Romania: Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing the Financial Sector
IMF Staff Country Reports, June 8, 2018
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- Romania: Financial Sector Assessment Program-Technical Note-Systemic Risk Analysis and Stress Testing the Financial Sector
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Bibliographic details
- Published: June 8, 2018
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781484360729.002
Summary and scope
- This Technical Note discusses the results of systemic risk analysis and stress testing of Romania’s financial sector.
- Although the Romanian banking sector has a strong initial capital position, banks are affected significantly by the realization of the shocks captured by the scenarios.
- The stress test results indicate that an extreme but plausible adverse scenario would have a significant negative impact on the capital ratios of the banking system.
- Although the banking sector as a whole maintains capital ratios above the minimum regulatory requirements, several (smaller) banks prove vulnerable.
- The extreme adverse scenario reflects downside external risks as well as a domestic demand shock impacting private consumption and investment.
Key findings from stress testing and systemic risk analysis
- Strong initial capital position for the Romanian banking sector, but material sensitivity to scenario shocks.
- An extreme but plausible adverse scenario produces a significant negative impact on banking system capital ratios.
- The banking sector overall maintains capital ratios above minimum regulatory requirements, yet several smaller banks are vulnerable under stress.
- The extreme adverse scenario combines downside external risks with a domestic demand shock that affects private consumption and investment.
Themes, subjects, and keywords (as listed)
- Subject: Banking, Commercial banks, Credit, Financial institutions, Financial regulation and supervision, Financial Sector Assessment Program, Financial sector policy and analysis, Liquidity requirements, Loans, Money, Stress testing
- Keywords: a number of bank, balance sheets, banks in the network, banks' exposure, capitalization ratios, central bank, Commercial banks, CR, Credit, defaulting bank, demand shock, Europe, foreign currency, Global, ISCR, Liquidity requirements, Loans, longer-term liquidity position, monetary policy, OSII bank, parent bank, resilience to external shocks, sovereign-bank nexus, Stress testing
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- Country Report