Lietuvos bankų sistemos makroekonominis testavimas nepalankiausiomis sąlygomis: mokumo vertinimas

LTŠiame straipsnyje pristatoma bankų makroekonominio testavimo nepalankiausiomis sąlygomis metodika, šiuo metu taikoma Lietuvos banke. Dėmesys sutelkiamas į bankų sistemos mokumo testavimą, t. y. bankų kapitalo pakankamumo esant nepalankiam makroekonominiam scenarijui vertinimą. Išsamiai aprašoma testavimo nepalankiausiomis sąlygomis sąranga, aptariami testuojant taikomi ekonometriniai modeliai, padedantys susieti makroekonominių kintamųjų kaitą su bankų kredito rizikos ir pelningumo kaita. Taikoma metodika iliustruojama pateikiant apibendrintus bankų sistemos hipotetinio testavimo nepalankiausiomis sąlygomis rezultatus.

ENMacroeconomic stress testing is one of the tools to assess the resilience of the banking system to various risks that may arise in the short and medium term. The global financial crisis has spurred the development of stress test methods and their applications. In this paper we present macro-economic stress testing methodology used at the Bank of Lithuania (BoL) to test the resilience of the banking sector. In this paper we describe the main components of stress testing. First we briefly introduce stress testing methodology. Then we review the macroeconomic scenario design. The main focus, however, is on development and econometric estimation of so-called satellite models, which help link the dynamics of macro variables to credit risk and the profitability of a bank. It is worth noting that this paper focuses on testing bank solvency, i.e. assessing the potential insolvency of the bank due to regulatory capital shortages in the adverse macroeconomic scenario. The presented methodology is used to run a top-down stress test. This means that the models and assumptions used are the same for all banks, which makes the results comparable across different banks. On the other hand, such an approach does not fully capture the specific aspects of individual banks.The current stress testing methodology, used by the Bank of Lithuania, is in line with the literature on stress testing and is capable of producing robust and meaningful results. The testing period is two years with quarterly modeling of the main income statement and balance sheet items. The methodology used by the BoL is illustrated by presenting aggregate results from a hypothetical stress test of the banking system. Finally, it should be noted that further development of the stress testing methodology is also needed. Possible improvements could include second-round effects on the economy or contagion risk. Moreover, more sophisticated econometric methods could be used to assess the non-linear relationship between macroeconomic variables and bank ratios, which is common during the times of economic and financial distress.