IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

The Methodology of Stress Tests for the Kazakh Banking System

  • Natalia Podlich
  • Didar Illyasov
  • Elena Tsoy
  • Shynar Shaikh
Registered author(s):

    In this paper, we describe the results for the section “Stress Testing Methodology forKazakh Banking System” which is part of the “Development of an Early Warning Systemfor Kazakhstan” project. The participating Kazakh institutions are the National Bank ofKazakhstan (NBRK), the Financial Supervisory Agency (FSA) and the National AnalyticalCentre of the Government and the National Bank of Kazakhstan (NAC). In this section,we apply different methodologies for developing stress testing tools for the Kazakhbanking system: the “bottom-up” and “top-down” approaches. The “bottom-up” approachis based on questionnaires we have transmitted to Kazakh banks asking them to calculatetheir own risk positions under stress. The collected results and the analyses show thatbanks tend to underestimate the decline in real estate prices and to overestimate currencydevaluation. In the “top-down” approach, we apply methodologies for portfolio andmacro stress tests to raw data collected by FSA and estimate the impact of the externalmacroeconomic shocks on the expected losses of financial institutions. In the portfoliostress test, the change in the expected losses under stress ranges between 34 percent and86 percent relative to the unconditional expected losses. In the macro stress test, we findan average change of 26 percent in the ratio of bad loans to total loans under stressscenario 1 and an average change of 80 percent under scenario 2 relative to the baselinescenario.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Ifo Institute for Economic Research at the University of Munich in its series Ifo Working Paper Series with number Ifo Working Paper Nr. 85.

    in new window

    Date of creation: 2010
    Date of revision:
    Handle: RePEc:ces:ifowps:_85
    Contact details of provider: Postal: Poschingerstrasse 5, 81679 Munich
    Phone: +49 (89) 9224-0
    Fax: +49 (89) 985369
    Web page:

    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
    2. Darren Pain, 2003. "The provisioning experience of the major UK banks: a small panel investigation," Bank of England working papers 177, Bank of England.
    3. Mario Quagliariello, . "Banks' Performance over the Business Cycle: A Panel Analysis on Italian Intermediaries," Discussion Papers 04/17, Department of Economics, University of York.
    4. Pesola, Jarmo, 2001. "The role of macroeconomic shocks in banking crises," Research Discussion Papers 6/2001, Bank of Finland.
    5. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank, Research Department.
    6. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
    7. Klaus Duellmann & Martin Erdelmeier, 2009. "Crash Testing German Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 139-175, September.
    8. repec:onb:oenbwp:y:2002:i:3:b:3 is not listed on IDEAS
    9. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
    10. Harvir Kalirai & Martin Scheicher, 2002. "Macroeconomic Stress Testing: Preliminary Evidence for Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 58-74.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ces:ifowps:_85. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julio Saavedra)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.