Moldova Financial Sector Assessment Program : 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...
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| Format: | Report |
| Language: | English en_US |
| Published: |
Washington, DC
2015
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| Online Access: | http://documents.worldbank.org/curated/en/2015/10/25149649/moldova-financial-sector-assessment-program-technical-note-stress-testing http://hdl.handle.net/10986/22905 |
| Summary: | 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. Four macroeconomic scenarios were considered in the
financial stability assessment. The stress tests include a
comprehensive assessment of risk factors. Potential credit
risk losses on the loan book represent the most important
risk factor for the banking system. The stress tests also
assessed the liquidity in foreign currency, and yielded
similar results. However, there are a couple of banks whose
ability to meet the liquidity norms is based on relatively
large-scale cross-border interbank placements, and there are
some doubts about the genuine liquidity of these positions.
This note is structured as follows: section one gives
executive summary; section two presents a brief description
of the banking sector in Moldova and stress test coverage;
section three describes the macroeconomic scenarios used in
the stress tests; section four details the different
methodologies used in the solvency stress tests; section
five describes the liquidity stress tests; and section six concludes. |
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