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

Melecky, Martin ; Podpiera, Anca Maria

关键词: ACCOUNTING;    ADVERSE SHOCKS;    ARBITRAGE;    ASSET CLASSES;    AUDITS;   

DOI  :  10.1596/1813-9450-5434
RP-ID  :  WPS5434

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Stress tests are the main practicaltools of macroprudential oversight. This paper reviews thestress-testing practices of central banks in Central andSouth Eastern Europe (CSEECBs) and outlines the challengesin the area of stress testing going forward. The authorsdiscuss good practice and the applied approaches by CSEECBsfocusing on the main components of a typical macroprudentialstress test, i.e. constructing the baseline and stressscenarios, mapping macroeconomic scenarios and microeconomicfactors to risk factors, calculating risk exposures todifferent risk indicators, and estimating outcome indicatorsto inform macroprudential policy. The main challenges forthe CSEECBs going forward involve needed improvements indata reliability, consideration of quantitativemicroprudential indicators in macroprudential stress tests,explicit incorporation of dynamics in stress tests toinclude reaction functions of banks and macroprudentialpolicy, institutionalization of macroprudential policyresponses to alarming stress-test results, use of thetop-down and bottom-up stress test results in supervisorycommunication, cooperation of macroprudential andmicroprudential supervision, and information exchange forbetter cross-border supervision of international banking groups.