Moldova Financial Sector Assessment Program : Stress Testing

This note discusses the stress tests that were carried out on Moldova’s banking system as part of the 2014 financial sector assessment program (FSAP) update. The objective of this exercise was to assess the resilience of the banking system to major sources of risk. The stress tests were conducted in collaboration with the National Bank of Moldova (NBM), and complement other approaches, such as the analysis of financial indicators and the assessment of the quality of supervision. The stress tests focused on the banking system and covered all 14 banks operating in the country. Four macroeconomic scenarios were considered in the financial stability assessment. The stress tests include a comprehensive assessment of risk factors. Potential credit risk losses on the loan book represent the most important risk factor for the banking system. The stress tests also assessed the liquidity in foreign currency, and yielded similar results. However, there are a couple of banks whose ability to meet the liquidity norms is based on relatively large-scale cross-border interbank placements, and there are some doubts about the genuine liquidity of these positions. This note is structured as follows: section one gives executive summary; section two presents a brief description of the banking sector in Moldova and stress test coverage; section three describes the macroeconomic scenarios used in the stress tests; section four details the different methodologies used in the solvency stress tests; section five describes the liquidity stress tests; and section six concludes.

Bibliographic Details

Main Author:	International Monetary Fund
Format:	Report biblioteca
Language:	English en_US
Published:	Washington, DC 2014-06
Subjects:	CURRENCY MISMATCHES, DEPOSIT, CAPITAL MARKETS, HOLDING, REGULATORY FRAMEWORK, EQUITY INSTRUMENT, BORROWER, CORPORATE DEFAULT, INTEREST INCOME, OIL PRICE, NPL, DEPOSITS, FIXED INCOME, DEFAULTS, STOCK, VALUATION, INTEREST, MATURITY DATE, INTEREST RATE, EXCHANGE, BANKING SYSTEM, LIQUIDITY, REPAYMENTS, DEFAULT PROBABILITY, PORTFOLIO, LIQUIDITY RISK, DEFAULT RISK, BONDS, CAPITAL ADEQUACY, MACROECONOMIC CONDITIONS, LOAN, PROBABILITY OF DEFAULT, BORROWERS, NON-PERFORMING LOANS, GOVERNMENT BOND, INFLATION, CASH FLOWS, OUTPUT LOSSES, INSTRUMENTS, CENTRAL BANK, MATURITY, WITHDRAWALS, MARKET LIQUIDITY, VALUATION CHANGES, OIL PRICES, GLOBAL ECONOMY, CURRENCY, DOMESTIC CURRENCY, EXCHANGE RATE MOVEMENTS, INCOME INSTRUMENTS, BOND YIELD, PORTFOLIOS, DEBTS, RISK FACTOR, FOREIGN CURRENCIES, EXCHANGE RATES, TRADING, CREDIT RISKS, INTEREST RATES, MONETARY FUND, SOVEREIGN BOND, MONEY MARKET RATE, DOMESTIC BANKS, MARKETS, DEBT, COUPON PAYMENT, SOVEREIGN RATING, BANK LIQUIDITY, LOANS, RESERVES, GROSS DOMESTIC PRODUCT, FINANCIAL SYSTEM, INVESTMENT RISKS, FINANCE, FOREIGN CURRENCY, DOMESTIC BANK, TAXES, LOAN CATEGORY, BANKING SECTOR, GOVERNMENT SECURITIES, TRANSACTIONS, EMERGING MARKETS, EQUITY, FINANCIAL STABILITY, FINANCIAL CRISIS, MARKET PRICES, LIQUIDITY RATIOS, BOND PORTFOLIO, FUTURE, DEPOSIT LIABILITIES, CAPACITY CONSTRAINTS, LIQUIDITY POSITION, EQUITY INVESTMENTS, DOMESTIC BANKING, CAPITALIZATION, ASSET QUALITY, LOAN PORTFOLIO, FOREIGN BANKS, BALANCE SHEET, MARKET, DEFAULT, LOCAL CURRENCY, FOREIGN EXCHANGE, MARKET RISK, EQUITY INVESTMENT, DEFAULT PROBABILITIES, MONETARY POLICIES, INVESTMENT PORTFOLIOS, SECURITIES, SOLVENCY, CAPITAL INFLOW, CREDIT SPREADS, RISK FACTORS, MARKET RISKS, CREDIT RISK, MACROECONOMIC VARIABLES, HOLDINGS, CURRENCIES, EQUITY INSTRUMENTS, GOVERNMENT BONDS, DOMESTIC GOVERNMENT BONDS, EQUITY HOLDINGS, CORPORATE BONDS, MARKET SHARE, NONPERFORMING LOAN, DEBT INSTRUMENTS, STOCK EXCHANGE, NATIONAL BANK, INVESTMENT, LENDING INTEREST RATE, BOND, DOMESTIC CREDIT, SOVEREIGN BONDS, SHARE, CORPORATE BOND, BANKRUPTCIES, BALANCE SHEETS, COLLATERAL, FINANCIAL MARKETS, FLOATING RATE, RISK MEASUREMENT, INDIVIDUAL BOND, CURRENCY RISK, COUPON, CAPITAL INFLOWS, MONEY MARKET, LIQUIDITY POSITIONS, INVESTMENTS, LENDING, DEBT INSTRUMENT, INTEREST RATE RISK, LIQUIDITY RATIO, CREDIT GROWTH, BANKING SECTOR ASSETS, MATURITIES, EXCHANGE RATE, INSTRUMENT, REMITTANCES, LIABILITIES, HEDGE, LIQUID ASSETS, INTERNATIONAL SETTLEMENTS, CREDIT LINES, FOREIGN BANK,
Online Access:	http://documents.worldbank.org/curated/en/2015/10/25149649/moldova-financial-sector-assessment-program-technical-note-stress-testing http://hdl.handle.net/10986/22905
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