Podpiera, Anca MariaMelecky, Martin2012-03-192012-03-192010-09-01https://hdl.handle.net/10986/3917Stress 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.CC BY 3.0 IGOACCOUNTINGADVERSE SHOCKSARBITRAGEASSET CLASSESAUDITSAUSTRIAN NATIONAL BANKBALANCE SHEETBALANCE SHEET EFFECTSBALANCE SHEETSBANK ACCOUNTSBANK FAILUREBANK FAILURESBANK FOR INTERNATIONAL SETTLEMENTSBANK OF CANADABANK OF ENGLANDBANK OF GREECEBANK OF SLOVENIABANK POLICYBANK RATESBANK RUNBANKING SECTORBANKING SECTOR ASSETSBANKING SECTOR DEVELOPMENTSBANKING SECTORSBANKING SUPERVISIONBANKING SYSTEMBANKING SYSTEMSBANKRUPTCYBASIS POINTSBONDBORROWERBUFFERSBUSINESS CYCLEBUSINESS CYCLESCAPACITY BUILDINGCAPITAL ADEQUACYCAPITAL STANDARDSCDSCENTRAL BANKCENTRAL BANKINGCENTRAL BANKSCERTIFICATES OF DEPOSITSCLASSIFIED LOANSCOLLATERALCOLLATERALIZATIONCOMMERCIAL BANKSCONSUMER CREDITCONSUMER LOANSCONTINGENT LIABILITYCORPORATE BORROWERSCORPORATE DEBTSCORPORATE DEFAULTCOUNTRY RISKCOUPONCREDIT CARDCREDIT GROWTHCREDIT INSTITUTIONSCREDIT LINESCREDIT LOSSCREDIT LOSSESCREDIT MARKETSCREDIT RATINGSCREDIT RISKCREDIT RISK ASSESSMENTCREDIT RISK EXPOSURECREDIT RISK EXPOSURESCREDIT RISKSCROATIAN NATIONAL BANKDATA RELIABILITYDEBTDEBT INSTRUMENTSDEBT MARKETDEBT SECURITIESDEBTORSDEFAULT PROBABILITIESDEFAULT RATEDEFAULT RATESDEFAULTSDEGREE OF LIQUIDITYDEPOSITDEPOSIT INTERESTDEPOSITORSDEPOSITSDERIVATIVESDEVELOPING COUNTRIESECONOMETRIC MODELECONOMETRIC MODELSECONOMIC GROWTHEQUITIESEXCHANGE RATEEXCHANGE RATESEXPERIENCE OF COUNTRIESEXTERNAL DEMANDEXTERNAL FINANCINGFINANCIAL ASSETSFINANCIAL CRISESFINANCIAL CRISISFINANCIAL DATAFINANCIAL INFRASTRUCTUREFINANCIAL INSTITUTIONFINANCIAL INSTITUTIONSFINANCIAL INSTRUMENTSFINANCIAL MARKETFINANCIAL MARKETSFINANCIAL PERFORMANCEFINANCIAL PROJECTIONFINANCIAL SHOCKSFINANCIAL STABILITYFINANCIAL STATEMENTSFINANCIAL SYSTEMFINANCIAL SYSTEMSFINANCIAL VARIABLESFOREIGN CURRENCYFOREIGN FUNDSFRAUDSGOVERNMENT BONDSHIGH-INCOME COUNTRIESHOLDINGHOLDINGSIMPAIRED ASSETSINCOME STATEMENTSINDEBTEDNESSINFLATIONINFLATION RATEINTEREST INCOMEINTEREST RATEINTEREST RATE ADJUSTMENTSINTEREST RATE CHANGESINTEREST RATE RISKINTEREST RATESINTERNATIONAL BANKINTERNATIONAL BANKINGINTERNATIONAL FINANCIAL INSTITUTIONSINVESTMENT IN DEBT SECURITIESLIQUID ASSETSLIQUIDITYLIQUIDITY MANAGEMENTLIQUIDITY POSITIONLIQUIDITY RATIOSLIQUIDITY RISKLIQUIDITY RISKSLOANLOAN LOSS PROVISIONSLOAN PERFORMANCELOAN PORTFOLIOLOAN PORTFOLIOSLOAN QUALITYLOAN STOCKLOSS OF CONFIDENCEMACROECONOMIC CONDITIONSMACROECONOMIC DATAMACROECONOMIC MODELMACROECONOMIC MODELSMACROECONOMIC RISKSMACROECONOMIC SHOCKSMACROECONOMIC VARIABLESMARKET CONFIDENCEMARKET DEVELOPMENTSMARKET DISCIPLINEMARKET LIQUIDITYMARKET RISKMARKET RISKSMARKET SHARESMATURITIESMATURITYMATURITY MISMATCHMATURITY TRANSFORMATIONMICRO DATAMICRO-DATAMICRODATAMIGRATIONMONETARY POLICYMONEY MARKETMONEY MARKET RATESMORTGAGEMORTGAGE LOANSMORTGAGESNATIONAL BANK OF SLOVAKIANET OPERATING INCOMENONPERFORMING LOANSNPLOPERATING EXPENSESOPERATIONAL RISKOVERDUE LOANSPOLICY RESPONSESPORTFOLIOPORTFOLIO OF SECURITIESPREPAYMENTSPROBABILITY OF DEFAULTPROFITABILITYPROVISIONING RULESRE-CAPITALIZATIONREAL ESTATE LOANSREAL INTERESTREAL INTEREST RATESRECAPITALIZATIONREGIME SWITCHESREPRICING GAPSRESERVERISK ASSESSMENTSRISK EXPOSURESRISK FACTORSRISK PREMIUMSECURITIESSECURITIES ISSUANCESECURITY PRICESSETTLEMENTSETTLEMENT SYSTEMSSHAREHOLDERSSHORT TERM INTEREST RATESOLVENCYSUPERVISORY AUTHORITIESSVERIGES RIKSBANKSWAPSWAPSSYSTEMIC RISKTECHNICAL ASSISTANCETERMS OF CREDITTREASURYTURNOVERSVALUATIONVAR MODELSWITHDRAWALWRITEDOWNSYIELD CURVEWorld Bankhttps://doi.org/10.1596/1813-9450-5434