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STRES TEST U FUNKCIJI

PROCENE RIZIKA U BANKARSKOM

SEKTORU ZEMALJA JUGOISTOČNE EVROPE

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

JEL: G21, G01, P34

UDK 005.334:336.71(4-12)

originalni naučni

rad

Rad primljen: 09.07.2013.

Odobren za štampu: 11.09.2013.

dr Lidija BarjaktarovićUniverzitet Singidunum Beogradlbarjaktarovic@singidunum.ac.rs

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 DimićFakultet za menadžment,

Sremski Karlovcipaunovic@famns.edu.rs

mr Dejan JečmenicaWiener Stadtische osiguranje,

Beogradd.jecmenica@wiener.co.rs

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STRESS TESTING IN THE FUNCTION OF RISK ASSESSMENT IN THE BANKING

SECTORS OF SOUTHEAST EUROPE

(SEE) COUNTRIES

Summary

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

JEL: G21, G01, P34

UDC 005.334:336.71(4-12)

original scientific paper

Paper received: 09.07.2013

Approved for publishing: 11.09.2013

Lidija Barjaktarović, PhDSingidunum University, Belgradelbarjaktarovic@singidunum.ac.rs

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.

Maja DimićGraduate School of Management, Sremski Karlovcipaunovic@famns.edu.rs

Dejan Ječmenica, MScWiener Stadtische Insurance, Beogradd.jecmenica@wiener.co.rs

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Uvod

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,

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Introduction

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

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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

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;

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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 pre-defined 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 macro-prudential 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

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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

Slika 2: Koraci u sprovođenju stres testova

Izvor: BIS, Basel Committee, 2009, Principles for sound stress testing practices and supervision

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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).

Methodology and Steps in the Performance of Stress Testing

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: short-

term or long-term.

Figure 1: Macro stress testing framework

Source: Sorge M., 2004, Stress testing financial system: an overview of current methodologies, BIS working paper no. 165, pp. 2

Defining the scope of the

analysis

Projecting the macro stress

testing scenario

Assessment of risk tolerance

Assessment of risk

sensitivity

Market and

credit risk analysis

Feedback information

Figure 2: Steps in stress tests implementation

Source: BIS, Basel Committee, 2009, Principles for sound stress testing practices and supervision

Stress testing

Types

Models

Projection

Data and indicators

Sensitivity testing

Deterministic

Historical

Long-term

Scenario testing

Stochastic

Hypothetical

Short-term

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Stres testiranje se može sprovoditi putem analize osetljivosti i scenario (simulacione) analize (Bank for International Settlements, 2009, 7). Analizom osetljivosti moguće je tumačiti pojedinačne parametre stresa, odnosno ulazne podatke koji nisu povezani sa događajima i posledicama u stvarnom svetu. Glavna prednost testova osetljivosti je mogućnost brze procene osetljivosti porfolija na određene faktore rizika (prepoznaje se određena koncentracija rizika), dok je osnovni nedostatak ovog scenarija to što ne analizira više faktora rizika u isto vreme. Scenario ili simulaciona analiza uključuje istovremenu analizu više parametara rizika u definisanim vanrednim (stresnim) okolnostima. Ova analiza je kompleksnija od prethodne, jer u obzir uzima inverznu korelaciju između analiziranih rizika. Primera radi, kreditna aktivnost banaka povećava profitabilnost banke, ali u isto vreme povećava rizik likvidnosti i kreditni rizik.

Testovi osetljivosti kao i scenario testovi predmet su analize matematičkih modela: determinističkog i stohastičkog (O’Brien, 2009:5). Deterministički modeli su modeli čije se ponašanje može predvideti, u kojima je nivo stanja sistema u potpunosti određen prethodnim stanjem. Kod determinističkog pristupa, mogući scenariji kretanja ekonomskih varijabli su određeni i kontrolisani od strane korisnika modela. Rezultati ovakvih modela isključivo zavise od kvaliteta korišćenih scenarija. Drugim rečima, ako se stvarne varijable modela razlikuju od pretpostavki, realna izloženost banke riziku biće različita od merenog rizika. Sa druge strane, kod stohastičkih modela se ponašanje varijabli ne može unapred predvideti, ali se mogu odrediti verovatnoće promene stanja. Za stohastičke modele je karakteristično slučajno ponašanje, odnosno postojanje slučajnih promenljivih u sistemu. Najčešće korišćena metoda stohastičkog modela je Monte Karlo metoda, koja pokriva širok spektar mogućih vrednosti finansijskih promenljivih, pri čemu se u potpunosti uzimaju u obzir njihove međusobne korelacije (Cvetinović, 2008:77).

Nakon definisanja vrste stres testova i odabira metodologije sledi utvrđivanje podatka i pokazatelja koji će biti analizirani. Razlikujemo dva pristupa: istorijski i hipotetički. Istorijski scenariji često su se sprovodili na osnovu značajnog tržišnog događaja iz prošlosti. Prema ovom pristupu određeni događaji desili su se u prošlosti i postoji verovatnoća da će se u budućnosti ponoviti. Istorijski pristup vremenom može postati manje relevantan, jer događaje posmatra istorijski i ne uzima u obzir razvoj finansijskih tržišta, pa testovi otpornosti na stres nisu mogli obuhvatiti rizike novih proizvoda koji su se pojavili sa nastankom krize (Blaschke i saradnici, 2001:35). U tabeli je prikazana lista događaja koja se često koristi u istorijskoj analizi stres testova.

Pored istorijskog pristupa moguće je koristiti i hipotetički scenario, koji se zasniva na događajima koji se još uvek nisu desili u stvarnosti. Ovakav pristup, iako fleksibilniji, zbog veze koja postoji između faktora koji se u stvarnosti nisu dogodili, otežava utvrđivanje verovatnoće izloženosti rizicima bankarskog sektora.

Prilikom analize stres testova treba u obzir uzeti vremenski horizont koji se posmatra. Za dobijanje pouzdanih rezultata potrebno je izvršiti testiranja stresa kako kratkoročno (do godinu dana), tako i dugoročno (od godinu do pet godina).

Tabela 1: Lista događaja koja se koristi u istorijskoj analizi stres testova

Godina Događaj1973 Prva naftna kriza - OPEC povećao cenu sirove nafte1979 Druga naftna kriza1987 Crni ponedeljak - slom američke berze1991 Zalivski rat - rast cene sirove nafte1992 Kriza evropskog monetarnog sistema1995 Tekila kriza - deficit tekućeg računa Meksika1997 Kriza u istočnoj Aziji

1998 Ruska kriza i propast hedž fonda LTCM (Long Term Capital Management)

2001 11. IX - teroristički napad na Sjedinjene Američke Države2007-2008 Hipotekarna kriza u Sjedinjenim Američkim Državama

Izvor: Matz L., Neu P., 2007, Liquidity risk management, Wiley finance, str. 39

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Stress testing can be performed by means of sensitivity analysis and scenario (simulation) analysis (Bank for International Settlements, 2009: 7). By conducting sensitivity analysis it is possible to interpret individual stress parameters, i.e. entry data that are not related to real-world events and consequences. The major advantage of sensitivity tests is the possibility to assess more quickly the portfolio’s sensitivity to certain risk factors (a certain concentration of risk is detected), whereas the main drawback of such a scenario is that it does not simultaneously analyze several factors. Scenario or simulation analysis implies a simultaneous analysis of several risk parameters under the defined contingency (stressful) circumstances. This analysis is more complex than the previous one, given that it takes into account the inversed correlation among the analyzed risks. For instance, credit activity of banks increases their profitability, but at the same time increases their liquidity and credit risk.

Both sensitivity and scenario tests are subject to mathematical analysis: in the form of deterministic and stochastic models (O’Brien, 2009: 5). Deterministic models are those whose behavior can be anticipated, and within which the state of a system is fully determined by its previous state. In a deterministic model, possible scenarios of economic variables’ movements are fully determined and controlled by the model user. The results of such models exclusively depend on the quality of the used scenarios. In other words, if the real-world variables of the model differ from the assumptions, the bank’s real exposure to risk will be different from the measured risk. On the other hand, in stochastic models, the behavior of the variables cannot be anticipated in advance, but the likelihood of their changes can be determined. Stochastic models are characterized by random behavior, i.e. the existence of accidental variables in the system. The most frequently used stochastic model is Monte Carlo analysis, which covers a wide range of potential values of financial

variables, with their mutual correlations being fully taken into account (Cvetinović, 2008: 77).

After defining the type of stress testing and after choosing the methodology, what follows is the selection of data and indicators to be analyzed. There are two different approaches: historically-based and hypothetical approach. Historical scenarios are often conducted based on a significant market event from the past. According to this approach, certain events occurred in the past and it is likely that they might happen again in the future. Historically-based approach may become less relevant over time, given that it regards events in historical terms without taking into account financial markets development. Hence, stress tests have been unable to detect the risks of new products which have occurred with the outbreak of the crisis (Blaschke, et al, 2001: 35). The table below contains a list of events which have been frequently used in the historically-based stress test analyses.

In addition to the historically-based approach, it is possible to use a hypothetical scenario as well, based on the events that still have not taken place in reality. Although more flexible, this approach, due to the existing connection among the factors that have not occurred in the real world, makes it more difficult to determine the probability of exposure to the banking sector risks.

What also has to be taken into account when conducting a stress test analysis is the observed time horizon. To obtain reliable results, one has to conduct stress testing both in the short term

Table 1: List of events used in the historical stress test analysis

Year Event1973 The first oil crisis - OPEC increased the crude oil prices1979 The second oil crisis 1987 Black Monday - Collapse of the US stock market1991 The Gulf War - growth of the crude oil prices1992 The crisis of the European monetary system1995 Tequila crisis - Deficit of Mexico’s current account1997 The crisis in East Asia

1998 The Russian crisis and the collapse of the long-term capital management (LTCM) hedge fund

2001 9/11 - the terrorist attack at the US2007-2008 The subprime crisis in the US

Source: Matz L., Neu P., 2007, Liquidity Risk Management, Wiley Finance, pp. 39

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Rezultati stres testova bankarskog sistema zemalja jugoistočne Evrope

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

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(up to one year) and in the long term (from one to five years).

Stress Test Results of the Banking Sectors of Southeast Europe Countries

Before the outbreak of the global economic crisis and the subsequent recession, the financial system of Southeastern Europe was undergoing accelerated growth, accompanied by newly-introduced modern regulations and newly-established 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

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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

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.

Tabela 2: Početak primene stres testova u zemljama jugoistočne EvropeDržava GodinaSrbija 2007Bugarska 2002BIH 2005Hrvatska 2004Makedonija 2003Rumunija 2003Mađarska 2000Crna Gora 2006

Izvor: WB, Macroprudential stress-testing 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

2005 2006 2007 2008 2009 2010 2011Srbija n. a n. a 11,3 11,3 15,7 16,9 18,8BIH 5,3 4,0 3,0 3,1 5,9 11,4 11,8Hrvatska 6,2 5,2 4,8 4,9 7,8 11,2 12,4Makedonija 15,0 11,2 7,5 6,7 8,9 9,0 n. aCrna Gora 5,3 2,9 3,2 7,2 13,5 21,0 n. aMađarska n. a n. a 2,3 3,0 5,9 7,8 16,1Rumunija n. a n. a 1,7 2,8 7,9 11,9 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

2005 2006 2007 2008 2009 2010 2011Srbija 26,0 24,7 27,9 21,9 21,3 19,9 19,7BIH 17,8 17,7 17,1 16,3 16,1 18,8 19,2Hrvatska 15,2 14,4 16,9 15,4 16,6 18,8 19,2Makedonija 21,3 18,3 17,0 16,2 16,4 16,1 16,8Crna Gora 27,9 21,3 17,1 15,0 15,8 15,9 n. aMađarska n. a n. a 10,0 11,1 13,1 13,3 13,5Rumunija n. a n. a 13,8 13,8 14,7 15,0 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

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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

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 2: Commencement of stress testing in SEE countriesCountry YearSerbia 2007Bulgaria 2002BAH 2005Croatia 2004Macedonia 2003Romania 2003Hungary 2000Montenegro 2006

Source: WB, Macroprudential stress-testing practices of central banks in Central and South Eastern Europe, September 2010, pp. 4

Table 3: Share of loans in total loans default in SEE countries

2005 2006 2007 2008 2009 2010 2011Serbia n. a n. a 11.3 11.3 15.7 16.9 18.8BAH 5.3 4.0 3.0 3.1 5.9 11.4 11.8Croatia 6.2 5.2 4.8 4.9 7.8 11.2 12.4Macedonia 15.0 11.2 7.5 6.7 8.9 9.0 n. aMontenegro 5.3 2.9 3.2 7.2 13.5 21.0 n. aHungary n. a n. a 2.3 3.0 5.9 7.8 16.1Romania n. a n. a 1.7 2.8 7.9 11.9 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

2005 2006 2007 2008 2009 2010 2011Serbia 26.0 24.7 27.9 21.9 21.3 19.9 19.7BAH 17.8 17.7 17.1 16.3 16.1 18.8 19.2Croatia 15.2 14.4 16.9 15.4 16.6 18.8 19.2Macedonia 21.3 18.3 17.0 16.2 16.4 16.1 16.8Montenegro 27.9 21.3 17.1 15.0 15.8 15.9 n. aHungary n. a n. a 10.0 11.1 13.1 13.3 13.5Romania n. a n. a 13.8 13.8 14.7 15.0 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

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Stres testovi u domicilnom bankarskom sektoru

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 MMFNarodna 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).

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).

1 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.

2 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.

Tabela 5: Makroekonomski pokazatelji u ekstremno negativnom scenariju (u %)

Pokazatelj/Godina 2009 2010Pad BDP 6 3,5Depresijacija dinara(nominalno izražena) 12 10

Rast kamatnih stopa 0,1 2Izvor: NBS

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Stress Tests in the Domicile Banking Sector

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).

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 non-

performing 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).

1 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.

2 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.

Table 5: Macroeconomic indicators in an extremely negative scenario (in %)

Indicator/Year 2009 2010Drop of GDP 6 3.5Dinar depreciation (nominally) 12 10

Interest rates growth 0.1 2Source: NBS

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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.

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 nepovoljne ekonomske šokove (Hrvatska narodna banka, 2012). Prema prvom, realnom scenariju Hrvatska nacionalna banka je prognozirala pad BDP od 0,2%, stabilnu kunu i veliki priliv štednje. Ukoliko se ostvari ovaj scenario banke koje posluju u Hrvatskoj do kraja godine očekuje rast loših kredita sa 12,7% na 17%, pri čemu bi trećinu činili krediti dati privredi, a 6% stambeni krediti.

Prema drugom, pesimistčnom scenariju, kojim je projektovano produbljivanje ekonomske krize, Hrvatska nacionalna banka očekuje pad BDP za 1,6%, slabljenje vrednosti kune u odnosu na evro za 10% kao

i smanjen priliv stranog kapitala. U ovom,

Slika 3: Struktura problematičnih kredita

Izvor: NBS, 2012, Sektor za kontrolu poslovanja banaka: Izveštaj za IV tromesečje 2011. godine, str. 13-15

Tabela 6: Dokapitalizacija banaka u Srbiji u 2011. godini

Banka Iznos dokapitalizacije(u milijardama dinara)

Societe Generale banka 6,2OTP banka 1,0Banca Intesa 13,3Credit Agricole 1,0Banke koje su povećale kapital dobijanjem subordiniranog kredita

Iznos dokapitalizacije (u milionima eura)

Erste banka 15Credit Agricole 10ProCredit banka 10Komercijalna banka 50Banke koje su povećale kapital konverzijom subordiniranog kredita u kapital

Iznos dokapitalizacije (u milionima eura)

Moskovska banka 5Izvor: NBS, 2012, Sektor za kontrolu poslovanja banaka: Izveštaj za IV tromesečje 2011. godine, str. 24-25

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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.

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 of banks’ resilience to potential, unfavorable economic shocks (the analysis included only banks operating at the territory of Croatia) (Croatian National Bank, 2012). According to the first, realistic scenario, the Croatian National Bank forecasted a drop of GDP by 0.2%, the stable Croatian kuna and a considerable inflow of savings.

If this scenario actually unfolds, by the end of the year the banks operating in Croatia will be facing a growth of non-performing loans from 12.7% to 17%, one third of the loans being corporate loans, and 6% being housing loans.

According to another, pessimistic scenario, forecasting the deepening of the economic crisis, the Croatian National Bank expects a drop of GDP

Table 6: Additional capitalization of banks in Serbia in 2011

BankAdditional

capitalization amount (in RSD billion)

Societe Generale banka 6.2OTP Bank 1.0Banca Intesa 13.3Credit Agricole 1.0

Banks which increased their capital by being granted a subsidized loan

Additional capitalization amount

(in EUR million)Erste Bank 15Credit Agricole 10ProCredit Bank 10Komercijalna banka 50Banks which increased their capital by converting a subsidized loan into capital

Additional capitalization amount

(in EUR million)Moskovska banka 5

Source: NBS, 2012, Banking Supervision Department: Report for Q4 2011, pp. 24-25

Figure 3: Structure of NPLs

Source: NBS, 2012, Banking Supervision Department: Report for Q4 2011, pp. 13-15

Structure of corporate NPLs in 2011 Structure of retail NPLs in 2011

Manufacturing industry

Construction industry

Trade

Transport, Hotels, Communications

Real estate and education

Housing loans

Other

Cash loans

Credit cards

Consumer loans

Overdrafts

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za Hrvatsku manje verovatnom scenariju, procenat loših kredita bi skočio na 23%, od čega bi čak 40% činili krediti privrede, dok bi 8% stanovništva kasnilo sa otplatom stambenih kredita. Stopa adekvatnosti kapitala bila bi smanjena za procentni poen, odnosno za 3 procentna poena u odnosu na bazni scenario. Do kraja 2012. godine adekvatnost kapitala kod 9 banka bila bi manja od 12%, dok bi adekvatnost kapitala kod 4 banke pala ispod 8% što bi zahtevalo finansijske injekcije. Hrvatska nacionalna banka nije objavila o kojim bankama je reč, već samo podatak da ove banke učestvuju u aktivi bankarskog sektora sa 9%.

Centralna banka Bosne i Hercegovine je na osnovu ostvarenih rezultata poslovanja bankarskog sektora na kraju 2010. godine uradila analizu dokapitalizacijskih potreba bankarskog sektora Bosne i Hercegovine u 2011. i 2012. godini. Izveštaj je obuhvatio dva scenarija: osnovni, koji obuhvata procene stanja bankarskog sektora na osnovu raspoloživih podataka i ekstremni koji predstavlja stres test. Osnovni scenario je uključio: rast BDP u 2011. i 2012. godini za 2,2% i 4,0%, respektivno; kreditni rast od 5% u 2011. i 7% u 2012. godini; nivo inflacije od 5% i 2,5% u 2011. i 2012, dok je ekstremni scenario obuhvatio: smanjenje BDP za 2,8% u 2011. i povećanje za 1,0% u 2012. godini; pad kreditnog potencijala od 5% obe godine; nivo inflacije od 6% i 3,5% u 2011. i 2012 (Centralna banka Bosne i Hercegovine, 2010, 43).

Rezultati stres testa su pokazali da je bankarski sektor Bosne i Hercegovine dobro kapitalizovan, budući da je pokazatelj kapitalna adekvatnost iznad propisanog minimuma od 12%. Međutim, i pored toga postoje tri banke kojima će u toku godine najverovatnije biti naložena d o k a p i t a l i z a c i j a . Prema osnovnom scenariju, u 2012. očekuje se nivo dokapitalizacije u iznosu od

52 miliona KM (26,7 miliona eura) ili 2,28% procenjene vrednosti regulatornog kapitala u tekućoj godini. Sa druge strane, rezultati ekstremnog scenarija su pokazali da će bankama biti potrebna dokapitalizacija od 128,9 miliona KM (65,7 miliona eura) ili 5,5% vrednosti regulatornog kapitala u 2012. godini.

Narodna banka Makedonije je trećeg kvartala 2011. godine sprovela najnoviju simulaciju stres testa kako bi utvrdila nivo otpornosti bankarskog sektora na eventualne ekonomske šokove. Stres test analiza uključila je simulaciju osam mogućih scenarija (Narodna banka Makedonije, 2011, 59):1. kreditni šok (3 scenarija prema kategorijama

10%, 30% i 50%);2. kombinacija kreditnog i kamatnog šoka

(30% kreditni šok i rast kamatne stope za 5 procentnih poena);

3. kombinacija kreditnog i deviznog šoka (50% kreditni rizik i depresijacija domaće valute od 20% u odnosu na američki dolar i evro);

4. kombinacija kreditnog, deviznog i kamatnog šoka (50% kreditni rizik i depresijacija domaće valute od 20% u odnosu na američki dolar i evro i rast kamatne stope za 5 procentnih poena);

5. devizni rizik (depresijacija domaće valute od 20% u odnosu na američki dolar i evro);

6. pet najvećih izloženosti riziku.Rezultati stres testa su prikazani u sledećoj

tabeli.

Tabela 7: Simulacija otpornosti na stres u bankarskom sektoru Makedonije

Redni broj

scenarija*

Adekvatnost kapitala

banaka, pre scenarija

Adekvatnost kapitala

banaka, posle scenarija

Broj banaka čija je adekvatnost

kapitala u skladu sa zahtevanim nivoom od 8%

Broj banaka čija je adekvatnost kapitala ispod

zahtevanog minimuma od 8%

1. 16,7% 15,9% 7 12. 16,7% 14,4% 7 13. 16,7% 12,8% 8 14. 16,7% 14,5% 6 15. 16,7% 12,7% 8 16. 16,7% 12,8% 8 17. 16,7% 16,6% 7 18. 16,7% 14,1% 6 1

* zaključno sa 30. IX 2011.Izvor: Narodna banka Makedonije, 2011, Izveštaj bankarskog sistema za 3Q 2011, str. 59, str. 123

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by 1.6%, depreciation of the kuna against the euro by 10%, along with the reduced inflow of foreign capital. According to this, for Croatia less probable scenario, the percentage of NPLs would jump to 23%, 40% of which would be accounted for by corporate loans, whereas 8% of retail clients would default in housing loans repayment. The capital adequacy ratio would decrease by one percentage point, i.e. 3 percentage points compared to the basic scenario. By the end of 2012, capital adequacy in 9 banks would be lower than 12%, whereas in 4 banks it would drop below 8%, requiring financial injections. The Croatian National Bank did not disclose the names of these banks, sharing instead that the concerned banks participate in the banking sector’s assets with 9%.

Based on the achieved business results of the banking sector at the end of 2010, the Central Bank of Bosnia and Herzegovina conducted an analysis of requirements for additional capitalization of the banking sector of Bosnia and Herzegovina in 2011 and 2012. The report presented two scenarios: the basic one, including the assessments of the banking sector’s position based on the available data, and the extreme one, in the form of a stress test. The basic scenario included: growth of GDP in 2011 and 2012 by 2.2% and 4.0%, respectively; credit growth by 5% in 2011 and by 7% in 2012; inflation rates of 5% and 2.5% in 2011 and 2012, respectively; whereas the extreme scenario included: drop of GDP by 2.8% in 2011 and growth by 1.0% in 2012; reduced credit potential by 5% in both years; inflation rates of 6% and 3.5% in 2011 and 2012, respectively (Central Bank of Bosnia and Herzegovina, 2010: 43).

The stress test results indicated that the banking sector of Bosnia 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

course of the year. According to the basic scenario, in 2012 the expected amount of additional capitalization is KM 52 million (EUR 26.7 million) or 2.28% of the assessed value of regulatory capital in the current year. On the other hand, the results of the extreme scenario showed that the banks would require additional capitalization in the amount of KM 128.9 million (EUR 65.7 million), or 5.5% of the regulatory capital value in 2012.

In the third quarter of 2011 the National Bank of Macedonia conducted its latest stress test simulation in order to determine the level of the banking sector’s resilience to potential economic shocks. The stress test analysis included the simulation of eight potential scenarios (National Bank of Macedonia, 2011: 59):1. Credit shock (3 scenarios according to the

categories of 10%, 30% and 50%);2. Combination of the credit and interest rate

shock (30% credit shock and the growth of interest rates by 5 percentage points);

3. Combination of the credit and FX shock (50% credit risk and domestic currency’s depreciation by 20% against the US dollar and the euro);

4. Combination of the credit, FX and interest rate shock (50% credit risk and domestic currency’s depreciation by 20% against the US dollar and the euro, and the growth of interest rates by 5 percentage points);

5. Foreign exchange risk (domestic currency’s depreciation by 20% against the US dollar and the euro);

6. The five biggest risk exposures.The stress testing results are shown in the

following table.

Table 7: Simulation of stress tolerance in the banking sector of Macedonia

Ordinal number of the

scenario*

Banks’ capital

adequacy before the scenario

Banks’ capital adequacy after the scenario

Number of banks whose

capital adequacy is in line with the

prescribed 8% level

Number of banks whose

capital adequacy is below the

prescribed 8% minimum

1. 16.7% 15.9% 7 12. 16.7% 14.4% 7 13. 16.7% 12.8% 8 14. 16.7% 14.5% 6 15. 16.7% 12.7% 8 16. 16.7% 12.8% 8 17. 16.7% 16.6% 7 18. 16.7% 14.1% 6 1

* as of 30.9.2011Source: National Bank of Macedonia, 2011, Banking Sector Report for Q3 2011, pp. 59, pp. 123

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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%.

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.

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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

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

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 non-performing loans increased. The share of non-performing 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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