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InSTA – integrated stress-testing approach at NBP. The past, present and future perspectives

Author

Listed:
  • Marcin Borsuk

    () (Narodowy Bank Polski)

  • Oskar Krzesicki

    (Narodowy Bank Polski)

Abstract

Stress testing is one of the fastest growing fields in the prudential world. It has recently gained importance as a tool for both microprudential and macroprudential purposes. In recent years Narodowy Bank Polski (NBP) has been developing an integrated stress-testing approach (InSTA), which captures the various sources of risk to solvency and liquidity as well as spillover effects that banks operating in Poland may face. The aim of this article it to present and discuss NBP’s approach to conducting macro stress tests. We also point out the main areas where further analytical work should be focused on.

Suggested Citation

  • Marcin Borsuk & Oskar Krzesicki, 2020. "InSTA – integrated stress-testing approach at NBP. The past, present and future perspectives," NBP Working Papers 325, Narodowy Bank Polski, Economic Research Department.
  • Handle: RePEc:nbp:nbpmis:325
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    File URL: https://www.nbp.pl/publikacje/materialy_i_studia/325_en.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    stress-tests; financial stability; systemic risk; macroprudential policy;

    JEL classification:

    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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