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Republic of Moldova :, Financial Sector Assessment Program-Bank Crisis Resolution-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. Top-down solvency stress tests were conducted jointly by the FSAP team and staff from NBM, using supervisory data. These stress tests were complemented by bottom-up stress tests, conducted by individual banks using their own internal models, but applied to the macroeconomic scenarios provided by the FSAP team. In addition, liquidity stress tests, together with complementary sensitivity analysis were also carried out on all banks in the system
Table Of Contents
Cover -- CONTENTS -- GLOSSARY -- EXECUTIVE SUMMARY -- BANKING SYSTEM AND STRESS TEST COVERAGE -- MACROECONOMIC SCENARIOS -- SOLVENCY STRESS TEST -- A. Credit Risk -- B. Market Risk -- C. Risks Associated to Equity Investments -- D. Concentration Risk -- E. Interbank Contagion Risk -- LIQUIDITY STRESS TEST -- A. Overall Liquidity -- B. Foreign Exchange Liquidity -- C. Liquidity Link to Solvency -- CONCLUSIONS -- BOX -- 1. Computation of Potential Losses due to Issuer Default Risk -- FIGURES -- 1. Evolution of the Level of Real Gross Domestic Product in the Stress Test Scenarios -- 2. Top-down (lhs) and Bottom-up (rhs) Estimated Potential Losses -- TABLES -- 1. Balance Sheet Summary of the Banking Sector in Moldova -- 2. Results from the Estimation of Equation [2] -- 3. Stress Test Results on Name Concentration Risk -- 4. Liquidity Stress Test Assumptions on Haircuts and Run-off Rates -- 5. Assumptions on Haircuts and Run-off Rates for the Liquidity Coverage Ratio in Foreign Exchange -- 6. Macroeconomic Projections in the Stress Test Scenarios -- 7. Summary of the Solvency Stress Test Results -- 8. Implied Nonperforming Loans under the Different Stress Test Scenarios -- 9. Summary of the Liquidity Stress Test Results -- APPENDICES -- I. Stress Test Matrix for Solvency Risk -- II. Stress Test Matrix for Liquidity Risk -- III. Preconditions for Conducting Multi-period Stress Tests
Literary Form
non fiction
Physical Description
1 online resource (37 pages)
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Form Of Item

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