Publication:
Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe : An Overview and Challenges Ahead

Simple item page
dc.contributor.authorPodpiera, Anca Maria
dc.contributor.authorMelecky, Martin
dc.date.accessioned2012-03-19T18:42:07Z
dc.date.available2012-03-19T18:42:07Z
dc.date.issued2010-09-01
dc.description.abstractStress 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.en
dc.identifierhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100927131234
dc.identifier.doi10.1596/1813-9450-5434
dc.identifier.urihttps://hdl.handle.net/10986/3917
dc.languageEnglish
dc.relation.ispartofseriesPolicy Research working paper ; no. WPS 5434
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectACCOUNTING
dc.subjectADVERSE SHOCKS
dc.subjectARBITRAGE
dc.subjectASSET CLASSES
dc.subjectAUDITS
dc.subjectAUSTRIAN NATIONAL BANK
dc.subjectBALANCE SHEET
dc.subjectBALANCE SHEET EFFECTS
dc.subjectBALANCE SHEETS
dc.subjectBANK ACCOUNTS
dc.subjectBANK FAILURE
dc.subjectBANK FAILURES
dc.subjectBANK FOR INTERNATIONAL SETTLEMENTS
dc.subjectBANK OF CANADA
dc.subjectBANK OF ENGLAND
dc.subjectBANK OF GREECE
dc.subjectBANK OF SLOVENIA
dc.subjectBANK POLICY
dc.subjectBANK RATES
dc.subjectBANK RUN
dc.subjectBANKING SECTOR
dc.subjectBANKING SECTOR ASSETS
dc.subjectBANKING SECTOR DEVELOPMENTS
dc.subjectBANKING SECTORS
dc.subjectBANKING SUPERVISION
dc.subjectBANKING SYSTEM
dc.subjectBANKING SYSTEMS
dc.subjectBANKRUPTCY
dc.subjectBASIS POINTS
dc.subjectBOND
dc.subjectBORROWER
dc.subjectBUFFERS
dc.subjectBUSINESS CYCLE
dc.subjectBUSINESS CYCLES
dc.subjectCAPACITY BUILDING
dc.subjectCAPITAL ADEQUACY
dc.subjectCAPITAL STANDARDS
dc.subjectCDS
dc.subjectCENTRAL BANK
dc.subjectCENTRAL BANKING
dc.subjectCENTRAL BANKS
dc.subjectCERTIFICATES OF DEPOSITS
dc.subjectCLASSIFIED LOANS
dc.subjectCOLLATERAL
dc.subjectCOLLATERALIZATION
dc.subjectCOMMERCIAL BANKS
dc.subjectCONSUMER CREDIT
dc.subjectCONSUMER LOANS
dc.subjectCONTINGENT LIABILITY
dc.subjectCORPORATE BORROWERS
dc.subjectCORPORATE DEBTS
dc.subjectCORPORATE DEFAULT
dc.subjectCOUNTRY RISK
dc.subjectCOUPON
dc.subjectCREDIT CARD
dc.subjectCREDIT GROWTH
dc.subjectCREDIT INSTITUTIONS
dc.subjectCREDIT LINES
dc.subjectCREDIT LOSS
dc.subjectCREDIT LOSSES
dc.subjectCREDIT MARKETS
dc.subjectCREDIT RATINGS
dc.subjectCREDIT RISK
dc.subjectCREDIT RISK ASSESSMENT
dc.subjectCREDIT RISK EXPOSURE
dc.subjectCREDIT RISK EXPOSURES
dc.subjectCREDIT RISKS
dc.subjectCROATIAN NATIONAL BANK
dc.subjectDATA RELIABILITY
dc.subjectDEBT
dc.subjectDEBT INSTRUMENTS
dc.subjectDEBT MARKET
dc.subjectDEBT SECURITIES
dc.subjectDEBTORS
dc.subjectDEFAULT PROBABILITIES
dc.subjectDEFAULT RATE
dc.subjectDEFAULT RATES
dc.subjectDEFAULTS
dc.subjectDEGREE OF LIQUIDITY
dc.subjectDEPOSIT
dc.subjectDEPOSIT INTEREST
dc.subjectDEPOSITORS
dc.subjectDEPOSITS
dc.subjectDERIVATIVES
dc.subjectDEVELOPING COUNTRIES
dc.subjectECONOMETRIC MODEL
dc.subjectECONOMETRIC MODELS
dc.subjectECONOMIC GROWTH
dc.subjectEQUITIES
dc.subjectEXCHANGE RATE
dc.subjectEXCHANGE RATES
dc.subjectEXPERIENCE OF COUNTRIES
dc.subjectEXTERNAL DEMAND
dc.subjectEXTERNAL FINANCING
dc.subjectFINANCIAL ASSETS
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL CRISIS
dc.subjectFINANCIAL DATA
dc.subjectFINANCIAL INFRASTRUCTURE
dc.subjectFINANCIAL INSTITUTION
dc.subjectFINANCIAL INSTITUTIONS
dc.subjectFINANCIAL INSTRUMENTS
dc.subjectFINANCIAL MARKET
dc.subjectFINANCIAL MARKETS
dc.subjectFINANCIAL PERFORMANCE
dc.subjectFINANCIAL PROJECTION
dc.subjectFINANCIAL SHOCKS
dc.subjectFINANCIAL STABILITY
dc.subjectFINANCIAL STATEMENTS
dc.subjectFINANCIAL SYSTEM
dc.subjectFINANCIAL SYSTEMS
dc.subjectFINANCIAL VARIABLES
dc.subjectFOREIGN CURRENCY
dc.subjectFOREIGN FUNDS
dc.subjectFRAUDS
dc.subjectGOVERNMENT BONDS
dc.subjectHIGH-INCOME COUNTRIES
dc.subjectHOLDING
dc.subjectHOLDINGS
dc.subjectIMPAIRED ASSETS
dc.subjectINCOME STATEMENTS
dc.subjectINDEBTEDNESS
dc.subjectINFLATION
dc.subjectINFLATION RATE
dc.subjectINTEREST INCOME
dc.subjectINTEREST RATE
dc.subjectINTEREST RATE ADJUSTMENTS
dc.subjectINTEREST RATE CHANGES
dc.subjectINTEREST RATE RISK
dc.subjectINTEREST RATES
dc.subjectINTERNATIONAL BANK
dc.subjectINTERNATIONAL BANKING
dc.subjectINTERNATIONAL FINANCIAL INSTITUTIONS
dc.subjectINVESTMENT IN DEBT SECURITIES
dc.subjectLIQUID ASSETS
dc.subjectLIQUIDITY
dc.subjectLIQUIDITY MANAGEMENT
dc.subjectLIQUIDITY POSITION
dc.subjectLIQUIDITY RATIOS
dc.subjectLIQUIDITY RISK
dc.subjectLIQUIDITY RISKS
dc.subjectLOAN
dc.subjectLOAN LOSS PROVISIONS
dc.subjectLOAN PERFORMANCE
dc.subjectLOAN PORTFOLIO
dc.subjectLOAN PORTFOLIOS
dc.subjectLOAN QUALITY
dc.subjectLOAN STOCK
dc.subjectLOSS OF CONFIDENCE
dc.subjectMACROECONOMIC CONDITIONS
dc.subjectMACROECONOMIC DATA
dc.subjectMACROECONOMIC MODEL
dc.subjectMACROECONOMIC MODELS
dc.subjectMACROECONOMIC RISKS
dc.subjectMACROECONOMIC SHOCKS
dc.subjectMACROECONOMIC VARIABLES
dc.subjectMARKET CONFIDENCE
dc.subjectMARKET DEVELOPMENTS
dc.subjectMARKET DISCIPLINE
dc.subjectMARKET LIQUIDITY
dc.subjectMARKET RISK
dc.subjectMARKET RISKS
dc.subjectMARKET SHARES
dc.subjectMATURITIES
dc.subjectMATURITY
dc.subjectMATURITY MISMATCH
dc.subjectMATURITY TRANSFORMATION
dc.subjectMICRO DATA
dc.subjectMICRO-DATA
dc.subjectMICRODATA
dc.subjectMIGRATION
dc.subjectMONETARY POLICY
dc.subjectMONEY MARKET
dc.subjectMONEY MARKET RATES
dc.subjectMORTGAGE
dc.subjectMORTGAGE LOANS
dc.subjectMORTGAGES
dc.subjectNATIONAL BANK OF SLOVAKIA
dc.subjectNET OPERATING INCOME
dc.subjectNONPERFORMING LOANS
dc.subjectNPL
dc.subjectOPERATING EXPENSES
dc.subjectOPERATIONAL RISK
dc.subjectOVERDUE LOANS
dc.subjectPOLICY RESPONSES
dc.subjectPORTFOLIO
dc.subjectPORTFOLIO OF SECURITIES
dc.subjectPREPAYMENTS
dc.subjectPROBABILITY OF DEFAULT
dc.subjectPROFITABILITY
dc.subjectPROVISIONING RULES
dc.subjectRE-CAPITALIZATION
dc.subjectREAL ESTATE LOANS
dc.subjectREAL INTEREST
dc.subjectREAL INTEREST RATES
dc.subjectRECAPITALIZATION
dc.subjectREGIME SWITCHES
dc.subjectREPRICING GAPS
dc.subjectRESERVE
dc.subjectRISK ASSESSMENTS
dc.subjectRISK EXPOSURES
dc.subjectRISK FACTORS
dc.subjectRISK PREMIUM
dc.subjectSECURITIES
dc.subjectSECURITIES ISSUANCE
dc.subjectSECURITY PRICES
dc.subjectSETTLEMENT
dc.subjectSETTLEMENT SYSTEMS
dc.subjectSHAREHOLDERS
dc.subjectSHORT TERM INTEREST RATE
dc.subjectSOLVENCY
dc.subjectSUPERVISORY AUTHORITIES
dc.subjectSVERIGES RIKSBANK
dc.subjectSWAP
dc.subjectSWAPS
dc.subjectSYSTEMIC RISK
dc.subjectTECHNICAL ASSISTANCE
dc.subjectTERMS OF CREDIT
dc.subjectTREASURY
dc.subjectTURNOVERS
dc.subjectVALUATION
dc.subjectVAR MODELS
dc.subjectWITHDRAWAL
dc.subjectWRITEDOWNS
dc.subjectYIELD CURVE
dc.titleMacroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe : An Overview and Challenges Aheaden
dspace.entity.typePublication
okr.crossref.titleMacroprudential stress-testing practices of central banks in central and south eastern Europe : an overview and challenges ahead
okr.date.disclosure2010-09-01
okr.date.doiregistration2025-04-10T11:40:54.825562Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100927131234
okr.guid559901468030550397
okr.identifier.doi10.1596/1813-9450-5434
okr.identifier.externaldocumentum000158349_20100927131234
okr.identifier.internaldocumentum12808215
okr.identifier.reportWPS5434
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2010/09/27/000158349_20100927131234/Rendered/PDF/WPS5434.pdfen
okr.region.administrativeEurope and Central Asia
okr.region.administrativeEurope and Central Asia
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isAuthorOfPublicationc2369c70-649c-4c08-a1c8-b1dcb7d123de
relation.isAuthorOfPublication.latestForDiscoveryc2369c70-649c-4c08-a1c8-b1dcb7d123de
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
Files
Original bundle
Now showing 1 - 2 of 2
Thumbnail Image
Name:
WPS5434.pdf
Size:
740.69 KB
Format:
Adobe Portable Document Format
Download
No Thumbnail Available
Name:
WPS5434.txt
Size:
107.16 KB
Format:
Plain Text
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description:
Download
Collections
Policy Research Working Papers