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

Melecky, Martin; Podpiera, Anca Maria

dc.creator	Melecky, Martin
dc.creator	Podpiera, Anca Maria
dc.date	2012-03-19T18:42:07Z
dc.date	2012-03-19T18:42:07Z
dc.date	2010-09-01
dc.date.accessioned	2023-02-17T21:05:55Z
dc.date.available	2023-02-17T21:05:55Z
dc.identifier	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
dc.identifier	http://hdl.handle.net/10986/3917
dc.identifier.uri	http://localhost:8080/xmlui/handle/CUHPOERS/244887
dc.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.
dc.language	English
dc.relation	Policy Research working paper ; no. WPS 5434
dc.rights	CC BY 3.0 IGO
dc.rights	http://creativecommons.org/licenses/by/3.0/igo/
dc.rights	World Bank
dc.subject	ACCOUNTING
dc.subject	ADVERSE SHOCKS
dc.subject	ARBITRAGE
dc.subject	ASSET CLASSES
dc.subject	AUDITS
dc.subject	AUSTRIAN NATIONAL BANK
dc.subject	BALANCE SHEET
dc.subject	BALANCE SHEET EFFECTS
dc.subject	BALANCE SHEETS
dc.subject	BANK ACCOUNTS
dc.subject	BANK FAILURE
dc.subject	BANK FAILURES
dc.subject	BANK FOR INTERNATIONAL SETTLEMENTS
dc.subject	BANK OF CANADA
dc.subject	BANK OF ENGLAND
dc.subject	BANK OF GREECE
dc.subject	BANK OF SLOVENIA
dc.subject	BANK POLICY
dc.subject	BANK RATES
dc.subject	BANK RUN
dc.subject	BANKING SECTOR
dc.subject	BANKING SECTOR ASSETS
dc.subject	BANKING SECTOR DEVELOPMENTS
dc.subject	BANKING SECTORS
dc.subject	BANKING SUPERVISION
dc.subject	BANKING SYSTEM
dc.subject	BANKING SYSTEMS
dc.subject	BANKRUPTCY
dc.subject	BASIS POINTS
dc.subject	BOND
dc.subject	BORROWER
dc.subject	BUFFERS
dc.subject	BUSINESS CYCLE
dc.subject	BUSINESS CYCLES
dc.subject	CAPACITY BUILDING
dc.subject	CAPITAL ADEQUACY
dc.subject	CAPITAL STANDARDS
dc.subject	CDS
dc.subject	CENTRAL BANK
dc.subject	CENTRAL BANKING
dc.subject	CENTRAL BANKS
dc.subject	CERTIFICATES OF DEPOSITS
dc.subject	CLASSIFIED LOANS
dc.subject	COLLATERAL
dc.subject	COLLATERALIZATION
dc.subject	COMMERCIAL BANKS
dc.subject	CONSUMER CREDIT
dc.subject	CONSUMER LOANS
dc.subject	CONTINGENT LIABILITY
dc.subject	CORPORATE BORROWERS
dc.subject	CORPORATE DEBTS
dc.subject	CORPORATE DEFAULT
dc.subject	COUNTRY RISK
dc.subject	COUPON
dc.subject	CREDIT CARD
dc.subject	CREDIT GROWTH
dc.subject	CREDIT INSTITUTIONS
dc.subject	CREDIT LINES
dc.subject	CREDIT LOSS
dc.subject	CREDIT LOSSES
dc.subject	CREDIT MARKETS
dc.subject	CREDIT RATINGS
dc.subject	CREDIT RISK
dc.subject	CREDIT RISK ASSESSMENT
dc.subject	CREDIT RISK EXPOSURE
dc.subject	CREDIT RISK EXPOSURES
dc.subject	CREDIT RISKS
dc.subject	CROATIAN NATIONAL BANK
dc.subject	DATA RELIABILITY
dc.subject	DEBT
dc.subject	DEBT INSTRUMENTS
dc.subject	DEBT MARKET
dc.subject	DEBT SECURITIES
dc.subject	DEBTORS
dc.subject	DEFAULT PROBABILITIES
dc.subject	DEFAULT RATE
dc.subject	DEFAULT RATES
dc.subject	DEFAULTS
dc.subject	DEGREE OF LIQUIDITY
dc.subject	DEPOSIT
dc.subject	DEPOSIT INTEREST
dc.subject	DEPOSITORS
dc.subject	DEPOSITS
dc.subject	DERIVATIVES
dc.subject	DEVELOPING COUNTRIES
dc.subject	ECONOMETRIC MODEL
dc.subject	ECONOMETRIC MODELS
dc.subject	ECONOMIC GROWTH
dc.subject	EQUITIES
dc.subject	EXCHANGE RATE
dc.subject	EXCHANGE RATES
dc.subject	EXPERIENCE OF COUNTRIES
dc.subject	EXTERNAL DEMAND
dc.subject	EXTERNAL FINANCING
dc.subject	FINANCIAL ASSETS
dc.subject	FINANCIAL CRISES
dc.subject	FINANCIAL CRISIS
dc.subject	FINANCIAL DATA
dc.subject	FINANCIAL INFRASTRUCTURE
dc.subject	FINANCIAL INSTITUTION
dc.subject	FINANCIAL INSTITUTIONS
dc.subject	FINANCIAL INSTRUMENTS
dc.subject	FINANCIAL MARKET
dc.subject	FINANCIAL MARKETS
dc.subject	FINANCIAL PERFORMANCE
dc.subject	FINANCIAL PROJECTION
dc.subject	FINANCIAL SHOCKS
dc.subject	FINANCIAL STABILITY
dc.subject	FINANCIAL STATEMENTS
dc.subject	FINANCIAL SYSTEM
dc.subject	FINANCIAL SYSTEMS
dc.subject	FINANCIAL VARIABLES
dc.subject	FOREIGN CURRENCY
dc.subject	FOREIGN FUNDS
dc.subject	FRAUDS
dc.subject	GOVERNMENT BONDS
dc.subject	HIGH-INCOME COUNTRIES
dc.subject	HOLDING
dc.subject	HOLDINGS
dc.subject	IMPAIRED ASSETS
dc.subject	INCOME STATEMENTS
dc.subject	INDEBTEDNESS
dc.subject	INFLATION
dc.subject	INFLATION RATE
dc.subject	INTEREST INCOME
dc.subject	INTEREST RATE
dc.subject	INTEREST RATE ADJUSTMENTS
dc.subject	INTEREST RATE CHANGES
dc.subject	INTEREST RATE RISK
dc.subject	INTEREST RATES
dc.subject	INTERNATIONAL BANK
dc.subject	INTERNATIONAL BANKING
dc.subject	INTERNATIONAL FINANCIAL INSTITUTIONS
dc.subject	INVESTMENT IN DEBT SECURITIES
dc.subject	LIQUID ASSETS
dc.subject	LIQUIDITY
dc.subject	LIQUIDITY MANAGEMENT
dc.subject	LIQUIDITY POSITION
dc.subject	LIQUIDITY RATIOS
dc.subject	LIQUIDITY RISK
dc.subject	LIQUIDITY RISKS
dc.subject	LOAN
dc.subject	LOAN LOSS PROVISIONS
dc.subject	LOAN PERFORMANCE
dc.subject	LOAN PORTFOLIO
dc.subject	LOAN PORTFOLIOS
dc.subject	LOAN QUALITY
dc.subject	LOAN STOCK
dc.subject	LOSS OF CONFIDENCE
dc.subject	MACROECONOMIC CONDITIONS
dc.subject	MACROECONOMIC DATA
dc.subject	MACROECONOMIC MODEL
dc.subject	MACROECONOMIC MODELS
dc.subject	MACROECONOMIC RISKS
dc.subject	MACROECONOMIC SHOCKS
dc.subject	MACROECONOMIC VARIABLES
dc.subject	MARKET CONFIDENCE
dc.subject	MARKET DEVELOPMENTS
dc.subject	MARKET DISCIPLINE
dc.subject	MARKET LIQUIDITY
dc.subject	MARKET RISK
dc.subject	MARKET RISKS
dc.subject	MARKET SHARES
dc.subject	MATURITIES
dc.subject	MATURITY
dc.subject	MATURITY MISMATCH
dc.subject	MATURITY TRANSFORMATION
dc.subject	MICRO DATA
dc.subject	MICRO-DATA
dc.subject	MICRODATA
dc.subject	MIGRATION
dc.subject	MONETARY POLICY
dc.subject	MONEY MARKET
dc.subject	MONEY MARKET RATES
dc.subject	MORTGAGE
dc.subject	MORTGAGE LOANS
dc.subject	MORTGAGES
dc.subject	NATIONAL BANK OF SLOVAKIA
dc.subject	NET OPERATING INCOME
dc.subject	NONPERFORMING LOANS
dc.subject	NPL
dc.subject	OPERATING EXPENSES
dc.subject	OPERATIONAL RISK
dc.subject	OVERDUE LOANS
dc.subject	POLICY RESPONSES
dc.subject	PORTFOLIO
dc.subject	PORTFOLIO OF SECURITIES
dc.subject	PREPAYMENTS
dc.subject	PROBABILITY OF DEFAULT
dc.subject	PROFITABILITY
dc.subject	PROVISIONING RULES
dc.subject	RE-CAPITALIZATION
dc.subject	REAL ESTATE LOANS
dc.subject	REAL INTEREST
dc.subject	REAL INTEREST RATES
dc.subject	RECAPITALIZATION
dc.subject	REGIME SWITCHES
dc.subject	REPRICING GAPS
dc.subject	RESERVE
dc.subject	RISK ASSESSMENTS
dc.subject	RISK EXPOSURES
dc.subject	RISK FACTORS
dc.subject	RISK PREMIUM
dc.subject	SECURITIES
dc.subject	SECURITIES ISSUANCE
dc.subject	SECURITY PRICES
dc.subject	SETTLEMENT
dc.subject	SETTLEMENT SYSTEMS
dc.subject	SHAREHOLDERS
dc.subject	SHORT TERM INTEREST RATE
dc.subject	SOLVENCY
dc.subject	SUPERVISORY AUTHORITIES
dc.subject	SVERIGES RIKSBANK
dc.subject	SWAP
dc.subject	SWAPS
dc.subject	SYSTEMIC RISK
dc.subject	TECHNICAL ASSISTANCE
dc.subject	TERMS OF CREDIT
dc.subject	TREASURY
dc.subject	TURNOVERS
dc.subject	VALUATION
dc.subject	VAR MODELS
dc.subject	WITHDRAWAL
dc.subject	WRITEDOWNS
dc.subject	YIELD CURVE
dc.title	Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe : An Overview and Challenges Ahead
dc.type	Publications & Research :: Policy Research Working Paper
dc.coverage	Europe and Central Asia
dc.coverage	Europe and Central Asia