXCHANGE BANKING SYSTEM LIQUIDITY REPAYMENTS DEFAULT PROBABILITY PORTFOLIO LIQUIDITY RISK DEFAULT RISK BONDS CAPITAL ADEQUACY MACROECONOMIC CONDITIONS LOAN PROBABILITY OF DEFAULT BORROWERS NON-PERFORMING LOANS GOVERNMENT BOND INFLATION CASH FLOWS OUTPUT LOSSES INSTRUMENTS CENTRAL BANK MATURITY WITHDRAWALS MARKET LIQUIDITY VALUATION CHANGES OIL PRICES GLOBAL ECONOMY CURRENCY DOMESTIC CURRENCY EXCHANGE RATE MOVEMENTS INCOME INSTRUMENTS BOND YIELD PORTFOLIOS DEBTS RISK FACTOR FOREIGN CURRENCIES EXCHANGE RATES TRADING CREDIT RISKS INTEREST RATES MONETARY FUND SOVEREIGN BOND MONEY MARKET RATE DOMESTIC BANKS MARKETS DEBT COUPON PAYMENT SOVEREIGN RATING BANK LIQUIDITY LOANS RESERVES GROSS DOMESTIC PRODUCT FINANCIAL SYSTEM INVESTMENT RISKS FINANCE FOREIGN CURRENCY DOMESTIC BANK TAXES LOAN CATEGORY BANKING SECTOR GOVERNMENT SECURITIES TRANSACTIONS EMERGING MARKETS EQUITY FINANCIAL STABILITY FINANCIAL CRISIS MARKET PRICES LIQUIDITY RATIOS BOND PORTFOLIO FUTURE DEPOSIT LIABILITIES CAPACITY CONSTRAINTS LIQUIDITY POSITION EQUITY INVESTMENTS DOMESTIC BANKING CAPITALIZATION ASSET QUALITY LOAN PORTFOLIO FOREIGN BANKS BALANCE SHEET MARKET DEFAULT LOCAL CURRENCY FOREIGN EXCHANGE MARKET RISK EQUITY INVESTMENT DEFAULT PROBABILITIES MONETARY POLICIES INVESTMENT PORTFOLIOS SECURITIES SOLVENCY CAPITAL INFLOW CREDIT SPREADS RISK FACTORS MARKET RISKS CREDIT RISK MACROECONOMIC VARIABLES HOLDINGS CURRENCIES EQUITY INSTRUMENTS GOVERNMENT BONDS DOMESTIC GOVERNMENT BONDS EQUITY HOLDINGS CORPORATE BONDS MARKET SHARE NONPERFORMING LOAN DEBT INSTRUMENTS STOCK EXCHANGE NATIONAL BANK INVESTMENT LENDING INTEREST RATE BOND DOMESTIC CREDIT SOVEREIGN BONDS SHARE CORPORATE BOND BANKRUPTCIES BALANCE SHEETS COLLATERAL FINANCIAL MARKETS FLOATING RATE RISK MEASUREMENT INDIVIDUAL BOND CURRENCY RISK COUPON CAPITAL INFLOWS MONEY MARKET LIQUIDITY POSITIONS INVESTMENTS LENDING DEBT INSTRUMENT INTEREST RATE RISK LIQUIDITY RATIO CREDIT GROWTH BANKING SECTOR ASSETS MATURITIES EXCHANGE RATE INSTRUMENT REMITTANCES LIABILITIES HEDGE LIQUID ASSETS INTERNATIONAL SETTLEMENTS CREDIT LINES FOREIGN BANK This note discusses the stress tests that were carried out on Moldova’s banking system as part of the 2014 financial sector assessment program (FSAP) update. The objective of this exercise was to assess the resilience of the banking system to major sources of risk. The stress tests were conducted in collaboration with the National Bank of Moldova (NBM), and complement other approaches, such as the analysis of financial indicators and the assessment of the quality of supervision. The stress tests focused on the banking system and covered all 14 banks operating in the country. Four macroeconomic scenarios were considered in the financial stability assessment. The stress tests include a comprehensive assessment of risk factors. Potential credit risk losses on the loan book represent the most important risk factor for the banking system. The stress tests also assessed the liquidity in foreign currency, and yielded similar results. However, there are a couple of banks whose ability to meet the liquidity norms is based on relatively large-scale cross-border interbank placements, and there are some doubts about the genuine liquidity of these positions. This note is structured as follows: section one gives executive summary; section two presents a brief description of the banking sector in Moldova and stress test coverage; section three describes the macroeconomic scenarios used in the stress tests; section four details the different methodologies used in the solvency stress tests; section five describes the liquidity stress tests; and section six concludes. 2015-11-06T15:49:29Z 2015-11-06T15:49:29Z 2014-06 Report http://documents.worldbank.org/curated/en/2015/10/25149649/moldova-financial-sector-assessment-program-technical-note-stress-testing http://hdl.handle.net/10986/22905 English en_US CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ International Monetary Fund Washington, DC Economic & Sector Work :: Financial Sector Assessment Program Economic & Sector Work Europe and Central Asia Moldova |