stres test u funkciji procene rizika u bankarskom sektoru zemalja

originalni
naučni
rad
dr Lidija Barjaktarović
Univerzitet Singidunum Beograd
lbarjaktarovic@singidunum.ac.rs
UDK 005.334:336.71(4-12)
STRES TEST
U FUNKCIJI
PROCENE RIZIKA
U BANKARSKOM
SEKTORU ZEMALJA
JUGOISTOČNE EVROPE
Rad je deo projekta „Unapređenje konkurentnosti Srbije u procesu pristupanja
Evropskoj uniji“, br. 47028, u vremenskom trajanju od 2011-2015, finansiran
iz sredstava Ministarstva nauke i tehnološkog razvoja Republike Srbije.
Maja Dimić
mr Dejan Ječmenica
Wiener Stadtische osiguranje,
Beograd
d.jecmenica@wiener.co.rs
Rezime
Poslovni ambijent u kome bankarski sektor obavlja aktivnosti postao
je veoma dinamičan. Da bi se poslovanje efikasno obavljalo, banke donose
politiku upravljanja rizicima kao polazni akt koji treba bliže da definiše
prepoznavanje i kontrolu ukupne izloženosti banke svim vrstama rizika. Za
očuvanje finansijske stabilnosti široko je rasprostranjeno testiranje otpornosti na
stres, koje analizira mogućnosti pojedinih finansijskih isntitucija ili celokupnog
finansijskog sistema u cilju apsorbovanja različitih vrsta šokova (rizika). Kao
analitička metoda, stres test pruža kvantitativnu procenu ranjivosti bankarskog
portfolija, koja se najčešće vezuje za neočekivane, ali stvarne ekonomske
događaje i šokove. Cilj stres testova je da na univerzalan i sistematizovan način
ukaže na potencijalne probleme unutar bankarskog sistema i time omogući
državi i učesnicima na finansijskom tržištu da blagovremeno reaguju. Kolaps
američkog finansijskog tržišta negativno je uticao na globalni ekonomski i
finansijski sistem. Analiza otpornosti na stres, kao instrument za procenu
rizika dobija na važnosti u krugovima međunarodnih finansijskih institucija i
regulatornih tela sa izbijanjem svetske ekonomske krize.
Ključne reči: stres testovi, bankarski sektor, rizici u bankarskom sektoru,
jugoistočna Evropa
Rad primljen: 09.07.2013.
Odobren za štampu: 11.09.2013.
JEL: G21, G01, P34
bankarstvo 5 2013
Fakultet za menadžment,
Sremski Karlovci
paunovic@famns.edu.rs
30
UDC 005.334:336.71(4-12)
STRESS TESTING IN
THE FUNCTION OF
RISK ASSESSMENT
IN THE BANKING
SECTORS OF
SOUTHEAST EUROPE
(SEE) COUNTRIES
This paper is part of the project “Enhancing Serbia’s Competitiveness in the
Process of Joining the European Union”, no. 47028, in the period 2011-2015,
financed by the Ministry of Science and Technological Development of the
Republic of Serbia.
original
scientific
paper
Lidija Barjaktarović, PhD
Singidunum University, Belgrade
lbarjaktarovic@singidunum.ac.rs
Maja Dimić
Graduate School of Management,
Sremski Karlovci
paunovic@famns.edu.rs
Dejan Ječmenica, MSc
Wiener Stadtische Insurance,
Beograd
d.jecmenica@wiener.co.rs
bankarstvo 5 2013
Summary
31
The business environment in which banking sectors function has become
rather dynamic. In order to conduct their operations efficiently, banks adopt
a risk management policy as the basic document closely defining detection
and control of total bank’s exposure to all types of risk. A method widely
used for the purpose of preserving financial stability is testing resilience to
stress, which analyses the possibilities of individual financial institutions or the
overall financial system, in terms of absorbing various types of shocks (risks).
As an analytical method, stress test provides a quantitative assessment of a
banking portfolio’s vulnerability, mostly related to unexpected, but realistic
economic events and shocks. The objective of stress tests is to indicate, in a
universal and systematized manner, potential problems within the banking
system, thereby enabling the government and financial market participants to
respond in a timely fashion. The collapse of the US financial market has exerted
an adverse impact on the global economic and financial system. The analysis
of stress tolerance, as a risk assessment instrument, has gained importance in
the circles of international financial institutions and regulatory bodies since
the outbreak of the global economic crisis.
Keywords: stress testing, banking sector, banking sector risks, Southeast
Europe
Paper received: 09.07.2013
Approved for publishing: 11.09.2013
JEL: G21, G01, P34
Kako bismo dobili sveobuhvatan pregled
izloženosti riziku bankarskog sektora potrebno
je primeniti nekoliko tehnika merenja rizika.
Osnovne metode kontrole i merenja rizika
možemo podeliti na statičke i dinamičke. Dok
statički model merenja rizika ispituje pojave u
trenutku njihovog uočavanja i rezultate izražava
isključivo kvanitativno, dinamički model meri
izloženost riziku u budućim vremenskim
intervalima. Postoji niz metoda za merenje i
kontrolu rizika: metoda osetljivosti (Sensitivity),
metoda varijabilnosti (Volatility), gep analiza
(Gap), analiza scenarija (metoda simulacije),
prosečno vreme dospeća (Duration), metoda
vrednosti pod rizikom (Value at Risk) i stres test
analiza, kojoj će biti posvećena posebna pažnja
u ovom radu.
Testiranje otpornosti na stres ubraja se u
grupu statičkih modela merenja rizika i obuhvata
niz metodologija, od onih najjedostavnijih
(kao što je analiza osetljivosti) do onih nešto
kompeksnijih koje uključuju procene uticaja
ekonomskih šokova na poslovne rezultate
finansijskih institucija (prihod ili kapital)
(Drehmann, 2008). Pretpostavka ove metode je
da rizikom upravlja poznati statistički model
koji se zasniva na istorijskim pokazateljima
koji predstavljaju dobru osnovu za predviđanje
razvoja budućih rizika. Kao analitička metoda,
stres test pruža kvantitativnu procenu
ranjivosti bankarskog portfolija, koja se najčešće
vezuje za neočekivane, ali stvarne ekonomske
događaje i šokove. Drugim rečima, stres testovi
predstavljaju mehanizam simuliranja različitih
scenarija negativnih dešavanja na tržištu i
procenjuju sposobnost banaka da ih izdrže bez
neophodne dokapitalizacije. Ova metoda se
primenjuje u bankarskom sektoru kao alat za
upravljanje rizicima (Fender, Gibson, Mosser,
2001:1) i kao takva daje odgovore na sledeća
pitanja: Da li finansijske institucije, usled uticaja
negativnih ekonomskih faktora i šokova mogu
nesmetano da nastave sa poslovanjem? Da
li su finansijske institucije u mogućnosti da
odgovore na svoje obaveze u roku dospeća
(utvrđivanje nivoa likvidnosti i solventnosti)?
Stres test treba da uključi identifikaciju
mogućih događaja ili budućih promena
privrednih varijabli koje bi mogle nepovoljno
da utiču na kreditnu izloženost banke i njenu
procenu da podnese takve promene (Bank for
International Settlements, 2000:17). Cilj stres
testova je da na univerzalan i sistematizovan
način ukaže na potencijalne probleme unutar
finansijskog sistema i time omogući državi
i učesnicima na finansijskom tržištu da
blagovremeno reaguju. Dreman navodi tri
osnovna cilja stres testova (Drehmann, 2008:65):
1. ocenjivanje nivoa rizika i utvrđivanje
slabosti portfolija;
2. pružanje pomoći u procesu planiranja i
donošenja odluka;
3. prikazivanje jasnije slike stanja u finansijskim
institucijama.
Definicija stres testa
Sa izbijanjem svetske ekonomske krize,
stres testovi dobijaju na važnosti u krugovima
međunarodnih finansijskih institucija i
regulatornih tela. U tom smislu primena
stres testova, kao dopunskog alata u procesu
upravljanja rizikom i planiranja kapitala,
postala je rasprostranjena kako interno (ad
hoc u bankarskom sektoru), tako i na nivou
finansijskog sistema jedne države. U tom
kontekstu, stres test analiza ima važnu ulogu
prilikom (Bank for International Settlements,
2009:7):
1. pružanja unapred orijentisanih procena
rizika;
2. prevazilaženja ograničenja modela i
istorijskih podataka;
3. pružanja podrške eksternoj i internoj
komunikaciji;
4. unosa podataka za postupke planiranja
kapitala i nivoa likvidnosti;
5. pružanja informacija o otpornosti banaka
na rizik;
6. procesa planiranja smanjenja rizika kao i
postupanja u kriznim situacijama.
U hipotetički kreiranim uslovima, uz pomoć
stres testa proverava se nivo kapitala, novčanih
tokova, depozitnog, kreditnog potencijala
bankarskog sektora i definiše se potrebni nivo
likvidnosti i solventnosti finansijskih institucija
u kriznim situacijama. Analiza može da
obuhvata relativno jednostavne pretpostavke
o jednoj ili više finansijskih, strukturnih ili
ekonomskih varijabli, ali i upotrebu složenijih,
bankarstvo 5 2013
Uvod
32
bankarstvo 5 2013
Introduction
33
In order to get a comprehensive review
of a banking sector’s risk exposure, several
risk measurement techniques need to be
implemented. The main risk control and
measurement methods can be divided into
static and dynamic ones. Whereas the static
risk measurement model examines events
as they are detected, expressing its results
exclusively in quantitative terms, the dynamic
model measures risk exposure in the future
time intervals. There is a series of methods
for risk measurement and control, such as:
sensitivity analysis, volatility analysis, gap
analysis, scenario analysis (simulation method),
average maturity (duration) analysis, value at
risk (VaR), and stress test analysis, which we
will focus on in this paper.
Testing stress tolerance falls into the
category of static risk measurement models,
and includes a series of methodologies, ranging
from the simplest ones (such as sensitivity
analysis) to those more complex ones, involving
the assessments of economic shocks’ impact on
the business results of financial institutions
(earnings or capital) (Drehmann, 2008). This
method is based on the assumption that risk is
managed by a familiar statistical model based
on historical indicators, as a sound basis for
anticipating the future risks’ development.
As an analytical method, stress test provides
a quantitative assessment of a banking
portfolio’s vulnerability, mostly related to
unexpected, but realistic economic events and
shocks. In other words, stress tests represent a
mechanism of simulating various scenarios of
negative market events, thereby assessing the
capability of banks to survive without requiring
additional capitalization. This method is used
in the banking sector as a risk management tool
(Fender, Gibson, Mosser, 2011: 1), and, as such,
provides the answers to the following questions:
Can financial institutions, despite the impact of
negative economic factors and shocks, continue
with their business operations unhindered? Are
financial institutions in the position to honor
their liabilities upon maturity (determining the
levels of liquidity and solvency)?
Stress test should include identifying
potential events or future changes in economic
variables that might adversely impact a bank’s
credit exposure and its assessment about
enduring these changes (Bank for International
Settlements, 2000: 17). The objective of stress tests
is to indicate, in a universal and systematized
manner, potential problems within the banking
system, thereby enabling the government and
financial market participants to respond in a
timely fashion. Drehmann (2008: 65) stipulates
three basic objectives of stress tests:
1. Assessing the risk level and detecting the
portfolio’s weaknesses;
2. Providing assistance in the process of
planning and decision-making;
3. Providing a clearer insight into the position
of financial institutions.
Stress Test Definition
Since the outbreak of the global economic
crisis, stress tests have gained importance in the
circles of international financial institutions and
regulatory bodies. To this end, the implementation
of stress tests, as supplementary tools in the
process of risk management and capital planning,
has become widespread both internally (ad hoc in
the banking sector) and at the level of a country’s
financial system. In this context, stress test analysis
plays an important role in (Bank for International
Settlements, 2009: 7):
1. Providing future-looking assessments of
risk;
2. Overcoming limitations of models and
historical data;
3. Supporting
internal
and
external
communication;
4. Feeding into capital and liquidity planning
procedures;
5. Providing information about a bank’s risk
tolerance;
6. Facilitating risk mitigation and contingency
plans.
Under hypothetically generated conditions,
stress tests help check the levels of capital,
cash flows, deposit and credit potential of
the banking sector, at the same time defining
the required liquidity and solvency levels for
financial institutions in emergency situations.
The analysis can include relative simple
assumptions about one or several financial,
structural or economic variables, but it can
sistema (Jones, Hilbers, Slack, 2004:5).
Testiranje otpornosti na stres upozorava top
menadžment na negativne, neočekivane ishode
prouzrokovane grupom rizika. Test otpornosti
na stres je dobar metod za određivanje rizičnog
okvira i jednostavna metoda izračunavanja
potencijalnog izlaganja ekstremnom gubitku
budući da top menadžmentu poslovnih banaka
pruža pomoć:
• pri donošenju odluka u kriznim situacijama;
• u procesu upravljanja rizikom;
• u proceni visine kapitala koja bi bila
potrebna da apsorbuje gubitke u slučaju
velikih ekonomskih šokova.
Cilj je postići permanentna poboljšanja
u poslovanju, koja rezultiraju odličnim
finansijskim i nefinansijskim rezultatima
i unapređenim performansama banke
(Barjaktarović, Ječmenica, 2011:30).
Mikro i makro stres testovi
Testovi na stres ispituju da li bankarske
institucije kao nosioci finansijskog sistema
mogu da se izbore sa neželjenim događajima
(šokovima). Predviđeno je da se okvir
za finansijsku superviziju zasniva na
dva glavna elementa (Marković, Furtula,
2011:90): mikroprudenciona supervizija i
makroprudenciona supervizija.
Prvi scenario, mikro nivo, treba da identifikuje
situaciju koja se javlja kada se banka suočava
sa stvarnim ili potencijalnim problemima u
poslovanju. Ti problemi mogu biti direktno
povezani sa kvalitetom aktive, operativnim
problemima, nivoom solventnosti i slično. Sa
druge strane, makro stres testovi pretpostavljaju
da je ugrožena sigurnost velikog broja
finansijskih institucija, koje mogu biti izložene
riziku u slučaju nastupanja neočekivanih i
negativnih ekonomskih događaja. Osnovni cilj
makro analize je pružanje pomoći supervizorima
u procesu utvrđivanja ranjivosti finansijskog
sektora. Okvir na makro stres testiranje može se
opisati na sledeći način (Sorge, 2004:5):
1. vrši se izbor finansijske institucije koja se
analizira i definiše se opseg analize;
2. projektuje se scenario makro stres testa:
scenario se povezuje sa makroekonomskim
pokazateljima kao što su bruto domaći
proizvod, kamatne stope, nivo inflacija i slično;
bankarstvo 5 2013
visoko sofisticiranih finansijskih modela. Proces
merenja izloženosti riziku sastoji se od sledećih
koraka:
1. odabir varijabli i utvrđivanje vremenskog intervala
- U procesu implementacije stres testa
posebnu pažnju treba posvetiti definisanju
varijabli (naročito tržišnih) koje će biti
analizirane. Pored kamatne stope, najčešće
testirane varijable su berzanski indeks,
devizni kurs i vrednost nekretnina. Stres
testovi se mogu sprovoditi na mesečnom
nivou, kvartalno, polugodišnje ili jednom u
godinu dana.
2. definisanje ekonomskog šoka - Nepravilno
definisani ekonomski šokovi i njihova jačina
delovanja mogu dovesti do besmislenih
i neadekvatnih rezultata. Imajući u vidu
da stres test otkriva slabosti u ekstremnim
uslovima, jačina definisanog šoka trebalo bi
da bude slična kao u realnim uslovima.
3. testiranje postavljenog modela - Stres testovi
predstavljaju signalizator kriznih kretanja
u finansijskim institucijama i korisni su u
procesu utvrđivanja limita unutar kojih se
definisani tržišni parametri mogu kretati.
Ukoliko se zadati limiti, "probiju" potrebno
je imati razrađene planove delovanja kako bi
se sprečili negativni efekti i gubici.
Stres testovi predstavljaju jednu od
najaktuelnijih preventivnih tehnika kojima se
definiše nivo osetljivosti banaka na promenu
makroekonomskih faktora. Ova metoda pruža
korisne informacije o finansijskoj stabilnosti
bankarskog sektora i procenjuju da li će
poslovne banke moći da se izbore sa vanrednim
turbulencijama u privredi koje su rezultat
neočekivanih oscilacija makroekonomskih faktora
(Blaschke i saradnici, 2001:56). Pored toga, testove
otpornosti na stres možemo definisati kao tehniku
kojom su finansijske institucije u mogućnosti da
izmere potencijalnu izloženost negativnim ali
mogućim događajima (Bank for International
Settlements, 2000:6). Ovakvi događaji nisu česti,
štaviše oni se retko pojavljuju, ali ostavljaju
snažne negativne posledice kako na mikro tako
i na makroekonomski sistem i privredu.
Test na stres je tehnika koju koriste
menadžeri koji upravljanju rizicima u bankama,
ali i supervizori finansijskog sektora kako bi
utvrdili stepen ranjivosti (osetljivosti) kako
bankarskog tako i celokupnog finansijskog
34
bankarstvo 5 2013
35
also resort to using more complex, highly
sophisticated financial models. The process
of risk exposure measurement implies the
following steps:
1. Selecting variables and defining the time interval
- In the process of stress test implementation
particular attention has to be paid to
defining variables (especially the market
ones) to be analyzed. In addition to interest
rate, most frequently analyzed variables
are stock exchange index, foreign exchange
rate and real estate value. Stress tests can
be conducted on a monthly, quarterly,
semiannual or annual basis.
2. Defining the economic shock - Incorrectly
defined economic shocks and the power
of their impact can lead to absurd and
inadequate results. Bearing in mind that
a stress test detects the weaknesses under
extreme conditions, the impact of the
defined shock should be similar to the one
under real conditions.
3. Testing the established model - Stress tests
signalize the critical movements in financial
institutions and are useful in the process of
defining limits within which the defined
market parameters may oscillate. If the predefined limits are exceeded, it is necessary to
have worked-out plans of action, in order to
prevent negative effects and losses.
Stress tests are one of the most current,
preventive techniques defining the banks’
sensitivity to changes in macroeconomic factors.
This method provides useful information on
the banking sector’s financial stability, and
assesses whether commercial banks will be able
to face emergency turbulences in the economy,
resulting from unexpected oscillations of
macroeconomic factors (Blaschke, et al, 2001:
56). Moreover, stress testing can be defined as
a technique enabling all financial institutions to
measure their potential exposure to negative,
yet possible events (Bank for International
Settlements, 2000: 6). Such events are not
frequent - as a matter of fact, they seldom occur,
but they have dire consequences, both for the
microeconomic system, and the macroeconomic
system and the economy.
Stress testing is a technique used by risk
managers in banks, but also by financial sector
supervisors trying to determine the level of
vulnerability (sensitivity) of the banking system
and the overall financial system (Jones, Hilbers,
Slack, 2004: 5). Testing resilience to stress
warns top management against the negative,
unexpected outcomes caused by a group of
risks. Stress test is a sound method for defining
the risk framework, and a simple way to
calculate potential exposure to extreme losses,
given that it provides assistance to commercial
banks’ top management:
• In emergency decision-making;
• In the risk management process;
• In the assessment of capital required to
absorb losses due to the large economic
shocks.
The goal is to achieve permanent
improvements in business, leading to excellent
financial and non-financial results and
enhanced bank’s performance (Barjaktarović,
Ječmenica, 2011: 30).
Micro and Macro Stress Tests
Stress tests examine whether banking
institutions, as the pillars of the financial system,
are able to survive undesired events (shocks).
The financial supervision framework is based
on two main elements (Marković, Furtula, 2011:
90) - micro-prudential supervision and macroprudential supervision.
The first scenario, i.e. micro-level, should
identify a situation which occurs when the
bank is facing actual or potential problems
in its business operations. These problems
may be directly linked to the quality of assets,
operational issues, solvency level, etc. On the
other hand, macro stress tests assume that the
safety of a large number of financial institutions
has been jeopardized, so that they might be
exposed to risk in case of unexpected and
negative economic events. The main goal of a
macro analysis is to provide assistance to the
supervisors in the process of determining the
financial sector’s vulnerability. Macro stress
testing framework can be described in the
following way (Sorge, 2004: 5):
1. Choosing the financial institution to be
analyzed and defining the scope of the
analysis;
2. Projecting the macro stress testing scenario:
the scenario is linked to macroeconomic
3. kvantitativno se određuje direktni efekat
simuliranog scenarija na bilans stanja
finansijskog sektora tako što se projektuje
uticaj stresa na finansijske indikatore
(Financial Soundness Indicators - FSI);
4. dobijeni rezultati se tumače radi utvrđivanja
nivoa rizika koji finansijski sistem može da
podnese;
5. efekat povratne informacije (na mikro nivou
- unutar finansijskog sistema ili na makro
nivou - na nivou finansijskog sistema).
Metodologija i koraci u procesu
primene stres testova
Banka za Međunarodno poravnanje (Bank
for International Settlements, 2009) utvrđuje
korake u procesu testiranja na stres, koji mogu
biti prikazani na sledeći način:
• definisanje vrste: testovi osetljivosti ili
scenario testovi
• utvrđivanje modela: deterministički ili
stohastički
• definisanje podataka i parametara: istorijski
ili hipotetički
• utvrđivanje vremenskog intervala analize:
kratkoročna ili digoročna
Slika 1: Okvir za makro stres testiranje
Izvor: Sorge M. 2004, Stress testing financial system: an overview of current
methodologies, BIS working paper No. 165, str. 2
Izvor: BIS, Basel Committee, 2009, Principles for sound stress testing practices and
supervision
bankarstvo 5 2013
Slika 2: Koraci u sprovođenju stres testova
36
Methodology and Steps in the
Performance of Stress Testing
indicators like GDP, interest rates, inflation,
etc.;
3. Quantitatively determining the direct effect
of the simulated scenario on the financial
sector’s balance sheet, by projecting the
impact of stress on Financial Soundness
Indicators - FSI;
4. Interpreting the received results in order to
determine the level of risk that the financial
system can take;
5. Feedback effect (at the micro level - within
the financial system, or at the macro level - at
the financial system level).
Bank for International Settlements
(2009) stipulates the steps to be taken in the
performance of stress testing, which can be
presented in the following way:
• Defining the type: sensitivity tests or
scenario tests;
• Choosing the model: deterministic or
stochastic;
• Defining the data and parameters:
historically-based or hypothetical;
• Choosing the analysis time interval: shortterm or long-term.
Figure 1: Macro stress testing framework
Defining the
scope of the
analysis
Projecting the
macro stress
testing scenario
Assessment
of risk
sensitivity
Assessment of
risk tolerance
Market
and
credit risk
analysis
Feedback information
Source: Sorge M., 2004, Stress testing financial system: an overview of current
methodologies, BIS working paper no. 165, pp. 2
Figure 2: Steps in stress tests implementation
Stress testing
Types
Sensitivity testing
Scenario testing
Models
Deterministic
Stochastic
Data and indicators
bankarstvo 5 2013
Historical
37
Hypothetical
Projection
Long-term
Short-term
Source: BIS, Basel Committee, 2009, Principles for sound stress testing practices
and supervision
Godina
Događaj
ali u isto vreme povećava rizik
1973
Prva naftna kriza - OPEC povećao cenu sirove nafte
likvidnosti i kreditni rizik.
1979
Druga naftna kriza
Testovi osetljivosti kao
1987
Crni ponedeljak - slom američke berze
i scenario testovi predmet
1991
Zalivski rat - rast cene sirove nafte
su analize matematičkih
1992
Kriza evropskog monetarnog sistema
modela: determinističkog i
1995
Tekila kriza - deficit tekućeg računa Meksika
stohastičkog (O’Brien, 2009:5).
1997
Kriza u istočnoj Aziji
Ruska kriza i propast hedž fonda LTCM
Deterministički modeli su
1998
(Long Term Capital Management)
modeli čije se ponašanje može
2001
11. IX - teroristički napad na Sjedinjene Američke Države
predvideti, u kojima je nivo
2007-2008 Hipotekarna kriza u Sjedinjenim Američkim Državama
stanja sistema u potpunosti
Izvor: Matz L., Neu P., 2007, Liquidity risk management, Wiley finance, str. 39
određen prethodnim stanjem.
Kod determinističkog pristupa,
mogući scenariji kretanja ekonomskih varijabli
Pored istorijskog pristupa moguće je
su određeni i kontrolisani od strane korisnika
koristiti i hipotetički scenario, koji se zasniva
modela. Rezultati ovakvih modela isključivo
na događajima koji se još uvek nisu desili u
stvarnosti. Ovakav pristup, iako fleksibilniji,
zavise od kvaliteta korišćenih scenarija. Drugim
rečima, ako se stvarne varijable modela razlikuju
zbog veze koja postoji između faktora koji se
od pretpostavki, realna izloženost banke riziku
u stvarnosti nisu dogodili, otežava utvrđivanje
biće različita od merenog rizika. Sa druge
verovatnoće izloženosti rizicima bankarskog
strane, kod stohastičkih modela se ponašanje
sektora.
Prilikom analize stres testova treba u obzir
varijabli ne može unapred predvideti, ali se
mogu odrediti verovatnoće promene stanja. Za
uzeti vremenski horizont koji se posmatra.
stohastičke modele je karakteristično slučajno
Za dobijanje pouzdanih rezultata potrebno je
ponašanje, odnosno postojanje slučajnih
izvršiti testiranja stresa kako kratkoročno (do
promenljivih u sistemu. Najčešće korišćena
godinu dana), tako i dugoročno (od godinu do
metoda stohastičkog modela je Monte Karlo
pet godina).
metoda, koja pokriva širok spektar mogućih
vrednosti finansijskih promenljivih, pri čemu
se u potpunosti uzimaju u obzir njihove
međusobne korelacije (Cvetinović, 2008:77).
bankarstvo 5 2013
Stres testiranje se može sprovoditi putem
Nakon definisanja vrste stres testova i
analize osetljivosti i scenario (simulacione)
odabira metodologije sledi utvrđivanje podatka
analize (Bank for International Settlements, 2009,
i pokazatelja koji će biti analizirani. Razlikujemo
7). Analizom osetljivosti moguće je tumačiti
dva pristupa: istorijski i hipotetički. Istorijski
pojedinačne parametre stresa, odnosno ulazne
scenariji često su se sprovodili na osnovu
značajnog tržišnog događaja iz prošlosti.
podatke koji nisu povezani sa događajima i
posledicama u stvarnom svetu. Glavna prednost
Prema ovom pristupu određeni događaji desili
testova osetljivosti je mogućnost brze procene
su se u prošlosti i postoji verovatnoća da će
osetljivosti porfolija na određene faktore rizika
se u budućnosti ponoviti. Istorijski pristup
(prepoznaje se određena koncentracija rizika),
vremenom može postati manje relevantan, jer
dok je osnovni nedostatak ovog scenarija to što
događaje posmatra istorijski i ne uzima u obzir
razvoj finansijskih tržišta, pa testovi otpornosti
ne analizira više faktora rizika u isto vreme.
Scenario ili simulaciona analiza uključuje
na stres nisu mogli obuhvatiti rizike novih
proizvoda koji su se pojavili sa nastankom
istovremenu analizu više parametara rizika u
definisanim vanrednim (stresnim) okolnostima.
krize (Blaschke i saradnici, 2001:35). U tabeli je
prikazana lista događaja koja se često koristi u
Ova analiza je kompleksnija od prethodne, jer
istorijskoj analizi stres testova.
u obzir uzima inverznu korelaciju između
analiziranih rizika. Primera
Tabela 1: Lista događaja koja se koristi u istorijskoj analizi stres
radi, kreditna aktivnost banaka
testova
povećava profitabilnost banke,
38
bankarstvo 5 2013
39
Stress testing can be performed by means of
variables, with their mutual correlations being
fully taken into account (Cvetinović, 2008: 77).
sensitivity analysis and scenario (simulation)
After defining the type of stress testing and
analysis (Bank for International Settlements,
after choosing the methodology, what follows
2009: 7). By conducting sensitivity analysis
it is possible to interpret individual stress
is the selection of data and indicators to be
parameters, i.e. entry data that are not related to
analyzed. There are two different approaches:
real-world events and consequences. The major
historically-based and hypothetical approach.
advantage of sensitivity tests is the possibility
Historical scenarios are often conducted based
to assess more quickly the portfolio’s sensitivity
on a significant market event from the past.
According to this approach, certain events
to certain risk factors (a certain concentration of
risk is detected), whereas the main drawback of
occurred in the past and it is likely that they
such a scenario is that it does not simultaneously
might happen again in the future. Historicallybased approach may become less relevant over
analyze several factors. Scenario or simulation
analysis implies a simultaneous analysis of
time, given that it regards events in historical
several risk parameters under the defined
terms without taking into account financial
contingency (stressful) circumstances. This
markets development. Hence, stress tests have
analysis is more complex than the previous
been unable to detect the risks of new products
one, given that it takes into account the inversed
which have occurred with the outbreak of
correlation among the analyzed risks. For
the crisis (Blaschke, et al, 2001: 35). The table
instance, credit activity of banks increases their
below contains a list of events which have been
frequently used in the historically-based stress
profitability, but at the same time increases their
test analyses.
liquidity and credit risk.
Both
sensitivity
and
Table 1: List of events used in the historical stress test analysis
scenario tests are subject to
mathematical analysis: in the
Year
Event
form of deterministic and
1973
The first oil crisis - OPEC increased the crude oil prices
stochastic models (O’Brien,
1979
The second oil crisis
1987
Black Monday - Collapse of the US stock market
2009: 5). Deterministic models
1991
The Gulf War - growth of the crude oil prices
are those whose behavior can
1992
The crisis of the European monetary system
be anticipated, and within
1995
Tequila crisis - Deficit of Mexico’s current account
which the state of a system is
1997
The crisis in East Asia
fully determined by its previous
The Russian crisis and the collapse of the long-term
1998
state. In a deterministic model,
capital management (LTCM) hedge fund
2001
9/11 - the terrorist attack at the US
possible scenarios of economic
2007-2008
The subprime crisis in the US
variables’ movements are fully
Source: Matz L., Neu P., 2007, Liquidity Risk Management, Wiley Finance, pp. 39
determined and controlled by
the model user. The results
of such models exclusively
depend on the quality of the used scenarios. In
In addition to the historically-based
other words, if the real-world variables of the
approach, it is possible to use a hypothetical
model differ from the assumptions, the bank’s
scenario as well, based on the events that
real exposure to risk will be different from the
still have not taken place in reality. Although
measured risk. On the other hand, in stochastic
more flexible, this approach, due to the
models, the behavior of the variables cannot be
existing connection among the factors that
anticipated in advance, but the likelihood of
have not occurred in the real world, makes it
their changes can be determined. Stochastic
more difficult to determine the probability of
models are characterized by random behavior,
exposure to the banking sector risks.
i.e. the existence of accidental variables in the
What also has to be taken into account when
system. The most frequently used stochastic
conducting a stress test analysis is the observed
model is Monte Carlo analysis, which covers
time horizon. To obtain reliable results, one has
a wide range of potential values of financial
to conduct stress testing both in the short term
Pre nastupanja svetske ekonomske krize i
izbijanja recesije finansijski sistem jugoistočne
Evrope se ubrzano razvijao, uvedene su
savremene regulative i uspostavljene nove
finansijske institucije koje su doprinele
održavanju makroekonomske stabilnosti
regiona. U poređenju sa privrednim sistemom
Evropske unije, finansijsko tržište regiona je
nedovoljno razvijeno, visoko rizično, nestabilno
i plitko. Svetska ekonomska kriza se preko
finansijskih institucija (na prvom mestu
banaka) koje su bile prisutne na američkom
finansijskom tržištu prelila u Evropu. U
uslovima svetske ekonomske krize bankarski
sektor kao deo finansijskog sistema, zbog svog
smisla postojanja i prirode poslovanja, trebalo
bi da amortizuje negativne faktore krize i
pokrene ekonomski razvoj jedne zemlje. Budući
da je bankarski sektor (prvenstveno hipotekarni
krediti i investiciono bankarstvo) bio inicijator
i uzročnik nastanka recesije, ne čudi što je
upravo ovaj segment finansijskog tržišta najviše
bio pogođen negativnim efektima krize. Redom
su bankrotirale nemačke, francuske, italijanske,
britanske i banke drugih zemalja Evrope
(Bošnjak, 2008) koje su prisutne u regionu.
U uslovima finansijske krize bankarski sektor
je izložen negativnim efektima i pritiscima koji
mogu da dovedu do smanjenja nivoa kvaliteta
imovine i kapitala banaka. Prvi vidljivi znaci
krize u jugoistočnoj Evropi su uočeni u vidu
pada likvidnosti i otežanih reformi finansijskih
institucija. U prvom talasu krize u regionu su
zabeleženi blagi oblici bankarske panike, koji
su se manifestovali kroz povlačenje depozita
i zaoštravanje uslova kreditiranja. Pored toga,
na usporavanje privredne aktivnosti uticalo je i
usporavanje kreditne aktivnosti banaka prema
privredi i stanovništvu, povećanje troškova
stranog finansiranja, jačanje pritiska na devizni
kurs i povećanje kreditnog rizika (Bošnjak,
2008:14). Nedostatak kapitala je poskupeo
finansijska sredstva, koja su već bila limitirana
i time znatno usporio proizvodnju i ekonomski
rast.
Bankarski sistemi zemalja jugoistočne
Evrope imaju najmanje dva zajednička
obeležja. Prvo, ulaskom stranih bankarskih
grupacija u region povećana je ponuda kredita,
ojačana tržišna konkurencija i ubrzan rast
ponude kredita. Zapadnoevropske bankarske
grupacije su u poslednjih desetak godina u
regionu doživele ekspanziju što potvrđuje
pokazatelj veličina bankarske aktive koja se
nalazi u vlasništvu stranih banaka u odnosu
na ukupnu aktivu bankarskog sektora. U
prilog ovoj tvrdnji ide činjenica da je oko 70%
bankarskog tržišta jugoistočne Evrope pod
kontrolom stranih bankarskih grupacija, najviše
grčkih i italijanskih. Primera radi, učešće strane
aktive u bankarskom sektoru u Albaniji, Bosni i
Hercegovini i Hrvatskoj na kraju 2008. godine
dostiglo je nivo od 75%, dok je u Makedoniji
zabeležen udeo od 90% (Bartlett, Prica, 2011:13).
Sa početkom svetske ekonomske krize i
recesijom primećeno je smanjenje finansijske
aktivnosti
zapadnoevropskih
kreditnih
institucija u regionu. Ovaj trend je do danas
nastavljen, što je i razumljivo, budući da je
broj atraktivnih banaka koje su bile pogodne
za preuzimanje smanjen, da je ekonomski rast
regiona usporen i da je u finansijskom sektoru
prisutan deficit likvidnih sredstava.
Druga zajednička karakteristika bankarskih
sektora jugoistočne Evrope je snažan pad
kreditnih priliva (u uslovima visoke zavisnosti
od inostranog kapitala), koji izaziva kontrakciju
domaće potrošnje i oštro prilagođavanje
tekućeg bilansa plaćanja (Živković, 2011:62).
Smanjenje kreditnog potencijala primećeno je u
2009. godini u Bosni i Hercegovini, Makedoniji,
Hrvatskoj i Rumuniji. U Srbiji je kreditni rast
stagnirao na nivou od 10%, što je znatno niže u
poređenju sa periodom pre krize.
Skorašnja finansijska kriza je prouzrokovala
zabrinutost u krugovima finansijskih institucija
i banaka i nametnula promene u upravljanju
rizicima. Postalo je neophodno razviti nove
i promeniti postojeće modele upravljanja
rizicima i definisati naprednije koji pružaju rano
dijagnostikovanje i upozoravaju na moguće
bankrotstvo bankarskog sektora. Jedan od alata
koji šalje prve upozoravajuće signale i procenjuje
nivo ekonomske otpornosti na postojeće rizike
je stres test. U tabeli 2 je dat prikaz odabranih
zemalja jugoistočne Evrope, tačnije vremenskog
perioda kada su centralne banke ovih zemalja
počele sa primenom ove analize. Analiza stres
testova bankarskog sektora može se raditi
bankarstvo 5 2013
Rezultati stres testova bankarskog
sistema zemalja jugoistočne Evrope
40
(up to one year) and in the long term (from one
to five years).
bankarstvo 5 2013
Stress Test Results of the Banking
Sectors of Southeast Europe
Countries
41
Before the outbreak of the global economic
crisis and the subsequent recession, the financial
system of Southeastern Europe was undergoing
accelerated growth, accompanied by newlyintroduced modern regulations and newlyestablished financial institutions, contributing
to the maintenance of macroeconomic stability
in the region. Compared to the economic system
of the European Union, the financial market of
this region was underdeveloped, highly risky,
unstable and shallow. The global economic
crisis, through the financial institutions
(banks, in the first place) present in the US
financial market, spilled over into Europe. In
the conditions of the global economic crisis, the
banking sector, as part of the financial system,
due to the essence of its existence and the nature
of its business, should have amortized the
negative factors of the crisis, thereby launching
the country’s economic development. Given
that the banking sector (first and foremost,
subprime mortgages and investment banking)
was actually the initiator and driver of the
recession, it does not come as a surprise that
this segment of the financial market was most
severely affected by the negative effects of
the crisis. One after another, the banks from
Germany, France, Italy, Great Britain and other
European countries, which were operating in
the region, went bankrupt (Bošnjak, 2008).
During a financial crisis, a banking sector is
exposed to negative effects and pressures which
may lead to the reduced quality of banks’ assets
and capital. The first visible signs of the crisis
in Southeast Europe were observed in a drop
of liquidity and aggravated reforms of financial
institutions. In the first wave of the crisis that
hit the region, slight forms of bank panic
were recorded, manifested in a withdrawal
of deposits and stricter borrowing conditions.
Moreover, what further impacted the slowing
down of economic activity was the decreased
lending of banks towards their corporate
and retail clients, increased costs of foreign
financing, stronger pressures on the FX rate,
and higher credit risk (Bošnjak, 2008: 14). The
lack of capital increased the costs of financial
funds, which had already been limited, thereby
considerably slowing down the production and
economic growth.
Banking systems of the SEE countries have at
least two common characteristics. First of all, the
entrance of foreign bank groups into the region
diversified the offer of loans, strengthened the
market competition and accelerated the growth
of loans. In the past ten years, bank groups from
Western Europe have undergone an expansion
in the region, as confirmed by the size of bank
assets owned by foreign banks, compared to
total assets of the banking sector. Additionally
supporting this statement is the fact that about
70% of the SEE banking market is under the
control of foreign bank groups, mostly those
from Greece and Italy. For instance, the share of
foreign assets in the banking sectors of Albania,
Bosnia and Herzegovina and Croatia, at the end
of 2008 amounted to 75%, whereas the share
recorded in Macedonia reached 90% (Bartlett,
Prica, 2011: 13). With the outbreak of the global
economic crisis and the subsequent recession, it
has been observed that the financial activity of
West European credit institutions in the region
decreased. This trend has continued until the
present day, which is only understandable, given
a smaller number of attractive banks suitable for
acquisition, the slumbering economic growth in
the region, and the liquid funds’ deficit in the
financial sector.
The second common characteristic of the
banking sectors in Southeast Europe is a
significant drop of credit inflows (in the times
of high dependence on foreign capital), causing
the contraction of domestic consumption and
sharp adjustments of the current balance of
payments (Živković, 2011: 62). The reduction
in credit potential was observed in 2009 in
Bosnia and Herzegovina, Macedonia, Croatia
and Romania. In Serbia credit growth stagnated
at the level of 10%, which is considerably lower
compared to the pre-crisis period.
The recent financial crisis has caused a lot
of concern among financial institutions and
banks, having imposed certain changes in risk
management. It has become necessary to develop
new and amend the existing risk management
mesečno, kvartalno, polugodišnje ili godišnje.
Frekventnost analize razlikuje se od zemlje do
zemlje: kvartalne analize sprovode se u Bosni
i Hercegovini, Bugarskoj, Makedoniji i Crnoj
Gori, a polugodišnje u Hrvatskoj, Mađarskoj
i Rumuniji (World Bank, 2010). Kao što se
može primetiti, Srbija je najkasnije počela da
primenjuje stres test analizu u bankarskom
sektoru. Prve analize otpornosti na stres u
bankarskom sektoru su izvršene u Mađarskoj
i Bugarskoj.
Regulatori Evropske unije saopštili su da
je ranjivost banaka u jugoistočnoj Evropi u
padu od juna 2011. godine i da su bankarski
sistemi regiona ostali relativno likvidni i
profitabilni. Ovo potvrđuju rezultati stres testa
koji bankarski sistem regiona karakterišu kao
stabilan, jer u slučaju pogoršanja ekonomskih
uslova ovom finansijskom sektoru ne preti
kolaps. Pre nego što je svetska ekonomska
kriza pogodila region jugoistočne Evrope,
nivo problematičnih kredita (non-performing
loans - NPL) kod posmatranih zemalja nije
prelazio 5,5% (sa izuzetkom Makedonije).
Kada je 2009. godine kriza eskalirala došlo je
Država
Srbija
Bugarska
BIH
Hrvatska
Makedonija
Rumunija
Mađarska
Crna Gora
Godina
2007
2002
2005
2004
2003
2003
2000
2006
Izvor: WB, Macroprudential stresstesting practices of central banks in
Central and South Eastern Europe,
septembar. 2010, str. 4
Tabela 3: Učešće kredita u docnji u ukupnim kreditima u
zemljama jugoistočne Evrope
Srbija
BIH
Hrvatska
Makedonija
Crna Gora
Mađarska
Rumunija
2005
2006
2007
2008
2009
2010
2011
n. a
5,3
6,2
15,0
5,3
n. a
n. a
n. a
4,0
5,2
11,2
2,9
n. a
n. a
11,3
3,0
4,8
7,5
3,2
2,3
1,7
11,3
3,1
4,9
6,7
7,2
3,0
2,8
15,7
5,9
7,8
8,9
13,5
5,9
7,9
16,9
11,4
11,2
9,0
21,0
7,8
11,9
18,8
11,8
12,4
n. a
n. a
16,1
14,1
Izvor: Cocozza E. i saradnici, 2011, The impact of the global crisis in Southeastern
Europe, str. 54; Raiffeisen research, 2012, CEE banking sector report
Tabela 4: Pokazatelj adekvatnosti kapitala (učešće u
rizičnoj aktivi, u %) bankarskog sektora jugoistočne
Evrope
Srbija
BIH
Hrvatska
Makedonija
Crna Gora
Mađarska
Rumunija
2005
2006
2007
2008
2009
2010
2011
26,0
17,8
15,2
21,3
27,9
n. a
n. a
24,7
17,7
14,4
18,3
21,3
n. a
n. a
27,9
17,1
16,9
17,0
17,1
10,0
13,8
21,9
16,3
15,4
16,2
15,0
11,1
13,8
21,3
16,1
16,6
16,4
15,8
13,1
14,7
19,9
18,8
18,8
16,1
15,9
13,3
15,0
19,7
19,2
19,2
16,8
n. a
13,5
14,5
Izvor: Cocozza E. i saradnici, 2011, The impact of the global crisis in Southeastern
Europe, str. 54; Raiffeisen research, 2012, CEE banking sector report
bankarstvo 5 2013
Tabela 2: Početak primene
stres testova u zemljama
jugoistočne Evrope
do povećanja problematičnih kredita (tabela 3).
Najviše učešće kredita u docnji u 2010. godini
zabeleženo je u Crnoj Gori, Srbiji i Rumuniji
(21%, 16,9% i 11,9% respektivno). Učešće
problematičnih kredita u ukupnim kreditima
u bankarskim sektorima u regionu nastavilo je
sa rastom i u 2011. godini što i ne čudi imajući
u vidu drugi talas ekonomske krize, iniciran
krizom javnog duga, koja trenutno potresa neke
od zemalja članica Evropske unije i preti novim
ekonomskim šokovima u regionu.
Pre nastanka svetske ekonomske krize
i prelivanja negativnih efekata na region
jugoistočne Evrope, nivo kapitalne adekvatnosti
kod većine zemalja regiona bio je iznad 15%
(tabela 4). Sa izbijanjem krize, bankarski sektor
u regionu uspeva da ostane likvidan i beleži
zadovoljavajući nivo kapitalne adekvatnosti
(oko 15%). Stopa adekvatnosti u Rumuniji i
Mađarskoj je nešto niža, ali je još uvek veća
od minimalne dopuštene. Najbolju kapitalnu
adekvatnost u uslovima krize održali su
domicilni bankarski sektor, Bosna i Hercegovina
i Hrvatska.
42
models, at the same time defining some more
advanced ones, providing early detection and
warning against a potential bankruptcy of the
banking sector. One of the early warning tools,
assessing the economic resilience to the existing
risks, is stress testing. Table 2 below presents
a list of selected SEE countries and the year in
which the central banks of these countries started
to implement this analysis. Stress test analysis of
a banking sector can be performed on a monthly,
quarterly, semiannual or annual basis. The
frequency of this analysis varies depending on
the country: quarterly analyses are performed in
Bosnia and Herzegovina, Bulgaria, Macedonia
and Montenegro, whereas Croatia, Hungary and
Romania perform these analyses semiannually
(World Bank, 2010). As can be observed, Serbia
was the last one to start implementing stress test
analysis in its banking sector. The first stress test
analyses were performed in the banking sectors
of Hungary and Bulgaria.
The European Union regulators announced
that the vulnerability of banks in Southeast
Europe had been decreasing since June 2011, and
that the banking systems in this region remained
relatively liquid and profitable. This was
confirmed by stress testing results, characterizing
the banking system of the region as stable, given
that in case of deteriorating economic conditions
Table 2: Commencement
of stress testing in SEE
countries
Country
Serbia
Bulgaria
BAH
Croatia
Macedonia
Romania
Hungary
Montenegro
Year
2007
2002
2005
2004
2003
2003
2000
2006
bankarstvo 5 2013
Source: WB, Macroprudential stresstesting practices of central banks in
Central and South Eastern Europe,
September 2010, pp. 4
43
this financial sector would not be facing a
collapse. Before the global economic crisis had
hit the region of Southeast Europe, the level of
non-performing loans (NPLs) in the observed
countries did not exceed 5.5% (with the exception
of Macedonia). In 2009, when the crisis escalated,
the non-performing loans increased (Table 3). The
largest share of loans in total default in 2010 was
recorded in Montenegro, Serbia and Romania
(21%, 16.9%, and 11.9%, respectively). The share of
non-performing loans in total loans in the banking
sectors in the region continued its upward trend
in 2011 as well, which is hardly surprising, given
the second wave of the economic crisis, initiated
by the public debt crisis, currently affecting some
of the European Union countries, and threatening
to cause new economic shocks in the region.
Before the global economic crisis occurred
and spilled over its negative effects onto the SEE
region, in most countries in the region capital
adequacy ratio exceeded 15% (Table 4). After the
outbreak of the crisis, the banking sector managed
to stay liquid, having recorded satisfactory capital
adequacy (about 15%). The capital adequacy ratio
was somewhat lower in Romania and Hungary,
but still higher than the regulatory minimum.
The best capital adequacy during the crisis was
recorded by the domicile banking sector, Bosnia
and Herzegovina, and Croatia.
Table 3: Share of loans in total loans default in SEE
countries
Serbia
BAH
Croatia
Macedonia
Montenegro
Hungary
Romania
2005
2006
2007
2008
2009
2010
2011
n. a
5.3
6.2
15.0
5.3
n. a
n. a
n. a
4.0
5.2
11.2
2.9
n. a
n. a
11.3
3.0
4.8
7.5
3.2
2.3
1.7
11.3
3.1
4.9
6.7
7.2
3.0
2.8
15.7
5.9
7.8
8.9
13.5
5.9
7.9
16.9
11.4
11.2
9.0
21.0
7.8
11.9
18.8
11.8
12.4
n. a
n. a
16.1
14.1
Source: Cocozza E., et al, 2011, The impact of the global crisis in Southeastern
Europe, pp. 54; Raiffeisen research, 2012, CEE Banking sector report
Table 4: Capital adequacy ratio (share in risky assets, in
%) of the banking sectors of SEE countries
Serbia
BAH
Croatia
Macedonia
Montenegro
Hungary
Romania
2005
2006
2007
2008
2009
2010
2011
26.0
17.8
15.2
21.3
27.9
n. a
n. a
24.7
17.7
14.4
18.3
21.3
n. a
n. a
27.9
17.1
16.9
17.0
17.1
10.0
13.8
21.9
16.3
15.4
16.2
15.0
11.1
13.8
21.3
16.1
16.6
16.4
15.8
13.1
14.7
19.9
18.8
18.8
16.1
15.9
13.3
15.0
19.7
19.2
19.2
16.8
n. a
13.5
14.5
Source: Cocozza E., et al, 2011, The impact of the global crisis in Southeastern
Europe, pp. 54; Raiffeisen research, 2012, CEE Banking sector report
U toku 2009. godine u okviru Bečke
inicijative1, u saradnji sa Međunarodnim
monetarnim fondom (MMF), izgrađena
je metodologija stres testova koja treba
da ukaže na eventualne slabosti i potrebe
za prevremenim dokapitalizacijama pod
pretpostavljenim izuzetno pesimističkim
makroekonomskim scenarijima. Narodna banka
Srbije (NBS) je sredinom 2009. godine, na osnovu
postignutog dogovora iz Beča, u saradnji sa
16 banka sa najvećim tržišnim učešćem u
domicilnom bankarskom sistemu, otpočela
proces prikupljanja neophodnih informacija za
sprovođenje stres testova. Počev od septembra
2009. godine Narodna banka Srbije je taj model
usvojila kao stalni instrument supervizije koji će
biti redovno dopunjavan i dostupan javnosti na
uvid (Narodna banka Srbije, 2010:39). Tokom
2009. godine stres testovi su razvijeni kroz tri
osnovne faze:
• definisanje i razvoj modela;
• dijagnostika ispitivanja svih banaka (analiza
poslovanja bankarskog sektora);
• definisanje markroekonomskih pretpostavki
pesimističkog scenarija u saradnji sa MMF
Narodna banka Srbije je izvela simulaciju
dva moguća scenarija: osnovnog i ekstremno
negativnog (pesimističnog). Prema prvom
scenariju pretpostavlja se nastavak postojećih
ekonomskih događaja do kraja 2010. godine,
dok je drugi scenario pretpostavljao značajno
pogoršanje ekonomskih pokazatelja do kraja
2010. godine (tabela 5).
1
2
Tabela 5: Makroekonomski pokazatelji u
ekstremno negativnom scenariju (u %)
Pokazatelj/Godina
Pad BDP
Depresijacija dinara
(nominalno izražena)
Rast kamatnih stopa
Izvor: NBS
2009
6
2010
3,5
12
10
0,1
2
Na osnovu prikupljenih podataka, NBS
je analizirala direktne efekte simuliranog
scenarija:
• na porast problematičnih kredita (NPL)2,
što bi izazvalo rast rashoda i pad kapitala
banaka,
• direktan uticaj rasta deviznog kursa na re­
valorizaciju, tj. rast neto rizične aktive (RWA
- risk weighted assets) banaka (Fond za razvoj
ekonomske nauke, 2009).
Nivo problematičnih kredita je na kraju
2011. godine u ukupnim kreditima učestvovao
sa 19%, što je u poređenju sa krajem 2010.
godine rast od 2 p. p. Kada reč o strukturi
problematičnih kredita, ona se nije značajnije
menjala te su tako 2/3 problematičnih kredita
činili problematični krediti privrede (javni
i privatni sektor), dok sektor stanovništva
učestvuje sa 12,3%. Povećanju problematičnih
kredita u prethodnoj godini u najvećoj meri
doprineo je rast problematičnih kredita pravnih
lica koja su u procesu stečaja. Ova pravna lica
čine 78,6% ukupnog povećanja problematičnih
kredita (Narodna banka Srbije, 2012:12).
U cilju stabilizacije finansijskog sektora, Narodna banka Srbije je kroz program Podrška finansijskom sistemu (Financial
Sector Support Program- FSSP) uvela dodatne mere poznatije kao Bečka inicijativa.
U skladu sa međunarodno prihvaćenom definicijom, pod problematičnim kreditima se podrazumeva stanje ukupnog
preostalog duga svakog pojedinačnog kredita (uključujući i iznos docnje): po osnovu koga dužnik kasni sa otplatom
glavnice ili kamate 90 i više dana od inicijalnog roka dospeća; po kome je kamata u visini tromesečnog iznosa (i viša)
pripisana dugu, kapitalizovana, refinansirana ili je odloženo njeno plaćanje; po osnovu kog dužnik kasni manje od 90 dana,
ali je banka procenila da je sposobnost dužnika da otplati dug pogoršana i da je otplata duga u punom iznosu dovedena
u pitanje.
bankarstvo 5 2013
Stres testovi u domicilnom
bankarskom sektoru
44
Stress Tests in the Domicile Banking
Sector
bankarstvo 5 2013
Throughout 2009, within the Vienna
Initiative1, in cooperation with the International
Monetary Fund (IMF), a stress testing
methodology was developed, with the
objective of detecting potential weaknesses and
requirements for early additional capitalizations,
under the extremely pessimistic, hypothetical
macroeconomic scenarios. In mid-2009 the
National Bank of Serbia (NBS), based on the
agreement reached in Vienna, in cooperation
with 16 banks with the largest market share
in the domicile banking system, launched the
process of collecting information required for
stress testing. Starting from September 2009,
the National Bank of Serbia adopted this model
as a regular instrument of supervision, to be
regularly upgraded and available for public
insight (National Bank of Serbia, 2010: 39). In
2009 stress tests were developed through three
basic stages:
• Definition and development of the model;
• Examination of all banks (analysis of the
banking sector’s operations);
• Definition of macroeconomic assumptions
within the pessimistic scenario, in
cooperation with the IMF.
The National Bank of Serbia performed the
simulation of two potential scenarios: the basic
one and the extremely negative (pessimistic)
one. According to the first scenario, the current
economic events were supposed to continue
until the end of 2010, whereas the second
scenario assumed considerable deterioration of
economic indicators by the end of 2010 (Table 5).
45
1
2
Table 5: Macroeconomic indicators in an
extremely negative scenario (in %)
Indicator/Year
Drop of GDP
Dinar depreciation
(nominally)
Interest rates growth
Source: NBS
2009
6
2010
3.5
12
10
0.1
2
Based on the collected data, the NBS
analyzed the direct effects of the simulated
scenarios:
• On the growth of non-performing loans
(NPLs)2, which would increase banks’
expenditures and lower banks’ capital;
• And the direct impact of increased FX rates
on revalorization, i.e. growth of net risk
weighted assets (RWA) in banks (Fund for
Economic Sciences Development, 2009).
At the end of 2011 the share of nonperforming loans in total loans amounted to
19%, which is, compared to the end of 2010, a
growth by 2 percentage points. When it comes
to the structure of NPLs, it has not changed
considerably, hence 2/3 of non-performing
loans were accounted for by corporate NPLs (in
the public and private sector), whereas 12.3%
were accounted for by the retail sector. What
mostly contributed to the growth of NPLs in the
past year was the increasing number of NPLs
granted to legal entities which went bankrupt.
These legal entities account for 78.6% of the
total NPLs increase (National Bank of Serbia,
2012: 12).
With a view to stabilizing the financial sector, by means of the Financial Sector Support Program (FSSP), the National Bank
of Serbia introduced additional measures, also known as the Vienna Initiative.
In line with the internationally accepted definition, non-performing loans refer to the position of total outstanding debt of
each individual loan (including the defaulted amount): in respect of which the debtor’s repayment of principal or interest
is 90 or more days overdue; in respect of which the three months’ worth of interest (or more) has been accrued to debt,
capitalized, refinanced or delayed; in respect of which the debtor’s repayment is less than 90 days overdue, but the bank
has assessed that the debtor’s ability to repay the debt has deteriorated and that the full debt repayment has been brought
into question.
Slika 3: Struktura problematičnih kredita
Izvor: NBS, 2012, Sektor za kontrolu poslovanja banaka: Izveštaj za IV tromesečje 2011. godine, str. 13-15
Stres testovi su pokazali da čak ni produžena
recesija ne bi dovela do ugrožavanja bankarskog
sistema u Srbiji i da bi u slučaju realizacije
pretpostavljenog pesimističkog scenarija
domicilni bankarski sektor ostao likvidan,
solventan i sposoban da postojećim kapitalom
i rezervama apsorbuje projektovane gubitke.
Stres testovi bankarskog sektora
odabranih zemalja u regionu
Početkom februara 2012. godine Hrvatska
narodna banka objavila je najnoviju analizu
otpornosti banaka (koje posluju
na teritoriji Hrvatske) na moguće
Tabela 6: Dokapitalizacija banaka u Srbiji u 2011. godini
nepovoljne
ekonomske
šokove
Iznos dokapitalizacije
Banka
(u milijardama dinara)
(Hrvatska narodna banka, 2012). Prema
Societe Generale banka
6,2
prvom, realnom scenariju Hrvatska
OTP banka
1,0
nacionalna banka je prognozirala pad
Banca Intesa
13,3
BDP od 0,2%, stabilnu kunu i veliki
Credit Agricole
1,0
priliv štednje. Ukoliko se ostvari
Banke koje su povećale kapital
Iznos dokapitalizacije
ovaj scenario banke koje posluju u
dobijanjem subordiniranog kredita
(u milionima eura)
Erste banka
15
Hrvatskoj do kraja godine očekuje rast
Credit Agricole
10
loših kredita sa 12,7% na 17%, pri čemu
ProCredit banka
10
bi trećinu činili krediti dati privredi, a
Komercijalna banka
50
6% stambeni krediti.
Banke koje su povećale kapital
Iznos dokapitalizacije
Prema drugom, pesimistčnom
konverzijom subordiniranog
(u milionima eura)
kredita u kapital
scenariju, kojim je projektovano
Moskovska banka
5
produbljivanje ekonomske krize,
Izvor: NBS, 2012, Sektor za kontrolu poslovanja banaka: Izveštaj za IV
Hrvatska nacionalna banka očekuje
tromesečje 2011. godine, str. 24-25
pad BDP za 1,6%, slabljenje vrednosti
kune u odnosu na evro za 10% kao
i smanjen priliv stranog kapitala. U ovom,
bankarstvo 5 2013
Rezultat testiranja po metodologiji
usaglašenoj sa MMF-om pokazao je da je
domicilni bankarski sektor mnogo bolje
kapitalizovan nego što se to očekivalo za
tranzicione zemlje. Zakonski minimum
adekvatnosti kapitala u Srbiji je veći nego u
drugim zemljama i iznosi 12%. Na kraju 2011.
godine pokazatelj kapitalne adekvatnosti
domicilnog bankarskog sektora iznosio je 19,1%,
što predstavlja blago smanjenje u poređenju
sa krajem 2010. kada je izmereno 19,9%. U
narednoj tabeli dat je prikaz banaka koje su u
toku prošle godine izvršile dokapitalizaciju.
46
Figure 3: Structure of NPLs
Structure of corporate NPLs in
2011
Structure of retail NPLs in 2011
Manufacturing
industry
Housing loans
Construction industry
Other
Trade
Cash loans
Credit cards
Transport, Hotels,
Communications
Consumer
loans
Real estate and
education
Overdrafts
Source: NBS, 2012, Banking Supervision Department: Report for Q4 2011, pp. 13-15
bankarstvo 5 2013
The results of the tests conducted according
to the IMF-compliant methodology showed
that the domicile banking sector is much better
capitalized than it might be expected from
a transition country. The regulatory capital
adequacy minimum in Serbia is higher than in
other countries, i.e. 12%. At the end of 2011 the
capital adequacy ratio of the domicile banking
sector amounted to 19.1%, which is a slight
decrease compared to the end of 2010, when it
amounted to 19.9%. The table below presents
a list of banks which performed additional
capitalization in the past year.
47
The conducted stress tests indicated that
not even a prolonged recession would put
the banking system of Serbia into jeopardy,
and that, in case the hypothetical pessimistic
scenario actually materialized, the domicile
banking sector would remain liquid, solvent
and capable of absorbing projected losses by
means of the existing capital and provisions.
Stress Tests of the Banking Sectors of
Selected Countries in the Region
In early February 2012, the Croatian National
Bank published its latest analysis
Table 6: Additional capitalization of banks in Serbia in
of banks’ resilience to potential,
2011
unfavorable economic shocks (the
Additional
analysis included only banks operating
Bank
capitalization amount
at the territory of Croatia) (Croatian
(in RSD billion)
National Bank, 2012). According to
Societe Generale banka
6.2
the first, realistic scenario, the Croatian
OTP Bank
1.0
National Bank forecasted a drop of
Banca Intesa
13.3
Credit Agricole
1.0
GDP by 0.2%, the stable Croatian kuna
Additional
and a considerable inflow of savings.
Banks which increased their capital
capitalization amount
by being granted a subsidized loan
If this scenario actually unfolds, by
(in EUR million)
the end of the year the banks operating
Erste Bank
15
in Croatia will be facing a growth of nonCredit Agricole
10
ProCredit Bank
10
performing loans from 12.7% to 17%,
Komercijalna banka
50
one third of the loans being corporate
Banks which increased their capital
Additional
loans, and 6% being housing loans.
by converting a subsidized loan
capitalization amount
According to another, pessimistic
into capital
(in EUR million)
scenario,
forecasting the deepening
Moskovska banka
5
of the economic crisis, the Croatian
Source: NBS, 2012, Banking Supervision Department: Report for Q4
2011, pp. 24-25
National Bank expects a drop of GDP
bankarstvo 5 2013
52 miliona KM (26,7 miliona eura) ili 2,28%
za Hrvatsku manje verovatnom scenariju,
procenjene vrednosti regulatornog kapitala
procenat loših kredita bi skočio na 23%, od
u tekućoj godini. Sa druge strane, rezultati
čega bi čak 40% činili krediti privrede, dok bi
ekstremnog scenarija su pokazali da će
8% stanovništva kasnilo sa otplatom stambenih
bankama biti potrebna dokapitalizacija od
kredita. Stopa adekvatnosti kapitala bila bi
smanjena za procentni poen, odnosno za 3
128,9 miliona KM (65,7 miliona eura) ili 5,5%
procentna poena u odnosu na bazni scenario.
vrednosti regulatornog kapitala u 2012. godini.
Narodna banka Makedonije je trećeg kvartala
Do kraja 2012. godine adekvatnost kapitala
kod 9 banka bila bi manja od 12%, dok bi
2011. godine sprovela najnoviju simulaciju
stres testa kako bi utvrdila nivo otpornosti
adekvatnost kapitala kod 4 banke pala ispod 8%
što bi zahtevalo finansijske injekcije. Hrvatska
bankarskog sektora na eventualne ekonomske
šokove. Stres test analiza uključila je simulaciju
nacionalna banka nije objavila o kojim bankama
je reč, već samo podatak da ove banke učestvuju
osam mogućih scenarija (Narodna banka
u aktivi bankarskog sektora sa 9%.
Makedonije, 2011, 59):
1. kreditni šok (3 scenarija prema kategorijama
Centralna banka Bosne i Hercegovine je
na osnovu ostvarenih rezultata poslovanja
10%, 30% i 50%);
bankarskog sektora na kraju 2010. godine
2. kombinacija kreditnog i kamatnog šoka
uradila analizu dokapitalizacijskih potreba
(30% kreditni šok i rast kamatne stope za 5
bankarskog sektora Bosne i Hercegovine u
procentnih poena);
3. kombinacija kreditnog i deviznog šoka (50%
2011. i 2012. godini. Izveštaj je obuhvatio dva
scenarija: osnovni, koji obuhvata procene stanja
kreditni rizik i depresijacija domaće valute
od 20% u odnosu na američki dolar i evro);
bankarskog sektora na osnovu raspoloživih
4. kombinacija kreditnog, deviznog i kamatnog
podataka i ekstremni koji predstavlja stres
test. Osnovni scenario je uključio: rast BDP u
šoka (50% kreditni rizik i depresijacija
2011. i 2012. godini za 2,2% i 4,0%, respektivno;
domaće valute od 20% u odnosu na američki
kreditni rast od 5% u 2011. i 7% u 2012. godini;
dolar i evro i rast kamatne stope za 5
nivo inflacije od 5% i 2,5% u 2011. i 2012, dok
procentnih poena);
5. devizni rizik (depresijacija domaće valute
je ekstremni scenario obuhvatio: smanjenje
BDP za 2,8% u 2011. i povećanje za 1,0% u
od 20% u odnosu na američki dolar i evro);
6. pet najvećih izloženosti riziku.
2012. godini; pad kreditnog potencijala od 5%
Rezultati stres testa su prikazani u sledećoj
obe godine; nivo inflacije od 6% i 3,5% u 2011.
tabeli.
i 2012 (Centralna banka Bosne i Hercegovine,
2010, 43).
Rezultati
stres
Tabela 7: Simulacija otpornosti na stres u bankarskom sektoru
Makedonije
testa su pokazali da
Broj banaka čija
Broj banaka čija
je bankarski sektor
Adekvatnost Adekvatnost
je adekvatnost
je
adekvatnost
Redni
Bosne i Hercegovine
kapitala
kapitala
kapitala ispod
kapitala u skladu
broj
banaka, pre banaka, posle
dobro kapitalizovan,
zahtevanog
sa zahtevanim
scenarija*
scenarija
scenarija
budući da je pokazatelj
nivoom od 8% minimuma od 8%
kapitalna adekvatnost
1.
16,7%
15,9%
7
1
2.
16,7%
14,4%
7
1
iznad
propisanog
3.
16,7%
12,8%
8
1
minimuma od 12%.
4.
16,7%
14,5%
6
1
Međutim, i pored
5.
16,7%
12,7%
8
1
toga postoje tri banke
6.
16,7%
12,8%
8
1
kojima će u toku
7.
16,7%
16,6%
7
1
godine najverovatnije
8.
16,7%
14,1%
6
1
* zaključno sa 30. IX 2011.
biti
naložena
Izvor: Narodna banka Makedonije, 2011, Izveštaj bankarskog sistema za 3Q 2011, str. 59, str. 123
dokapitalizacija.
Prema
osnovnom
scenariju, u 2012.
očekuje se nivo dokapitalizacije u iznosu od
48
bankarstvo 5 2013
course of the year. According to the basic
by 1.6%, depreciation of the kuna against the
scenario, in 2012 the expected amount of
euro by 10%, along with the reduced inflow of
additional capitalization is KM 52 million
foreign capital. According to this, for Croatia
(EUR 26.7 million) or 2.28% of the assessed
less probable scenario, the percentage of NPLs
would jump to 23%, 40% of which would be
value of regulatory capital in the current year.
accounted for by corporate loans, whereas
On the other hand, the results of the extreme
8% of retail clients would default in housing
scenario showed that the banks would require
loans repayment. The capital adequacy ratio
additional capitalization in the amount of KM
would decrease by one percentage point, i.e.
128.9 million (EUR 65.7 million), or 5.5% of the
3 percentage points compared to the basic
regulatory capital value in 2012.
scenario. By the end of 2012, capital adequacy
In the third quarter of 2011 the National Bank
in 9 banks would be lower than 12%, whereas
of Macedonia conducted its latest stress test
in 4 banks it would drop below 8%, requiring
simulation in order to determine the level of the
financial injections. The Croatian National Bank
banking sector’s resilience to potential economic
did not disclose the names of these banks, sharing
shocks. The stress test analysis included the
instead that the concerned banks participate in
simulation of eight potential scenarios (National
the banking sector’s assets with 9%.
Bank of Macedonia, 2011: 59):
Based on the achieved business results of the
1. Credit shock (3 scenarios according to the
banking sector at the end of 2010, the Central
categories of 10%, 30% and 50%);
Bank of Bosnia and Herzegovina conducted
2. Combination of the credit and interest rate
an analysis of requirements for additional
shock (30% credit shock and the growth of
capitalization of the banking sector of Bosnia
interest rates by 5 percentage points);
3. Combination of the credit and FX shock
and Herzegovina in 2011 and 2012. The report
(50% credit risk and domestic currency’s
presented two scenarios: the basic one, including
the assessments of the banking sector’s position
depreciation by 20% against the US dollar
based on the available data, and the extreme one,
and the euro);
4. Combination of the credit, FX and interest
in the form of a stress test. The basic scenario
included: growth of GDP in 2011 and 2012 by
rate shock (50% credit risk and domestic
2.2% and 4.0%, respectively; credit growth by
currency’s depreciation by 20% against the
5% in 2011 and by 7% in 2012; inflation rates
US dollar and the euro, and the growth of
interest rates by 5 percentage points);
of 5% and 2.5% in 2011 and 2012, respectively;
5. Foreign exchange risk (domestic currency’s
whereas the extreme scenario included: drop
of GDP by 2.8% in 2011 and growth by 1.0%
depreciation by 20% against the US dollar
in 2012; reduced credit potential by 5% in both
and the euro);
years; inflation rates of 6% and 3.5% in 2011 and
6. The five biggest risk exposures.
2012, respectively (Central Bank of Bosnia and
The stress testing results are shown in the
Herzegovina, 2010: 43).
following table.
The stress test results
Table 7: Simulation of stress tolerance in the banking sector of
indicated
that
the
Macedonia
banking sector of Bosnia
49
and Herzegovina was
well capitalized, given
that the capital adequacy
ratio remained above the
regulatory
minimum
of 12%. Despite this,
however, there are
three banks which will
most probably have
to undergo additional
capitalization in the
Ordinal
number
of the
scenario*
Banks’
capital
adequacy
before the
scenario
1.
2.
3.
4.
5.
6.
7.
8.
16.7%
16.7%
16.7%
16.7%
16.7%
16.7%
16.7%
16.7%
Number of
Number of
banks whose
banks whose
Banks’ capital
capital adequacy capital adequacy
adequacy
is below the
is in line with the
after the
prescribed 8%
prescribed 8%
scenario
minimum
level
15.9%
7
1
14.4%
7
1
12.8%
8
1
14.5%
6
1
12.7%
8
1
12.8%
8
1
16.6%
7
1
14.1%
6
1
* as of 30.9.2011
Source: National Bank of Macedonia, 2011, Banking Sector Report for Q3 2011, pp. 59, pp. 123
Zaključak
Stres test analiza predstavlja instrument za
procenu rizika poslovanja bankarskog sektora
u uslovima svetske ekonomske i finansijske
krize. Neophodno je definisati nove, promeniti
postojeće i razvijati naprednije modele
upravljanja rizicima. Analiza otpornosti na
stres predstavlja alat koji rano dijagnostifikuje i
upozorava na moguće bankrotstvo bankarskog
sektora u uslovima krize. Dodatno, predstavlja
mehanizam simuliranja različitih scenarija
negativnih dešavanja na tržištu i procenjuje
sposobnost banaka da ih izdrže i prebrode bez
neophodne dokapitalizacije.
U uslovima svetske ekonomske krize
bankarski sektor jugoistočne Evrope uspeo
je da zadrži zadovoljavajući nivo kapitalne
adekvatnosti. U tom kontekstu smo pokazali
da je pre prelivanja negativnih efekata na
region jugoistočne Evrope nivo kapitalne
adekvatnosti kod većine zemalja regiona bio
iznad definisanog minimuma. Bankarski sektor
u regionu uspeva da ostane likvidan i beleži
zadovoljavajući nivo kapitalne adekvatnosti
od oko 15% nakon eskaliranja krize.
Ekonomski šokovi i recesija doveli su do
povećanja nivoa problematičnih kredita u
regionu jugoistočne Evrope. Pre nego što je
svetska ekonomska kriza pogodila region
jugoistočne Evrope, učešće problematičnih
kredita u ukupnim kreditima u regionu nije
prelazio 5,5%. U 2009. godini kriza je dostigla
vrhunac i došlo je do povećanja problematičnih
kredita. Učešće problematičnih kredita u
ukupnim kreditima u bankarskim sektorima u
regionu nastavilo je sa rastom u 2010. i 2011.
godini što i ne čudi imajući u vidu drugi talas
ekonomske krize, iniciran krizom javnog duga,
koji trenutno potresa neke od zemalja članica
Evropske unije.
Bankarski sektor bi trebalo da sprovodi stres
testove redovno u cilju merenja svoje izloženosti
rizicima kao i analize likvidnosti, profitabilnosti
i solventnosti. Pre početka svetske ekonomske
krize i nastupanja recesije, većina stres testova
koje su banke sprovodile širom sveta nisu bili
osmišljeni tako da obuhvataju ekstremna tržišna
dešavanja. Štaviše, scenariji sprovedenih stres
testova su predviđali mnogo blaže ekonomske
šokove (scenariji pre krize prognozirali su
gubitke koji nisu prelazili ¼ ostvarenog
prihoda) kao i kraće trajanje negativnih efekata
krize. Iz tog razloga potrebno je da poslovne,
a zatim i centralne banke sprovode testiranje
otpornosti na stres na mesečnom, kvartalnom,
polugodišnjem nivou ili jednom u godinu dana.
bankarstvo 5 2013
Rezultati sprovedenog stres testa pokazuju
da je bankarski sektor Makedonije dobro
kapitalizovan, budući da samo jedna banka u
svih osam analiziranih scenarija ima kapitalnu
adekvatnost ispod minimalnog nivoa od 8%.
50
The results of the conducted stress testing
indicate that the banking sector of Macedonia is
well capitalized, given that in all eight analyzed
scenarios only one bank recorded capital
adequacy lower than the prescribed minimum
of 8%.
Conclusion
bankarstvo 5 2013
Stress test analysis is a tool for assessing
business risks in the banking sector under the
conditions imposed by the global economic
and financial crisis. It is necessary to define
new, amend the existing and develop more
advanced risk management models. The
analysis of resilience to stress is a tool for
early detection and early warning against the
potential bankruptcy of the banking sector
in the times of crisis. Moreover, it serves as a
mechanism for simulating various negative
market scenarios, thereby assessing the banks’
ability to endure them and survive without
additional capitalization.
During the global economic crisis, the
banking sector of the Southeast Europe
managed to maintain a satisfactory level of
capital adequacy. In this context, we have
shown that, before the negative effects of the
crisis spilled over into the SEE region, in most
countries in the region capital adequacy ratio
remained above the regulatory minimum. The
banking sector in the region managed to stay
51
liquid, having recorded the satisfactory capital
adequacy of about 15% after the crisis escalated.
Economic shocks and recession led to the
increased levels of non-performing loans in the
Southeast Europe. Before the global economic
crisis had hit the SEE region, the share of NPLs in
total loans granted in the region did not exceed
5.5%. In 2009, when the crisis escalated, the nonperforming loans increased. The share of nonperforming loans in total loans in the banking
sectors in the region continued its upward
trend in 2010 and 2011 as well, which is hardly
surprising, given the second wave of the economic
crisis, initiated by the public debt crisis, currently
affecting some of the European Union countries.
The banking sector should regularly
conduct stress testing in order to measure its
exposure to risks, and to analyze its liquidity,
profitability and solvency. Before the outbreak
of the global economic crisis and the subsequent
recession, the most stress tests conducted by
banks all over the world were not designed to
include extreme market developments. On the
contrary, the scenarios of the conducted stress
tests forecasted much weaker economic shocks
(according to the pre-crisis scenarios, projected
losses never exceeded ¼ of the yielded profit),
and shorter duration of the adverse effects of the
crisis. This is why it is necessary for commercial
and central banks to conduct stress testing on a
monthly, quarterly, semiannual or annual basis.
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