Decomposing Financial Risks and Vulnerabilities in Eastern Europe

By Rupert D Worrell, Andrea M. Maechler, Srobona Mitra

October 1, 2007

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Rupert D Worrell, Andrea M. Maechler, and Srobona Mitra. Decomposing Financial Risks and Vulnerabilities in Eastern Europe, (USA: International Monetary Fund, 2007) accessed September 19, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper assesses how various types of financial risk such as credit risk, market risk, and liquidity risk affect banking stability in the ten countries that joined the European Union most recently, and eight neighboring countries. It also examines how the quality of supervisory standards may have mitigated the vulnerabilities arising from these risk factors. Using panel data, the study finds substantial variation in the impacts of financial risks, the macroeconomic environment, and supervisory standards on banks' risk profile across different country clusters. Credit quality is of general concern especially in circumstances where credit growth is accelerating.

Subject: Banking, Credit, Credit risk, Exchange rates, Market risk

Keywords: Bank, Exchange rate, Risk, WP

Publication Details

Pages:

33
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/248
Stock No:

WPIEA2007248
ISBN:

9781451868111
ISSN:

1018-5941

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