Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe : An Overview and Challenges Ahead
Stress tests are the main practical tools of macroprudential oversight. This paper reviews the stress-testing practices of central banks in Central and South Eastern Europe (CSEECBs) and outlines the challenges in the area of stress testing going f...
| Main Authors: | , |
|---|---|
| Format: | Policy Research Working Paper |
| Language: | English |
| Published: |
2012
|
| Subjects: | |
| Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100927131234 http://hdl.handle.net/10986/3917 |
| id |
okr-10986-3917 |
|---|---|
| recordtype |
oai_dc |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ACCOUNTING ADVERSE SHOCKS ARBITRAGE ASSET CLASSES AUDITS AUSTRIAN NATIONAL BANK BALANCE SHEET BALANCE SHEET EFFECTS BALANCE SHEETS BANK ACCOUNTS BANK FAILURE BANK FAILURES BANK FOR INTERNATIONAL SETTLEMENTS BANK OF CANADA BANK OF ENGLAND BANK OF GREECE BANK OF SLOVENIA BANK POLICY BANK RATES BANK RUN BANKING SECTOR BANKING SECTOR ASSETS BANKING SECTOR DEVELOPMENTS BANKING SECTORS BANKING SUPERVISION BANKING SYSTEM BANKING SYSTEMS BANKRUPTCY BASIS POINTS BOND BORROWER BUFFERS BUSINESS CYCLE BUSINESS CYCLES CAPACITY BUILDING CAPITAL ADEQUACY CAPITAL STANDARDS CDS CENTRAL BANK CENTRAL BANKING CENTRAL BANKS CERTIFICATES OF DEPOSITS CLASSIFIED LOANS COLLATERAL COLLATERALIZATION COMMERCIAL BANKS CONSUMER CREDIT CONSUMER LOANS CONTINGENT LIABILITY CORPORATE BORROWERS CORPORATE DEBTS CORPORATE DEFAULT COUNTRY RISK COUPON CREDIT CARD CREDIT GROWTH CREDIT INSTITUTIONS CREDIT LINES CREDIT LOSS CREDIT LOSSES CREDIT MARKETS CREDIT RATINGS CREDIT RISK CREDIT RISK ASSESSMENT CREDIT RISK EXPOSURE CREDIT RISK EXPOSURES CREDIT RISKS CROATIAN NATIONAL BANK DATA RELIABILITY DEBT DEBT INSTRUMENTS DEBT MARKET DEBT SECURITIES DEBTORS DEFAULT PROBABILITIES DEFAULT RATE DEFAULT RATES DEFAULTS DEGREE OF LIQUIDITY DEPOSIT DEPOSIT INTEREST DEPOSITORS DEPOSITS DERIVATIVES DEVELOPING COUNTRIES ECONOMETRIC MODEL ECONOMETRIC MODELS ECONOMIC GROWTH EQUITIES EXCHANGE RATE EXCHANGE RATES EXPERIENCE OF COUNTRIES EXTERNAL DEMAND EXTERNAL FINANCING FINANCIAL ASSETS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DATA FINANCIAL INFRASTRUCTURE FINANCIAL INSTITUTION FINANCIAL INSTITUTIONS FINANCIAL INSTRUMENTS FINANCIAL MARKET FINANCIAL MARKETS FINANCIAL PERFORMANCE FINANCIAL PROJECTION FINANCIAL SHOCKS FINANCIAL STABILITY FINANCIAL STATEMENTS FINANCIAL SYSTEM FINANCIAL SYSTEMS FINANCIAL VARIABLES FOREIGN CURRENCY FOREIGN FUNDS FRAUDS GOVERNMENT BONDS HIGH-INCOME COUNTRIES HOLDING HOLDINGS IMPAIRED ASSETS INCOME STATEMENTS INDEBTEDNESS INFLATION INFLATION RATE INTEREST INCOME INTEREST RATE INTEREST RATE ADJUSTMENTS INTEREST RATE CHANGES INTEREST RATE RISK INTEREST RATES INTERNATIONAL BANK INTERNATIONAL BANKING INTERNATIONAL FINANCIAL INSTITUTIONS INVESTMENT IN DEBT SECURITIES LIQUID ASSETS LIQUIDITY LIQUIDITY MANAGEMENT LIQUIDITY POSITION LIQUIDITY RATIOS LIQUIDITY RISK LIQUIDITY RISKS LOAN LOAN LOSS PROVISIONS LOAN PERFORMANCE LOAN PORTFOLIO LOAN PORTFOLIOS LOAN QUALITY LOAN STOCK LOSS OF CONFIDENCE MACROECONOMIC CONDITIONS MACROECONOMIC DATA MACROECONOMIC MODEL MACROECONOMIC MODELS MACROECONOMIC RISKS MACROECONOMIC SHOCKS MACROECONOMIC VARIABLES MARKET CONFIDENCE MARKET DEVELOPMENTS MARKET DISCIPLINE MARKET LIQUIDITY MARKET RISK MARKET RISKS MARKET SHARES MATURITIES MATURITY MATURITY MISMATCH MATURITY TRANSFORMATION MICRO DATA MICRO-DATA MICRODATA MIGRATION MONETARY POLICY MONEY MARKET MONEY MARKET RATES MORTGAGE MORTGAGE LOANS MORTGAGES NATIONAL BANK OF SLOVAKIA NET OPERATING INCOME NONPERFORMING LOANS NPL OPERATING EXPENSES OPERATIONAL RISK OVERDUE LOANS POLICY RESPONSES PORTFOLIO PORTFOLIO OF SECURITIES PREPAYMENTS PROBABILITY OF DEFAULT PROFITABILITY PROVISIONING RULES RE-CAPITALIZATION REAL ESTATE LOANS REAL INTEREST REAL INTEREST RATES RECAPITALIZATION REGIME SWITCHES REPRICING GAPS RESERVE RISK ASSESSMENTS RISK EXPOSURES RISK FACTORS RISK PREMIUM SECURITIES SECURITIES ISSUANCE SECURITY PRICES SETTLEMENT SETTLEMENT SYSTEMS SHAREHOLDERS SHORT TERM INTEREST RATE SOLVENCY SUPERVISORY AUTHORITIES SVERIGES RIKSBANK SWAP SWAPS SYSTEMIC RISK TECHNICAL ASSISTANCE TERMS OF CREDIT TREASURY TURNOVERS VALUATION VAR MODELS WITHDRAWAL WRITEDOWNS YIELD CURVE |
| spellingShingle |
ACCOUNTING ADVERSE SHOCKS ARBITRAGE ASSET CLASSES AUDITS AUSTRIAN NATIONAL BANK BALANCE SHEET BALANCE SHEET EFFECTS BALANCE SHEETS BANK ACCOUNTS BANK FAILURE BANK FAILURES BANK FOR INTERNATIONAL SETTLEMENTS BANK OF CANADA BANK OF ENGLAND BANK OF GREECE BANK OF SLOVENIA BANK POLICY BANK RATES BANK RUN BANKING SECTOR BANKING SECTOR ASSETS BANKING SECTOR DEVELOPMENTS BANKING SECTORS BANKING SUPERVISION BANKING SYSTEM BANKING SYSTEMS BANKRUPTCY BASIS POINTS BOND BORROWER BUFFERS BUSINESS CYCLE BUSINESS CYCLES CAPACITY BUILDING CAPITAL ADEQUACY CAPITAL STANDARDS CDS CENTRAL BANK CENTRAL BANKING CENTRAL BANKS CERTIFICATES OF DEPOSITS CLASSIFIED LOANS COLLATERAL COLLATERALIZATION COMMERCIAL BANKS CONSUMER CREDIT CONSUMER LOANS CONTINGENT LIABILITY CORPORATE BORROWERS CORPORATE DEBTS CORPORATE DEFAULT COUNTRY RISK COUPON CREDIT CARD CREDIT GROWTH CREDIT INSTITUTIONS CREDIT LINES CREDIT LOSS CREDIT LOSSES CREDIT MARKETS CREDIT RATINGS CREDIT RISK CREDIT RISK ASSESSMENT CREDIT RISK EXPOSURE CREDIT RISK EXPOSURES CREDIT RISKS CROATIAN NATIONAL BANK DATA RELIABILITY DEBT DEBT INSTRUMENTS DEBT MARKET DEBT SECURITIES DEBTORS DEFAULT PROBABILITIES DEFAULT RATE DEFAULT RATES DEFAULTS DEGREE OF LIQUIDITY DEPOSIT DEPOSIT INTEREST DEPOSITORS DEPOSITS DERIVATIVES DEVELOPING COUNTRIES ECONOMETRIC MODEL ECONOMETRIC MODELS ECONOMIC GROWTH EQUITIES EXCHANGE RATE EXCHANGE RATES EXPERIENCE OF COUNTRIES EXTERNAL DEMAND EXTERNAL FINANCING FINANCIAL ASSETS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DATA FINANCIAL INFRASTRUCTURE FINANCIAL INSTITUTION FINANCIAL INSTITUTIONS FINANCIAL INSTRUMENTS FINANCIAL MARKET FINANCIAL MARKETS FINANCIAL PERFORMANCE FINANCIAL PROJECTION FINANCIAL SHOCKS FINANCIAL STABILITY FINANCIAL STATEMENTS FINANCIAL SYSTEM FINANCIAL SYSTEMS FINANCIAL VARIABLES FOREIGN CURRENCY FOREIGN FUNDS FRAUDS GOVERNMENT BONDS HIGH-INCOME COUNTRIES HOLDING HOLDINGS IMPAIRED ASSETS INCOME STATEMENTS INDEBTEDNESS INFLATION INFLATION RATE INTEREST INCOME INTEREST RATE INTEREST RATE ADJUSTMENTS INTEREST RATE CHANGES INTEREST RATE RISK INTEREST RATES INTERNATIONAL BANK INTERNATIONAL BANKING INTERNATIONAL FINANCIAL INSTITUTIONS INVESTMENT IN DEBT SECURITIES LIQUID ASSETS LIQUIDITY LIQUIDITY MANAGEMENT LIQUIDITY POSITION LIQUIDITY RATIOS LIQUIDITY RISK LIQUIDITY RISKS LOAN LOAN LOSS PROVISIONS LOAN PERFORMANCE LOAN PORTFOLIO LOAN PORTFOLIOS LOAN QUALITY LOAN STOCK LOSS OF CONFIDENCE MACROECONOMIC CONDITIONS MACROECONOMIC DATA MACROECONOMIC MODEL MACROECONOMIC MODELS MACROECONOMIC RISKS MACROECONOMIC SHOCKS MACROECONOMIC VARIABLES MARKET CONFIDENCE MARKET DEVELOPMENTS MARKET DISCIPLINE MARKET LIQUIDITY MARKET RISK MARKET RISKS MARKET SHARES MATURITIES MATURITY MATURITY MISMATCH MATURITY TRANSFORMATION MICRO DATA MICRO-DATA MICRODATA MIGRATION MONETARY POLICY MONEY MARKET MONEY MARKET RATES MORTGAGE MORTGAGE LOANS MORTGAGES NATIONAL BANK OF SLOVAKIA NET OPERATING INCOME NONPERFORMING LOANS NPL OPERATING EXPENSES OPERATIONAL RISK OVERDUE LOANS POLICY RESPONSES PORTFOLIO PORTFOLIO OF SECURITIES PREPAYMENTS PROBABILITY OF DEFAULT PROFITABILITY PROVISIONING RULES RE-CAPITALIZATION REAL ESTATE LOANS REAL INTEREST REAL INTEREST RATES RECAPITALIZATION REGIME SWITCHES REPRICING GAPS RESERVE RISK ASSESSMENTS RISK EXPOSURES RISK FACTORS RISK PREMIUM SECURITIES SECURITIES ISSUANCE SECURITY PRICES SETTLEMENT SETTLEMENT SYSTEMS SHAREHOLDERS SHORT TERM INTEREST RATE SOLVENCY SUPERVISORY AUTHORITIES SVERIGES RIKSBANK SWAP SWAPS SYSTEMIC RISK TECHNICAL ASSISTANCE TERMS OF CREDIT TREASURY TURNOVERS VALUATION VAR MODELS WITHDRAWAL WRITEDOWNS YIELD CURVE Melecky, Martin Podpiera, Anca Maria Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe : An Overview and Challenges Ahead |
| geographic_facet |
Europe and Central Asia Europe and Central Asia |
| relation |
Policy Research working paper ; no. WPS 5434 |
| description |
Stress tests are the main practical
tools of macroprudential oversight. This paper reviews the
stress-testing practices of central banks in Central and
South Eastern Europe (CSEECBs) and outlines the challenges
in the area of stress testing going forward. The authors
discuss good practice and the applied approaches by CSEECBs
focusing on the main components of a typical macroprudential
stress test, i.e. constructing the baseline and stress
scenarios, mapping macroeconomic scenarios and microeconomic
factors to risk factors, calculating risk exposures to
different risk indicators, and estimating outcome indicators
to inform macroprudential policy. The main challenges for
the CSEECBs going forward involve needed improvements in
data reliability, consideration of quantitative
microprudential indicators in macroprudential stress tests,
explicit incorporation of dynamics in stress tests to
include reaction functions of banks and macroprudential
policy, institutionalization of macroprudential policy
responses to alarming stress-test results, use of the
top-down and bottom-up stress test results in supervisory
communication, cooperation of macroprudential and
microprudential supervision, and information exchange for
better cross-border supervision of international banking groups. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Melecky, Martin Podpiera, Anca Maria |
| author_facet |
Melecky, Martin Podpiera, Anca Maria |
| author_sort |
Melecky, Martin |
| title |
Macroprudential Stress-Testing Practices of Central Banks in Central
and South Eastern Europe : An Overview and Challenges Ahead |
| title_short |
Macroprudential Stress-Testing Practices of Central Banks in Central
and South Eastern Europe : An Overview and Challenges Ahead |
| title_full |
Macroprudential Stress-Testing Practices of Central Banks in Central
and South Eastern Europe : An Overview and Challenges Ahead |
| title_fullStr |
Macroprudential Stress-Testing Practices of Central Banks in Central
and South Eastern Europe : An Overview and Challenges Ahead |
| title_full_unstemmed |
Macroprudential Stress-Testing Practices of Central Banks in Central
and South Eastern Europe : An Overview and Challenges Ahead |
| title_sort |
macroprudential stress-testing practices of central banks in central
and south eastern europe : an overview and challenges ahead |
| publishDate |
2012 |
| url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100927131234 http://hdl.handle.net/10986/3917 |
| _version_ |
1764389010389598208 |
| spelling |
okr-10986-39172021-04-23T14:02:13Z Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe : An Overview and Challenges Ahead Melecky, Martin Podpiera, Anca Maria ACCOUNTING ADVERSE SHOCKS ARBITRAGE ASSET CLASSES AUDITS AUSTRIAN NATIONAL BANK BALANCE SHEET BALANCE SHEET EFFECTS BALANCE SHEETS BANK ACCOUNTS BANK FAILURE BANK FAILURES BANK FOR INTERNATIONAL SETTLEMENTS BANK OF CANADA BANK OF ENGLAND BANK OF GREECE BANK OF SLOVENIA BANK POLICY BANK RATES BANK RUN BANKING SECTOR BANKING SECTOR ASSETS BANKING SECTOR DEVELOPMENTS BANKING SECTORS BANKING SUPERVISION BANKING SYSTEM BANKING SYSTEMS BANKRUPTCY BASIS POINTS BOND BORROWER BUFFERS BUSINESS CYCLE BUSINESS CYCLES CAPACITY BUILDING CAPITAL ADEQUACY CAPITAL STANDARDS CDS CENTRAL BANK CENTRAL BANKING CENTRAL BANKS CERTIFICATES OF DEPOSITS CLASSIFIED LOANS COLLATERAL COLLATERALIZATION COMMERCIAL BANKS CONSUMER CREDIT CONSUMER LOANS CONTINGENT LIABILITY CORPORATE BORROWERS CORPORATE DEBTS CORPORATE DEFAULT COUNTRY RISK COUPON CREDIT CARD CREDIT GROWTH CREDIT INSTITUTIONS CREDIT LINES CREDIT LOSS CREDIT LOSSES CREDIT MARKETS CREDIT RATINGS CREDIT RISK CREDIT RISK ASSESSMENT CREDIT RISK EXPOSURE CREDIT RISK EXPOSURES CREDIT RISKS CROATIAN NATIONAL BANK DATA RELIABILITY DEBT DEBT INSTRUMENTS DEBT MARKET DEBT SECURITIES DEBTORS DEFAULT PROBABILITIES DEFAULT RATE DEFAULT RATES DEFAULTS DEGREE OF LIQUIDITY DEPOSIT DEPOSIT INTEREST DEPOSITORS DEPOSITS DERIVATIVES DEVELOPING COUNTRIES ECONOMETRIC MODEL ECONOMETRIC MODELS ECONOMIC GROWTH EQUITIES EXCHANGE RATE EXCHANGE RATES EXPERIENCE OF COUNTRIES EXTERNAL DEMAND EXTERNAL FINANCING FINANCIAL ASSETS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DATA FINANCIAL INFRASTRUCTURE FINANCIAL INSTITUTION FINANCIAL INSTITUTIONS FINANCIAL INSTRUMENTS FINANCIAL MARKET FINANCIAL MARKETS FINANCIAL PERFORMANCE FINANCIAL PROJECTION FINANCIAL SHOCKS FINANCIAL STABILITY FINANCIAL STATEMENTS FINANCIAL SYSTEM FINANCIAL SYSTEMS FINANCIAL VARIABLES FOREIGN CURRENCY FOREIGN FUNDS FRAUDS GOVERNMENT BONDS HIGH-INCOME COUNTRIES HOLDING HOLDINGS IMPAIRED ASSETS INCOME STATEMENTS INDEBTEDNESS INFLATION INFLATION RATE INTEREST INCOME INTEREST RATE INTEREST RATE ADJUSTMENTS INTEREST RATE CHANGES INTEREST RATE RISK INTEREST RATES INTERNATIONAL BANK INTERNATIONAL BANKING INTERNATIONAL FINANCIAL INSTITUTIONS INVESTMENT IN DEBT SECURITIES LIQUID ASSETS LIQUIDITY LIQUIDITY MANAGEMENT LIQUIDITY POSITION LIQUIDITY RATIOS LIQUIDITY RISK LIQUIDITY RISKS LOAN LOAN LOSS PROVISIONS LOAN PERFORMANCE LOAN PORTFOLIO LOAN PORTFOLIOS LOAN QUALITY LOAN STOCK LOSS OF CONFIDENCE MACROECONOMIC CONDITIONS MACROECONOMIC DATA MACROECONOMIC MODEL MACROECONOMIC MODELS MACROECONOMIC RISKS MACROECONOMIC SHOCKS MACROECONOMIC VARIABLES MARKET CONFIDENCE MARKET DEVELOPMENTS MARKET DISCIPLINE MARKET LIQUIDITY MARKET RISK MARKET RISKS MARKET SHARES MATURITIES MATURITY MATURITY MISMATCH MATURITY TRANSFORMATION MICRO DATA MICRO-DATA MICRODATA MIGRATION MONETARY POLICY MONEY MARKET MONEY MARKET RATES MORTGAGE MORTGAGE LOANS MORTGAGES NATIONAL BANK OF SLOVAKIA NET OPERATING INCOME NONPERFORMING LOANS NPL OPERATING EXPENSES OPERATIONAL RISK OVERDUE LOANS POLICY RESPONSES PORTFOLIO PORTFOLIO OF SECURITIES PREPAYMENTS PROBABILITY OF DEFAULT PROFITABILITY PROVISIONING RULES RE-CAPITALIZATION REAL ESTATE LOANS REAL INTEREST REAL INTEREST RATES RECAPITALIZATION REGIME SWITCHES REPRICING GAPS RESERVE RISK ASSESSMENTS RISK EXPOSURES RISK FACTORS RISK PREMIUM SECURITIES SECURITIES ISSUANCE SECURITY PRICES SETTLEMENT SETTLEMENT SYSTEMS SHAREHOLDERS SHORT TERM INTEREST RATE SOLVENCY SUPERVISORY AUTHORITIES SVERIGES RIKSBANK SWAP SWAPS SYSTEMIC RISK TECHNICAL ASSISTANCE TERMS OF CREDIT TREASURY TURNOVERS VALUATION VAR MODELS WITHDRAWAL WRITEDOWNS YIELD CURVE Stress tests are the main practical tools of macroprudential oversight. This paper reviews the stress-testing practices of central banks in Central and South Eastern Europe (CSEECBs) and outlines the challenges in the area of stress testing going forward. The authors discuss good practice and the applied approaches by CSEECBs focusing on the main components of a typical macroprudential stress test, i.e. constructing the baseline and stress scenarios, mapping macroeconomic scenarios and microeconomic factors to risk factors, calculating risk exposures to different risk indicators, and estimating outcome indicators to inform macroprudential policy. The main challenges for the CSEECBs going forward involve needed improvements in data reliability, consideration of quantitative microprudential indicators in macroprudential stress tests, explicit incorporation of dynamics in stress tests to include reaction functions of banks and macroprudential policy, institutionalization of macroprudential policy responses to alarming stress-test results, use of the top-down and bottom-up stress test results in supervisory communication, cooperation of macroprudential and microprudential supervision, and information exchange for better cross-border supervision of international banking groups. 2012-03-19T18:42:07Z 2012-03-19T18:42:07Z 2010-09-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100927131234 http://hdl.handle.net/10986/3917 English Policy Research working paper ; no. WPS 5434 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper Europe and Central Asia Europe and Central Asia |