Using stress testing methodology in evaluating banking institution’s exposure to risk

In order to correctly estimate the unpredictable effects on their transaction portfolios, the banks developed stress testing methods which turned out to be a very important tool in the bank supervision process. Moreover, the supervision authorities started using stress-testing methods for evaluating systemic risk and for determining the adequacy degree of capital in the banking sector. Taking into account the importance of these simulations, the present paper presents methodologies with which stress testing methods could be implemented by banks as well as their role in the management of credit risk, market risk and liquidity risk while also meeting the requirements imposed by the Basel II accord. By means of a case study we have simulated several scenarios in which the inter-bank market interest rate was varied, quantifying its impact on bank revenues as well as on the market value of their portfolios.stress testing, credit risk, market risk, liquidity risk, capital adequacy, Basel II Accord

Productivity clustering and growth in Central and Eastern Europe

This article uses a non-linear time-varying model to test productivity convergence in 10 emerging countries within Central and Eastern Europe. The results show that the convergence algorithm has rejected the null hypothesis of convergence for all countries in most of the sectors. Also, we found evidence that the productivity clusters for total economy and other sectors are very different in terms of number and countries. Additionally, even if the productivity gaps in the region have been reduced, we still notice significant disparities between countries. The clustering algorithm shows countries which have a high productivity growth in some sectors and a low productivity growth in others. This reveals the prevalence of idiosyncratic factors in productivity determinants. Baltic countries are catching up, while other countries such as Bulgaria are underperformers.21 Halama

MONETARY POLICY MANAGEMENT WITHIN THE POST-CRISIS CONTEXT

By taking into consideration that any macroeconomic administration activity it is either compulsory or necessary to be oriented for the obtaining of a complex system of optimum results, the post-crisis context become strictly correlated to the crisis one; this is mean that the management of the post-crisis programs is structural correlated to the management of the crisis ones towards the assurance of the sustainability being understood in all directions of the society life. The main aspect of the present paper is the aspect of the development needs of the management capacity of the macroeconomic policies system, among of the monetary policy is one of the components which has the same value and importance like any other component. Referring to the actual macroeconomic context, which is stronger influenced by the complexity of the economic relations that the crisis phenomena, the macroeconomic policies system must be associated to a level of thinking more closely to the complexity level already mentioned. In the same time, a more correct idea is that the actual economic crises, having different effects associated to the differences between the national macroeconomic systems, is a correct reply of the real economy for the insufficient management capacity of the macroeconomic policies systems.financial stability, macroeconomic policies, equilibrium, sustainability, crisis