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Bank Stress-Testing Lessons from Central, Eastern and Southeastern European Countries

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  • Ventsislav Hristev

Abstract

This study examines the international experience of stress-testing. The sample covers stress-test practices of central banks from Central, Eastern and Southeastern European (CESEE) countries. The review is based on publicly available information, mainly from Financial Stability Reports (FSRs) in the period of their origination and up to June 2014. Having the benefit of diversity in "best stress-test practices", applied lessons are formulated on the main components of a supervisory macroprudential stress-test: preparation, execution, and publication. The first part of the process includes definition of stress-test coverage, selection of approach, and identification of risks. In the second, scenarios are designed and a methodology for quantifying shocks is created. Finally, the last phase comprises setting up a communication strategy and publication of stress test results.

Suggested Citation

  • Ventsislav Hristev, 2014. "Bank Stress-Testing Lessons from Central, Eastern and Southeastern European Countries," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 92-109, December.
    • Handle: RePEc:nwe:eajour:y:2014:i:4:p:92-109
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    References listed on IDEAS

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    12. Quagliariello,Mario (ed.), 2009. "Stress-testing the Banking System," Cambridge Books, Cambridge University Press, number 9780521767309, October.
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    Cited by:

    1. Zoran Wittine & Ivana Vuk, 2016. "Analysis of Stability and Exposure of Croatian Bank System to Non-Credit Risks," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 331-342, December.

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    More about this item

    Keywords

    Bank stress-testing; International application; CESEE region;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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