IDEAS home Printed from https://ideas.repec.org/p/mnb/opaper/2014-109.html
   My bibliography  Save this paper

Stress testing at the Magyar Nemzeti Bank

Author

Listed:
  • Ádám Banai

    (Magyar Nemzeti Bank (the central bank of Hungary))

  • Zsuzsanna Hosszú

    (Magyar Nemzeti Bank (the central bank of Hungary))

  • Gyöngyi Körmendi

    (Magyar Nemzeti Bank (the central bank of Hungary))

  • Sándor Sóvágó

    (Tinbergen Institute (MPhil student))

  • Róbert Szegedi

    (Magyar Nemzeti Bank (the central bank of Hungary))

Abstract

Our study presents the top-down stress testing framework currently used by the Magyar Nemzeti Bank. We run separate solvency and liquidity stress tests to analyse the ability of the banking system to absorb shocks and we present their results in our Report on Financial Stability. In the former, we focus mostly on credit risk but also take into account losses due to market risks. Our study explains in detail the method we apply to quantify the impact of a negative two-year macroeconomic shock on the capital adequacy ratio. We explain the models we use for calculating profit before loan losses, PDs and LGD. We also demonstrate how we measure the impact of an intensive 30-day liquidity shock on the banking system. Finally, we use the stress test completed in the spring of 2013 to explain in detail how the results should be interpreted and what conclusions we can draw from them.

Suggested Citation

  • Ádám Banai & Zsuzsanna Hosszú & Gyöngyi Körmendi & Sándor Sóvágó & Róbert Szegedi, 2014. "Stress testing at the Magyar Nemzeti Bank," MNB Occasional Papers 2014/109, Magyar Nemzeti Bank (Central Bank of Hungary).
    • Handle: RePEc:mnb:opaper:2014/109
    as

    Download full text from publisher

    File URL: http://www.mnb.hu/letoltes/op109-final.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    stress test; liquidity risk; credit risk;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mnb:opaper:2014/109. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lorant Kaszab (email available below). General contact details of provider: https://edirc.repec.org/data/mnbgvhu.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.