Macroprudential Stress-Testing Practices of Central Banks in Central and Southeastern Europe: Comparison and Challenges Ahead

Melecký, Martin; Podpiera, Anca Maria

doi:10.2753/ree1540-496x480407

Cited by 15 publications

(10 citation statements)

References 5 publications

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“…Other studies argue that macroeconomic dynamics have an important additional (and independent) contribution, while micro information is considered the most important determinant of loan default (Love and Zicchino, 2006;Melecký and Podpiera, 2012). The authors argue that the distinctive features of the banking sector and the policy choices of each bank, such as ownership structure, prudential regulation of capital or their investment policy are expected to influence the evolution of NPLs Researches focused on CEE countries mostly stress that macroeconomic variables are the main determinants of credit risk at the aggregated level.…”

Section: Literature Reviewmentioning

confidence: 99%

Effect of Macroeconomic Determinants on Non-performing Loans in Central and Eastern European Countries

Szarowská

2018

IJMEF

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The aim of the paper is to examine and quantify impact of macroeconomic determinants on non-performing loans (NPLs) in 11 selected Central and Eastern European (CEE) countries in the period 1999-2015. The empirical evidence is based on aggregate annual panel data collected from the Bluenomics. Panel regression with fixed effects analysis identified unemployment as the most important macroeconomic factor for NPLs-the relation between unemployment rate and NPLs is proportional. Next, results confirm negative influence of inflation, economic growth and exchange rate on NPLs. Impact of lending interest rate is positive and in line with expectation. Effect of crisis on NPLs is very strong and important as well. Impact of macro-variables is the strongest with a time lag 1 year.

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Section: Literature Reviewmentioning

confidence: 99%

Effect of Macroeconomic Determinants on Non-performing Loans in Central and Eastern European Countries

Szarowská

2018

IJMEF

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“…Aghghaleh et al (2014), Mohd et al (2015) highlight in Malaysian banks greed- a personal will of the employee and peer pressure pushes the workforce to misappropriation of assets and misreporting. Protiviti Risk and Business Consulting-Internal (2011), Melecky and Podpiera (2012) highlights in Italian banks that fraud originates from the human heart under societal peer pressures and the same aggravate due to self-motivation of employees ones they know system loopholes. Bhasin (2016), Khanna and Arora (2009) examined in Indian banks that employee commits frauds under financial stress, poor salaries, peer pressure and difficulty maintaining lifestyle work as a push factor to perpetrate frauds.…”

Section: Literature Reviewmentioning

confidence: 99%

Bank’s battle against insider frauds ignitors and mitigators: an emerging nation experience

Roy

Basu

2021

JFM

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Purpose Banks are exposed to many challenges to name a few i.e. growing market competition, political environment, market forces of demand and supply, technological changes, frauds and poor management. The banking sector devasted experiences of fraud have impacted all facets of the Banking, Financial Services and Insurance. In continuation, this study aims to revolve around themes of different types of frauds, especially insider frauds that have gained mainstream attention in recent major value fraud events with prominent Indian banks. This study will identify the types and drivers of insider frauds. Design/methodology/approach The methodology opted for the study is through confidential primary survey and focused group discussion with risk officers of banks who are associated with Indian banks for more than three years, further to understand the relation between type of Insider frauds and originating drivers were paired based on the principal component analysis. Findings Finally, the paper concludes with the conceptual mitigation framework for different types of insider fraud and driver pairs within the scope of this paper. This paper thought will support policymakers of the Indian banking system to create a more robust environment within the banking system via timely detection of frauds so that up to an extent it can be squared before it appears. Originality/value The study is innovative in the area of banks’ internal fraud management, where original data collected through a primary survey contributes to the conclusion of fraud management for various Indian banks.

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“…Their research also showed that the strengthening of individual bank stability obtained via size restrictions is accompanied by a reduction of the contribution to systemic risk for banks which are relatively large compared to the domestic economy. Melecky and Podpiera (2012) and later Hristev (2014) examined stress-test practices of central banks from Central, Eastern and Southeastern European (CESEE) countries. They outlined lessons for the main components of the macroprudential stress-test process and showed that there is no universal way for carrying out stress testing because the very process is dependent on many country specific variables.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Stability and Exposure of Croatian Bank System to Non-Credit Risks

Wittine

Vuk

2016

BER

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Macroprudential Stress-Testing Practices of Central Banks in Central and Southeastern Europe: Comparison and Challenges Ahead

Cited by 15 publications

References 5 publications

Effect of Macroeconomic Determinants on Non-performing Loans in Central and Eastern European Countries

Effect of Macroeconomic Determinants on Non-performing Loans in Central and Eastern European Countries

Bank’s battle against insider frauds ignitors and mitigators: an emerging nation experience

Analysis of Stability and Exposure of Croatian Bank System to Non-Credit Risks

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