Decomposing Financial Risks and Vulnerabilities in Eastern Europe

Author/Editor:

Rupert D Worrell ; Andrea M. Maechler ; Srobona Mitra

Publication Date:

October 1, 2007

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.

Series:

Working Paper No. 07/248

Subject:

English

Publication Date:

October 1, 2007

ISBN/ISSN:

9781451868111/1018-5941

Stock No:

WPIEA2007248

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

33

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