STRES TEST U FUNKCIJI PROCENE RIZIKA U BANKARSKOM SEKTORU ZEMALJA JUGOISTOČNE EVROPE

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1 originalni naučni rad dr Lidija Barjaktarović Univerzitet Singidunum Beograd UDK :336.71(4-12) STRES TEST U FUNKCIJI PROCENE RIZIKA U BANKARSKOM SEKTORU ZEMALJA JUGOISTOČNE EVROPE Rad je deo projekta Unapređenje konkurentnosti Srbije u procesu pristupanja Evropskoj uniji, br , u vremenskom trajanju od , finansiran iz sredstava Ministarstva nauke i tehnološkog razvoja Republike Srbije. Maja Dimić Fakultet za menadžment, Sremski Karlovci paunovic@famns.edu.rs Rezime mr Dejan Ječmenica Wiener Stadtische osiguranje, Beograd d.jecmenica@wiener.co.rs Rad primljen: Odobren za štampu: Poslovni ambijent u kome bankarski sektor obavlja aktivnosti postao je veoma dinamičan. Da bi se poslovanje efikasno obavljalo, banke donose politiku upravljanja rizicima kao polazni akt koji treba bliže da definiše prepoznavanje i kontrolu ukupne izloženosti banke svim vrstama rizika. Za očuvanje finansijske stabilnosti široko je rasprostranjeno testiranje otpornosti na stres, koje analizira mogućnosti pojedinih finansijskih isntitucija ili celokupnog finansijskog sistema u cilju apsorbovanja različitih vrsta šokova (rizika). Kao analitička metoda, stres test pruža kvantitativnu procenu ranjivosti bankarskog portfolija, koja se najčešće vezuje za neočekivane, ali stvarne ekonomske događaje i šokove. Cilj stres testova je da na univerzalan i sistematizovan način ukaže na potencijalne probleme unutar bankarskog sistema i time omogući državi i učesnicima na finansijskom tržištu da blagovremeno reaguju. Kolaps američkog finansijskog tržišta negativno je uticao na globalni ekonomski i finansijski sistem. Analiza otpornosti na stres, kao instrument za procenu rizika dobija na važnosti u krugovima međunarodnih finansijskih institucija i regulatornih tela sa izbijanjem svetske ekonomske krize. Ključne reči: stres testovi, bankarski sektor, rizici u bankarskom sektoru, jugoistočna Evropa JEL: G21, G01, P34 30

2 UDC :336.71(4-12) STRESS TESTING IN THE FUNCTION OF RISK ASSESSMENT IN THE BANKING SECTORS OF SOUTHEAST EUROPE (SEE) COUNTRIES original scientific paper Lidija Barjaktarović, PhD Singidunum University, Belgrade Maja Dimić Graduate School of Management, Sremski Karlovci This paper is part of the project Enhancing Serbia s Competitiveness in the Process of Joining the European Union, no , in the period , financed by the Ministry of Science and Technological Development of the Republic of Serbia. Dejan Ječmenica, MSc Wiener Stadtische Insurance, Beograd d.jecmenica@wiener.co.rs Summary 31 The business environment in which banking sectors function has become rather dynamic. In order to conduct their operations efficiently, banks adopt a risk management policy as the basic document closely defining detection and control of total bank s exposure to all types of risk. A method widely used for the purpose of preserving financial stability is testing resilience to stress, which analyses the possibilities of individual financial institutions or the overall financial system, in terms of absorbing various types of shocks (risks). As an analytical method, stress test provides a quantitative assessment of a banking portfolio s vulnerability, mostly related to unexpected, but realistic economic events and shocks. The objective of stress tests is to indicate, in a universal and systematized manner, potential problems within the banking system, thereby enabling the government and financial market participants to respond in a timely fashion. The collapse of the US financial market has exerted an adverse impact on the global economic and financial system. The analysis of stress tolerance, as a risk assessment instrument, has gained importance in the circles of international financial institutions and regulatory bodies since the outbreak of the global economic crisis. Keywords: stress testing, banking sector, banking sector risks, Southeast Europe JEL: G21, G01, P34 Paper received: Approved for publishing:

3 Uvod Kako bismo dobili sveobuhvatan pregled izloženosti riziku bankarskog sektora potrebno je primeniti nekoliko tehnika merenja rizika. Osnovne metode kontrole i merenja rizika možemo podeliti na statičke i dinamičke. Dok statički model merenja rizika ispituje pojave u trenutku njihovog uočavanja i rezultate izražava isključivo kvanitativno, dinamički model meri izloženost riziku u budućim vremenskim intervalima. Postoji niz metoda za merenje i kontrolu rizika: metoda osetljivosti (Sensitivity), metoda varijabilnosti (Volatility), gep analiza (Gap), analiza scenarija (metoda simulacije), prosečno vreme dospeća (Duration), metoda vrednosti pod rizikom (Value at Risk) i stres test analiza, kojoj će biti posvećena posebna pažnja u ovom radu. Testiranje otpornosti na stres ubraja se u grupu statičkih modela merenja rizika i obuhvata niz metodologija, od onih najjedostavnijih (kao što je analiza osetljivosti) do onih nešto kompeksnijih koje uključuju procene uticaja ekonomskih šokova na poslovne rezultate finansijskih institucija (prihod ili kapital) (Drehmann, 2008). Pretpostavka ove metode je da rizikom upravlja poznati statistički model koji se zasniva na istorijskim pokazateljima koji predstavljaju dobru osnovu za predviđanje razvoja budućih rizika. Kao analitička metoda, stres test pruža kvantitativnu procenu ranjivosti bankarskog portfolija, koja se najčešće vezuje za neočekivane, ali stvarne ekonomske događaje i šokove. Drugim rečima, stres testovi predstavljaju mehanizam simuliranja različitih scenarija negativnih dešavanja na tržištu i procenjuju sposobnost banaka da ih izdrže bez neophodne dokapitalizacije. Ova metoda se primenjuje u bankarskom sektoru kao alat za upravljanje rizicima (Fender, Gibson, Mosser, 2001:1) i kao takva daje odgovore na sledeća pitanja: Da li finansijske institucije, usled uticaja negativnih ekonomskih faktora i šokova mogu nesmetano da nastave sa poslovanjem? Da li su finansijske institucije u mogućnosti da odgovore na svoje obaveze u roku dospeća (utvrđivanje nivoa likvidnosti i solventnosti)? Stres test treba da uključi identifikaciju mogućih događaja ili budućih promena privrednih varijabli koje bi mogle nepovoljno da utiču na kreditnu izloženost banke i njenu procenu da podnese takve promene (Bank for International Settlements, 2000:17). Cilj stres testova je da na univerzalan i sistematizovan način ukaže na potencijalne probleme unutar finansijskog sistema i time omogući državi i učesnicima na finansijskom tržištu da blagovremeno reaguju. Dreman navodi tri osnovna cilja stres testova (Drehmann, 2008:65): 1. ocenjivanje nivoa rizika i utvrđivanje slabosti portfolija; 2. pružanje pomoći u procesu planiranja i donošenja odluka; 3. prikazivanje jasnije slike stanja u finansijskim institucijama. Definicija stres testa Sa izbijanjem svetske ekonomske krize, stres testovi dobijaju na važnosti u krugovima međunarodnih finansijskih institucija i regulatornih tela. U tom smislu primena stres testova, kao dopunskog alata u procesu upravljanja rizikom i planiranja kapitala, postala je rasprostranjena kako interno (ad hoc u bankarskom sektoru), tako i na nivou finansijskog sistema jedne države. U tom kontekstu, stres test analiza ima važnu ulogu prilikom (Bank for International Settlements, 2009:7): 1. pružanja unapred orijentisanih procena rizika; 2. prevazilaženja ograničenja modela i istorijskih podataka; 3. pružanja podrške eksternoj i internoj komunikaciji; 4. unosa podataka za postupke planiranja kapitala i nivoa likvidnosti; 5. pružanja informacija o otpornosti banaka na rizik; 6. procesa planiranja smanjenja rizika kao i postupanja u kriznim situacijama. U hipotetički kreiranim uslovima, uz pomoć stres testa proverava se nivo kapitala, novčanih tokova, depozitnog, kreditnog potencijala bankarskog sektora i definiše se potrebni nivo likvidnosti i solventnosti finansijskih institucija u kriznim situacijama. Analiza može da obuhvata relativno jednostavne pretpostavke o jednoj ili više finansijskih, strukturnih ili ekonomskih varijabli, ali i upotrebu složenijih, 32

4 Introduction In order to get a comprehensive review of a banking sector s risk exposure, several risk measurement techniques need to be implemented. The main risk control and measurement methods can be divided into static and dynamic ones. Whereas the static risk measurement model examines events as they are detected, expressing its results exclusively in quantitative terms, the dynamic model measures risk exposure in the future time intervals. There is a series of methods for risk measurement and control, such as: sensitivity analysis, volatility analysis, gap analysis, scenario analysis (simulation method), average maturity (duration) analysis, value at risk (VaR), and stress test analysis, which we will focus on in this paper. Testing stress tolerance falls into the category of static risk measurement models, and includes a series of methodologies, ranging from the simplest ones (such as sensitivity analysis) to those more complex ones, involving the assessments of economic shocks impact on the business results of financial institutions (earnings or capital) (Drehmann, 2008). This method is based on the assumption that risk is managed by a familiar statistical model based on historical indicators, as a sound basis for anticipating the future risks development. As an analytical method, stress test provides a quantitative assessment of a banking portfolio s vulnerability, mostly related to unexpected, but realistic economic events and shocks. In other words, stress tests represent a mechanism of simulating various scenarios of negative market events, thereby assessing the capability of banks to survive without requiring additional capitalization. This method is used in the banking sector as a risk management tool (Fender, Gibson, Mosser, 2011: 1), and, as such, provides the answers to the following questions: Can financial institutions, despite the impact of negative economic factors and shocks, continue with their business operations unhindered? Are financial institutions in the position to honor their liabilities upon maturity (determining the levels of liquidity and solvency)? Stress test should include identifying potential events or future changes in economic variables that might adversely impact a bank s credit exposure and its assessment about enduring these changes (Bank for International Settlements, 2000: 17). The objective of stress tests is to indicate, in a universal and systematized manner, potential problems within the banking system, thereby enabling the government and financial market participants to respond in a timely fashion. Drehmann (2008: 65) stipulates three basic objectives of stress tests: 1. Assessing the risk level and detecting the portfolio s weaknesses; 2. Providing assistance in the process of planning and decision-making; 3. Providing a clearer insight into the position of financial institutions. Stress Test Definition Since the outbreak of the global economic crisis, stress tests have gained importance in the circles of international financial institutions and regulatory bodies. To this end, the implementation of stress tests, as supplementary tools in the process of risk management and capital planning, has become widespread both internally (ad hoc in the banking sector) and at the level of a country s financial system. In this context, stress test analysis plays an important role in (Bank for International Settlements, 2009: 7): 1. Providing future-looking assessments of risk; 2. Overcoming limitations of models and historical data; 3. Supporting internal and external communication; 4. Feeding into capital and liquidity planning procedures; 5. Providing information about a bank s risk tolerance; 6. Facilitating risk mitigation and contingency plans. Under hypothetically generated conditions, stress tests help check the levels of capital, cash flows, deposit and credit potential of the banking sector, at the same time defining the required liquidity and solvency levels for financial institutions in emergency situations. The analysis can include relative simple assumptions about one or several financial, structural or economic variables, but it can 33

5 visoko sofisticiranih finansijskih modela. Proces merenja izloženosti riziku sastoji se od sledećih koraka: 1. odabir varijabli i utvrđivanje vremenskog intervala - U procesu implementacije stres testa posebnu pažnju treba posvetiti definisanju varijabli (naročito tržišnih) koje će biti analizirane. Pored kamatne stope, najčešće testirane varijable su berzanski indeks, devizni kurs i vrednost nekretnina. Stres testovi se mogu sprovoditi na mesečnom nivou, kvartalno, polugodišnje ili jednom u godinu dana. 2. definisanje ekonomskog šoka - Nepravilno definisani ekonomski šokovi i njihova jačina delovanja mogu dovesti do besmislenih i neadekvatnih rezultata. Imajući u vidu da stres test otkriva slabosti u ekstremnim uslovima, jačina definisanog šoka trebalo bi da bude slična kao u realnim uslovima. 3. testiranje postavljenog modela - Stres testovi predstavljaju signalizator kriznih kretanja u finansijskim institucijama i korisni su u procesu utvrđivanja limita unutar kojih se definisani tržišni parametri mogu kretati. Ukoliko se zadati limiti, "probiju" potrebno je imati razrađene planove delovanja kako bi se sprečili negativni efekti i gubici. Stres testovi predstavljaju jednu od najaktuelnijih preventivnih tehnika kojima se definiše nivo osetljivosti banaka na promenu makroekonomskih faktora. Ova metoda pruža korisne informacije o finansijskoj stabilnosti bankarskog sektora i procenjuju da li će poslovne banke moći da se izbore sa vanrednim turbulencijama u privredi koje su rezultat neočekivanih oscilacija makroekonomskih faktora (Blaschke i saradnici, 2001:56). Pored toga, testove otpornosti na stres možemo definisati kao tehniku kojom su finansijske institucije u mogućnosti da izmere potencijalnu izloženost negativnim ali mogućim događajima (Bank for International Settlements, 2000:6). Ovakvi događaji nisu česti, štaviše oni se retko pojavljuju, ali ostavljaju snažne negativne posledice kako na mikro tako i na makroekonomski sistem i privredu. Test na stres je tehnika koju koriste menadžeri koji upravljanju rizicima u bankama, ali i supervizori finansijskog sektora kako bi utvrdili stepen ranjivosti (osetljivosti) kako bankarskog tako i celokupnog finansijskog sistema (Jones, Hilbers, Slack, 2004:5). Testiranje otpornosti na stres upozorava top menadžment na negativne, neočekivane ishode prouzrokovane grupom rizika. Test otpornosti na stres je dobar metod za određivanje rizičnog okvira i jednostavna metoda izračunavanja potencijalnog izlaganja ekstremnom gubitku budući da top menadžmentu poslovnih banaka pruža pomoć: pri donošenju odluka u kriznim situacijama; u procesu upravljanja rizikom; u proceni visine kapitala koja bi bila potrebna da apsorbuje gubitke u slučaju velikih ekonomskih šokova. Cilj je postići permanentna poboljšanja u poslovanju, koja rezultiraju odličnim finansijskim i nefinansijskim rezultatima i unapređenim performansama banke (Barjaktarović, Ječmenica, 2011:30). Mikro i makro stres testovi Testovi na stres ispituju da li bankarske institucije kao nosioci finansijskog sistema mogu da se izbore sa neželjenim događajima (šokovima). Predviđeno je da se okvir za finansijsku superviziju zasniva na dva glavna elementa (Marković, Furtula, 2011:90): mikroprudenciona supervizija i makroprudenciona supervizija. Prvi scenario, mikro nivo, treba da identifikuje situaciju koja se javlja kada se banka suočava sa stvarnim ili potencijalnim problemima u poslovanju. Ti problemi mogu biti direktno povezani sa kvalitetom aktive, operativnim problemima, nivoom solventnosti i slično. Sa druge strane, makro stres testovi pretpostavljaju da je ugrožena sigurnost velikog broja finansijskih institucija, koje mogu biti izložene riziku u slučaju nastupanja neočekivanih i negativnih ekonomskih događaja. Osnovni cilj makro analize je pružanje pomoći supervizorima u procesu utvrđivanja ranjivosti finansijskog sektora. Okvir na makro stres testiranje može se opisati na sledeći način (Sorge, 2004:5): 1. vrši se izbor finansijske institucije koja se analizira i definiše se opseg analize; 2. projektuje se scenario makro stres testa: scenario se povezuje sa makroekonomskim pokazateljima kao što su bruto domaći proizvod, kamatne stope, nivo inflacija i slično; 34

6 also resort to using more complex, highly sophisticated financial models. The process of risk exposure measurement implies the following steps: 1. Selecting variables and defining the time interval - In the process of stress test implementation particular attention has to be paid to defining variables (especially the market ones) to be analyzed. In addition to interest rate, most frequently analyzed variables are stock exchange index, foreign exchange rate and real estate value. Stress tests can be conducted on a monthly, quarterly, semiannual or annual basis. 2. Defining the economic shock - Incorrectly defined economic shocks and the power of their impact can lead to absurd and inadequate results. Bearing in mind that a stress test detects the weaknesses under extreme conditions, the impact of the defined shock should be similar to the one under real conditions. 3. Testing the established model - Stress tests signalize the critical movements in financial institutions and are useful in the process of defining limits within which the defined market parameters may oscillate. If the predefined limits are exceeded, it is necessary to have worked-out plans of action, in order to prevent negative effects and losses. Stress tests are one of the most current, preventive techniques defining the banks sensitivity to changes in macroeconomic factors. This method provides useful information on the banking sector s financial stability, and assesses whether commercial banks will be able to face emergency turbulences in the economy, resulting from unexpected oscillations of macroeconomic factors (Blaschke, et al, 2001: 56). Moreover, stress testing can be defined as a technique enabling all financial institutions to measure their potential exposure to negative, yet possible events (Bank for International Settlements, 2000: 6). Such events are not frequent - as a matter of fact, they seldom occur, but they have dire consequences, both for the microeconomic system, and the macroeconomic system and the economy. Stress testing is a technique used by risk managers in banks, but also by financial sector supervisors trying to determine the level of vulnerability (sensitivity) of the banking system and the overall financial system (Jones, Hilbers, Slack, 2004: 5). Testing resilience to stress warns top management against the negative, unexpected outcomes caused by a group of risks. Stress test is a sound method for defining the risk framework, and a simple way to calculate potential exposure to extreme losses, given that it provides assistance to commercial banks top management: In emergency decision-making; In the risk management process; In the assessment of capital required to absorb losses due to the large economic shocks. The goal is to achieve permanent improvements in business, leading to excellent financial and non-financial results and enhanced bank s performance (Barjaktarović, Ječmenica, 2011: 30). Micro and Macro Stress Tests Stress tests examine whether banking institutions, as the pillars of the financial system, are able to survive undesired events (shocks). The financial supervision framework is based on two main elements (Marković, Furtula, 2011: 90) - micro-prudential supervision and macroprudential supervision. The first scenario, i.e. micro-level, should identify a situation which occurs when the bank is facing actual or potential problems in its business operations. These problems may be directly linked to the quality of assets, operational issues, solvency level, etc. On the other hand, macro stress tests assume that the safety of a large number of financial institutions has been jeopardized, so that they might be exposed to risk in case of unexpected and negative economic events. The main goal of a macro analysis is to provide assistance to the supervisors in the process of determining the financial sector s vulnerability. Macro stress testing framework can be described in the following way (Sorge, 2004: 5): 1. Choosing the financial institution to be analyzed and defining the scope of the analysis; 2. Projecting the macro stress testing scenario: the scenario is linked to macroeconomic 35

7 3. kvantitativno se određuje direktni efekat simuliranog scenarija na bilans stanja finansijskog sektora tako što se projektuje uticaj stresa na finansijske indikatore (Financial Soundness Indicators - FSI); 4. dobijeni rezultati se tumače radi utvrđivanja nivoa rizika koji finansijski sistem može da podnese; 5. efekat povratne informacije (na mikro nivou - unutar finansijskog sistema ili na makro nivou - na nivou finansijskog sistema). Metodologija i koraci u procesu primene stres testova Banka za Međunarodno poravnanje (Bank for International Settlements, 2009) utvrđuje korake u procesu testiranja na stres, koji mogu biti prikazani na sledeći način: definisanje vrste: testovi osetljivosti ili scenario testovi utvrđivanje modela: deterministički ili stohastički definisanje podataka i parametara: istorijski ili hipotetički utvrđivanje vremenskog intervala analize: kratkoročna ili digoročna Slika 1: Okvir za makro stres testiranje Izvor: Sorge M. 2004, Stress testing financial system: an overview of current methodologies, BIS working paper No. 165, str. 2 Slika 2: Koraci u sprovođenju stres testova Izvor: BIS, Basel Committee, 2009, Principles for sound stress testing practices and supervision 36

8 indicators like GDP, interest rates, inflation, etc.; 3. Quantitatively determining the direct effect of the simulated scenario on the financial sector s balance sheet, by projecting the impact of stress on Financial Soundness Indicators - FSI; 4. Interpreting the received results in order to determine the level of risk that the financial system can take; 5. Feedback effect (at the micro level - within the financial system, or at the macro level - at the financial system level). Methodology and Steps in the Performance of Stress Testing Bank for International Settlements (2009) stipulates the steps to be taken in the performance of stress testing, which can be presented in the following way: Defining the type: sensitivity tests or scenario tests; Choosing the model: deterministic or stochastic; Defining the data and parameters: historically-based or hypothetical; Choosing the analysis time interval: shortterm or long-term. Figure 1: Macro stress testing framework Defining the scope of the analysis Projecting the macro stress testing scenario Assessment of risk sensitivity Market and credit risk analysis Assessment of risk tolerance Feedback information Source: Sorge M., 2004, Stress testing financial system: an overview of current methodologies, BIS working paper no. 165, pp. 2 Figure 2: Steps in stress tests implementation Stress testing Types Sensitivity testing Models Scenario testing Deterministic Data and indicators Stochastic Historical Long-term Projection Hypothetical Short-term Source: BIS, Basel Committee, 2009, Principles for sound stress testing practices and supervision 37

9 Stres testiranje se može sprovoditi putem analize osetljivosti i scenario (simulacione) analize (Bank for International Settlements, 2009, 7). Analizom osetljivosti moguće je tumačiti pojedinačne parametre stresa, odnosno ulazne podatke koji nisu povezani sa događajima i posledicama u stvarnom svetu. Glavna prednost testova osetljivosti je mogućnost brze procene osetljivosti porfolija na određene faktore rizika (prepoznaje se određena koncentracija rizika), dok je osnovni nedostatak ovog scenarija to što ne analizira više faktora rizika u isto vreme. Scenario ili simulaciona analiza uključuje istovremenu analizu više parametara rizika u definisanim vanrednim (stresnim) okolnostima. Ova analiza je kompleksnija od prethodne, jer u obzir uzima inverznu korelaciju između analiziranih rizika. Primera radi, kreditna aktivnost banaka povećava profitabilnost banke, ali u isto vreme povećava rizik likvidnosti i kreditni rizik. Testovi osetljivosti kao i scenario testovi predmet su analize matematičkih modela: determinističkog i stohastičkog (O Brien, 2009:5). Deterministički modeli su modeli čije se ponašanje može predvideti, u kojima je nivo stanja sistema u potpunosti određen prethodnim stanjem. Kod determinističkog pristupa, mogući scenariji kretanja ekonomskih varijabli su određeni i kontrolisani od strane korisnika modela. Rezultati ovakvih modela isključivo zavise od kvaliteta korišćenih scenarija. Drugim rečima, ako se stvarne varijable modela razlikuju od pretpostavki, realna izloženost banke riziku biće različita od merenog rizika. Sa druge strane, kod stohastičkih modela se ponašanje varijabli ne može unapred predvideti, ali se mogu odrediti verovatnoće promene stanja. Za stohastičke modele je karakteristično slučajno ponašanje, odnosno postojanje slučajnih promenljivih u sistemu. Najčešće korišćena metoda stohastičkog modela je Monte Karlo metoda, koja pokriva širok spektar mogućih vrednosti finansijskih promenljivih, pri čemu se u potpunosti uzimaju u obzir njihove međusobne korelacije (Cvetinović, 2008:77). Nakon definisanja vrste stres testova i odabira metodologije sledi utvrđivanje podatka i pokazatelja koji će biti analizirani. Razlikujemo dva pristupa: istorijski i hipotetički. Istorijski scenariji često su se sprovodili na osnovu značajnog tržišnog događaja iz prošlosti. Prema ovom pristupu određeni događaji desili su se u prošlosti i postoji verovatnoća da će se u budućnosti ponoviti. Istorijski pristup vremenom može postati manje relevantan, jer događaje posmatra istorijski i ne uzima u obzir razvoj finansijskih tržišta, pa testovi otpornosti na stres nisu mogli obuhvatiti rizike novih proizvoda koji su se pojavili sa nastankom krize (Blaschke i saradnici, 2001:35). U tabeli je prikazana lista događaja koja se često koristi u istorijskoj analizi stres testova. Tabela 1: Lista događaja koja se koristi u istorijskoj analizi stres testova Godina Događaj 1973 Prva naftna kriza - OPEC povećao cenu sirove nafte 1979 Druga naftna kriza 1987 Crni ponedeljak - slom američke berze 1991 Zalivski rat - rast cene sirove nafte 1992 Kriza evropskog monetarnog sistema 1995 Tekila kriza - deficit tekućeg računa Meksika 1997 Kriza u istočnoj Aziji 1998 Ruska kriza i propast hedž fonda LTCM (Long Term Capital Management) IX - teroristički napad na Sjedinjene Američke Države Hipotekarna kriza u Sjedinjenim Američkim Državama Izvor: Matz L., Neu P., 2007, Liquidity risk management, Wiley finance, str. 39 Pored istorijskog pristupa moguće je koristiti i hipotetički scenario, koji se zasniva na događajima koji se još uvek nisu desili u stvarnosti. Ovakav pristup, iako fleksibilniji, zbog veze koja postoji između faktora koji se u stvarnosti nisu dogodili, otežava utvrđivanje verovatnoće izloženosti rizicima bankarskog sektora. Prilikom analize stres testova treba u obzir uzeti vremenski horizont koji se posmatra. Za dobijanje pouzdanih rezultata potrebno je izvršiti testiranja stresa kako kratkoročno (do godinu dana), tako i dugoročno (od godinu do pet godina). 38

10 Stress testing can be performed by means of sensitivity analysis and scenario (simulation) analysis (Bank for International Settlements, 2009: 7). By conducting sensitivity analysis it is possible to interpret individual stress parameters, i.e. entry data that are not related to real-world events and consequences. The major advantage of sensitivity tests is the possibility to assess more quickly the portfolio s sensitivity to certain risk factors (a certain concentration of risk is detected), whereas the main drawback of such a scenario is that it does not simultaneously analyze several factors. Scenario or simulation analysis implies a simultaneous analysis of several risk parameters under the defined contingency (stressful) circumstances. This analysis is more complex than the previous one, given that it takes into account the inversed correlation among the analyzed risks. For instance, credit activity of banks increases their profitability, but at the same time increases their liquidity and credit risk. Both sensitivity and scenario tests are subject to mathematical analysis: in the form of deterministic and stochastic models (O Brien, 2009: 5). Deterministic models are those whose behavior can be anticipated, and within which the state of a system is fully determined by its previous state. In a deterministic model, possible scenarios of economic variables movements are fully determined and controlled by the model user. The results of such models exclusively depend on the quality of the used scenarios. In other words, if the real-world variables of the model differ from the assumptions, the bank s real exposure to risk will be different from the measured risk. On the other hand, in stochastic models, the behavior of the variables cannot be anticipated in advance, but the likelihood of their changes can be determined. Stochastic models are characterized by random behavior, i.e. the existence of accidental variables in the system. The most frequently used stochastic model is Monte Carlo analysis, which covers a wide range of potential values of financial variables, with their mutual correlations being fully taken into account (Cvetinović, 2008: 77). After defining the type of stress testing and after choosing the methodology, what follows is the selection of data and indicators to be analyzed. There are two different approaches: historically-based and hypothetical approach. Historical scenarios are often conducted based on a significant market event from the past. According to this approach, certain events occurred in the past and it is likely that they might happen again in the future. Historicallybased approach may become less relevant over time, given that it regards events in historical terms without taking into account financial markets development. Hence, stress tests have been unable to detect the risks of new products which have occurred with the outbreak of the crisis (Blaschke, et al, 2001: 35). The table below contains a list of events which have been frequently used in the historically-based stress test analyses. Table 1: List of events used in the historical stress test analysis Year Event 1973 The first oil crisis - OPEC increased the crude oil prices 1979 The second oil crisis 1987 Black Monday - Collapse of the US stock market 1991 The Gulf War - growth of the crude oil prices 1992 The crisis of the European monetary system 1995 Tequila crisis - Deficit of Mexico s current account 1997 The crisis in East Asia 1998 The Russian crisis and the collapse of the long-term capital management (LTCM) hedge fund /11 - the terrorist attack at the US The subprime crisis in the US Source: Matz L., Neu P., 2007, Liquidity Risk Management, Wiley Finance, pp. 39 In addition to the historically-based approach, it is possible to use a hypothetical scenario as well, based on the events that still have not taken place in reality. Although more flexible, this approach, due to the existing connection among the factors that have not occurred in the real world, makes it more difficult to determine the probability of exposure to the banking sector risks. What also has to be taken into account when conducting a stress test analysis is the observed time horizon. To obtain reliable results, one has to conduct stress testing both in the short term 39

11 Rezultati stres testova bankarskog sistema zemalja jugoistočne Evrope Pre nastupanja svetske ekonomske krize i izbijanja recesije finansijski sistem jugoistočne Evrope se ubrzano razvijao, uvedene su savremene regulative i uspostavljene nove finansijske institucije koje su doprinele održavanju makroekonomske stabilnosti regiona. U poređenju sa privrednim sistemom Evropske unije, finansijsko tržište regiona je nedovoljno razvijeno, visoko rizično, nestabilno i plitko. Svetska ekonomska kriza se preko finansijskih institucija (na prvom mestu banaka) koje su bile prisutne na američkom finansijskom tržištu prelila u Evropu. U uslovima svetske ekonomske krize bankarski sektor kao deo finansijskog sistema, zbog svog smisla postojanja i prirode poslovanja, trebalo bi da amortizuje negativne faktore krize i pokrene ekonomski razvoj jedne zemlje. Budući da je bankarski sektor (prvenstveno hipotekarni krediti i investiciono bankarstvo) bio inicijator i uzročnik nastanka recesije, ne čudi što je upravo ovaj segment finansijskog tržišta najviše bio pogođen negativnim efektima krize. Redom su bankrotirale nemačke, francuske, italijanske, britanske i banke drugih zemalja Evrope (Bošnjak, 2008) koje su prisutne u regionu. U uslovima finansijske krize bankarski sektor je izložen negativnim efektima i pritiscima koji mogu da dovedu do smanjenja nivoa kvaliteta imovine i kapitala banaka. Prvi vidljivi znaci krize u jugoistočnoj Evropi su uočeni u vidu pada likvidnosti i otežanih reformi finansijskih institucija. U prvom talasu krize u regionu su zabeleženi blagi oblici bankarske panike, koji su se manifestovali kroz povlačenje depozita i zaoštravanje uslova kreditiranja. Pored toga, na usporavanje privredne aktivnosti uticalo je i usporavanje kreditne aktivnosti banaka prema privredi i stanovništvu, povećanje troškova stranog finansiranja, jačanje pritiska na devizni kurs i povećanje kreditnog rizika (Bošnjak, 2008:14). Nedostatak kapitala je poskupeo finansijska sredstva, koja su već bila limitirana i time znatno usporio proizvodnju i ekonomski rast. Bankarski sistemi zemalja jugoistočne Evrope imaju najmanje dva zajednička obeležja. Prvo, ulaskom stranih bankarskih grupacija u region povećana je ponuda kredita, ojačana tržišna konkurencija i ubrzan rast ponude kredita. Zapadnoevropske bankarske grupacije su u poslednjih desetak godina u regionu doživele ekspanziju što potvrđuje pokazatelj veličina bankarske aktive koja se nalazi u vlasništvu stranih banaka u odnosu na ukupnu aktivu bankarskog sektora. U prilog ovoj tvrdnji ide činjenica da je oko 70% bankarskog tržišta jugoistočne Evrope pod kontrolom stranih bankarskih grupacija, najviše grčkih i italijanskih. Primera radi, učešće strane aktive u bankarskom sektoru u Albaniji, Bosni i Hercegovini i Hrvatskoj na kraju godine dostiglo je nivo od 75%, dok je u Makedoniji zabeležen udeo od 90% (Bartlett, Prica, 2011:13). Sa početkom svetske ekonomske krize i recesijom primećeno je smanjenje finansijske aktivnosti zapadnoevropskih kreditnih institucija u regionu. Ovaj trend je do danas nastavljen, što je i razumljivo, budući da je broj atraktivnih banaka koje su bile pogodne za preuzimanje smanjen, da je ekonomski rast regiona usporen i da je u finansijskom sektoru prisutan deficit likvidnih sredstava. Druga zajednička karakteristika bankarskih sektora jugoistočne Evrope je snažan pad kreditnih priliva (u uslovima visoke zavisnosti od inostranog kapitala), koji izaziva kontrakciju domaće potrošnje i oštro prilagođavanje tekućeg bilansa plaćanja (Živković, 2011:62). Smanjenje kreditnog potencijala primećeno je u godini u Bosni i Hercegovini, Makedoniji, Hrvatskoj i Rumuniji. U Srbiji je kreditni rast stagnirao na nivou od 10%, što je znatno niže u poređenju sa periodom pre krize. Skorašnja finansijska kriza je prouzrokovala zabrinutost u krugovima finansijskih institucija i banaka i nametnula promene u upravljanju rizicima. Postalo je neophodno razviti nove i promeniti postojeće modele upravljanja rizicima i definisati naprednije koji pružaju rano dijagnostikovanje i upozoravaju na moguće bankrotstvo bankarskog sektora. Jedan od alata koji šalje prve upozoravajuće signale i procenjuje nivo ekonomske otpornosti na postojeće rizike je stres test. U tabeli 2 je dat prikaz odabranih zemalja jugoistočne Evrope, tačnije vremenskog perioda kada su centralne banke ovih zemalja počele sa primenom ove analize. Analiza stres testova bankarskog sektora može se raditi 40

12 (up to one year) and in the long term (from one to five years). Stress Test Results of the Banking Sectors of Southeast Europe Countries Before the outbreak of the global economic crisis and the subsequent recession, the financial system of Southeastern Europe was undergoing accelerated growth, accompanied by newlyintroduced modern regulations and newlyestablished financial institutions, contributing to the maintenance of macroeconomic stability in the region. Compared to the economic system of the European Union, the financial market of this region was underdeveloped, highly risky, unstable and shallow. The global economic crisis, through the financial institutions (banks, in the first place) present in the US financial market, spilled over into Europe. In the conditions of the global economic crisis, the banking sector, as part of the financial system, due to the essence of its existence and the nature of its business, should have amortized the negative factors of the crisis, thereby launching the country s economic development. Given that the banking sector (first and foremost, subprime mortgages and investment banking) was actually the initiator and driver of the recession, it does not come as a surprise that this segment of the financial market was most severely affected by the negative effects of the crisis. One after another, the banks from Germany, France, Italy, Great Britain and other European countries, which were operating in the region, went bankrupt (Bošnjak, 2008). During a financial crisis, a banking sector is exposed to negative effects and pressures which may lead to the reduced quality of banks assets and capital. The first visible signs of the crisis in Southeast Europe were observed in a drop of liquidity and aggravated reforms of financial institutions. In the first wave of the crisis that hit the region, slight forms of bank panic were recorded, manifested in a withdrawal of deposits and stricter borrowing conditions. Moreover, what further impacted the slowing down of economic activity was the decreased lending of banks towards their corporate and retail clients, increased costs of foreign financing, stronger pressures on the FX rate, and higher credit risk (Bošnjak, 2008: 14). The lack of capital increased the costs of financial funds, which had already been limited, thereby considerably slowing down the production and economic growth. Banking systems of the SEE countries have at least two common characteristics. First of all, the entrance of foreign bank groups into the region diversified the offer of loans, strengthened the market competition and accelerated the growth of loans. In the past ten years, bank groups from Western Europe have undergone an expansion in the region, as confirmed by the size of bank assets owned by foreign banks, compared to total assets of the banking sector. Additionally supporting this statement is the fact that about 70% of the SEE banking market is under the control of foreign bank groups, mostly those from Greece and Italy. For instance, the share of foreign assets in the banking sectors of Albania, Bosnia and Herzegovina and Croatia, at the end of 2008 amounted to 75%, whereas the share recorded in Macedonia reached 90% (Bartlett, Prica, 2011: 13). With the outbreak of the global economic crisis and the subsequent recession, it has been observed that the financial activity of West European credit institutions in the region decreased. This trend has continued until the present day, which is only understandable, given a smaller number of attractive banks suitable for acquisition, the slumbering economic growth in the region, and the liquid funds deficit in the financial sector. The second common characteristic of the banking sectors in Southeast Europe is a significant drop of credit inflows (in the times of high dependence on foreign capital), causing the contraction of domestic consumption and sharp adjustments of the current balance of payments (Živković, 2011: 62). The reduction in credit potential was observed in 2009 in Bosnia and Herzegovina, Macedonia, Croatia and Romania. In Serbia credit growth stagnated at the level of 10%, which is considerably lower compared to the pre-crisis period. The recent financial crisis has caused a lot of concern among financial institutions and banks, having imposed certain changes in risk management. It has become necessary to develop new and amend the existing risk management 41

13 mesečno, kvartalno, polugodišnje ili godišnje. Frekventnost analize razlikuje se od zemlje do zemlje: kvartalne analize sprovode se u Bosni i Hercegovini, Bugarskoj, Makedoniji i Crnoj Gori, a polugodišnje u Hrvatskoj, Mađarskoj i Rumuniji (World Bank, 2010). Kao što se može primetiti, Srbija je najkasnije počela da primenjuje stres test analizu u bankarskom sektoru. Prve analize otpornosti na stres u bankarskom sektoru su izvršene u Mađarskoj i Bugarskoj. Regulatori Evropske unije saopštili su da je ranjivost banaka u jugoistočnoj Evropi u padu od juna godine i da su bankarski sistemi regiona ostali relativno likvidni i profitabilni. Ovo potvrđuju rezultati stres testa koji bankarski sistem regiona karakterišu kao stabilan, jer u slučaju pogoršanja ekonomskih uslova ovom finansijskom sektoru ne preti kolaps. Pre nego što je svetska ekonomska kriza pogodila region jugoistočne Evrope, nivo problematičnih kredita (non-performing loans - NPL) kod posmatranih zemalja nije prelazio 5,5% (sa izuzetkom Makedonije). Kada je godine kriza eskalirala došlo je do povećanja problematičnih kredita (tabela 3). Najviše učešće kredita u docnji u godini zabeleženo je u Crnoj Gori, Srbiji i Rumuniji (21%, 16,9% i 11,9% respektivno). Učešće problematičnih kredita u ukupnim kreditima u bankarskim sektorima u regionu nastavilo je sa rastom i u godini što i ne čudi imajući u vidu drugi talas ekonomske krize, iniciran krizom javnog duga, koja trenutno potresa neke od zemalja članica Evropske unije i preti novim ekonomskim šokovima u regionu. Pre nastanka svetske ekonomske krize i prelivanja negativnih efekata na region jugoistočne Evrope, nivo kapitalne adekvatnosti kod većine zemalja regiona bio je iznad 15% (tabela 4). Sa izbijanjem krize, bankarski sektor u regionu uspeva da ostane likvidan i beleži zadovoljavajući nivo kapitalne adekvatnosti (oko 15%). Stopa adekvatnosti u Rumuniji i Mađarskoj je nešto niža, ali je još uvek veća od minimalne dopuštene. Najbolju kapitalnu adekvatnost u uslovima krize održali su domicilni bankarski sektor, Bosna i Hercegovina i Hrvatska. Tabela 2: Početak primene stres testova u zemljama jugoistočne Evrope Država Godina Srbija 2007 Bugarska 2002 BIH 2005 Hrvatska 2004 Makedonija 2003 Rumunija 2003 Mađarska 2000 Crna Gora 2006 Izvor: WB, Macroprudential stresstesting practices of central banks in Central and South Eastern Europe, septembar. 2010, str. 4 Tabela 3: Učešće kredita u docnji u ukupnim kreditima u zemljama jugoistočne Evrope Srbija n. a n. a 11,3 11,3 15,7 16,9 18,8 BIH 5,3 4,0 3,0 3,1 5,9 11,4 11,8 Hrvatska 6,2 5,2 4,8 4,9 7,8 11,2 12,4 Makedonija 15,0 11,2 7,5 6,7 8,9 9,0 n. a Crna Gora 5,3 2,9 3,2 7,2 13,5 21,0 n. a Mađarska n. a n. a 2,3 3,0 5,9 7,8 16,1 Rumunija n. a n. a 1,7 2,8 7,9 11,9 14,1 Izvor: Cocozza E. i saradnici, 2011, The impact of the global crisis in Southeastern Europe, str. 54; Raiffeisen research, 2012, CEE banking sector report Tabela 4: Pokazatelj adekvatnosti kapitala (učešće u rizičnoj aktivi, u %) bankarskog sektora jugoistočne Evrope Srbija 26,0 24,7 27,9 21,9 21,3 19,9 19,7 BIH 17,8 17,7 17,1 16,3 16,1 18,8 19,2 Hrvatska 15,2 14,4 16,9 15,4 16,6 18,8 19,2 Makedonija 21,3 18,3 17,0 16,2 16,4 16,1 16,8 Crna Gora 27,9 21,3 17,1 15,0 15,8 15,9 n. a Mađarska n. a n. a 10,0 11,1 13,1 13,3 13,5 Rumunija n. a n. a 13,8 13,8 14,7 15,0 14,5 Izvor: Cocozza E. i saradnici, 2011, The impact of the global crisis in Southeastern Europe, str. 54; Raiffeisen research, 2012, CEE banking sector report 42

14 models, at the same time defining some more advanced ones, providing early detection and warning against a potential bankruptcy of the banking sector. One of the early warning tools, assessing the economic resilience to the existing risks, is stress testing. Table 2 below presents a list of selected SEE countries and the year in which the central banks of these countries started to implement this analysis. Stress test analysis of a banking sector can be performed on a monthly, quarterly, semiannual or annual basis. The frequency of this analysis varies depending on the country: quarterly analyses are performed in Bosnia and Herzegovina, Bulgaria, Macedonia and Montenegro, whereas Croatia, Hungary and Romania perform these analyses semiannually (World Bank, 2010). As can be observed, Serbia was the last one to start implementing stress test analysis in its banking sector. The first stress test analyses were performed in the banking sectors of Hungary and Bulgaria. The European Union regulators announced that the vulnerability of banks in Southeast Europe had been decreasing since June 2011, and that the banking systems in this region remained relatively liquid and profitable. This was confirmed by stress testing results, characterizing the banking system of the region as stable, given that in case of deteriorating economic conditions this financial sector would not be facing a collapse. Before the global economic crisis had hit the region of Southeast Europe, the level of non-performing loans (NPLs) in the observed countries did not exceed 5.5% (with the exception of Macedonia). In 2009, when the crisis escalated, the non-performing loans increased (Table 3). The largest share of loans in total default in 2010 was recorded in Montenegro, Serbia and Romania (21%, 16.9%, and 11.9%, respectively). The share of non-performing loans in total loans in the banking sectors in the region continued its upward trend in 2011 as well, which is hardly surprising, given the second wave of the economic crisis, initiated by the public debt crisis, currently affecting some of the European Union countries, and threatening to cause new economic shocks in the region. Before the global economic crisis occurred and spilled over its negative effects onto the SEE region, in most countries in the region capital adequacy ratio exceeded 15% (Table 4). After the outbreak of the crisis, the banking sector managed to stay liquid, having recorded satisfactory capital adequacy (about 15%). The capital adequacy ratio was somewhat lower in Romania and Hungary, but still higher than the regulatory minimum. The best capital adequacy during the crisis was recorded by the domicile banking sector, Bosnia and Herzegovina, and Croatia. 43 Table 2: Commencement of stress testing in SEE countries Country Year Serbia 2007 Bulgaria 2002 BAH 2005 Croatia 2004 Macedonia 2003 Romania 2003 Hungary 2000 Montenegro 2006 Source: WB, Macroprudential stresstesting practices of central banks in Central and South Eastern Europe, September 2010, pp. 4 Table 3: Share of loans in total loans default in SEE countries Serbia n. a n. a BAH Croatia Macedonia n. a Montenegro n. a Hungary n. a n. a Romania n. a n. a Source: Cocozza E., et al, 2011, The impact of the global crisis in Southeastern Europe, pp. 54; Raiffeisen research, 2012, CEE Banking sector report Table 4: Capital adequacy ratio (share in risky assets, in %) of the banking sectors of SEE countries Serbia BAH Croatia Macedonia Montenegro n. a Hungary n. a n. a Romania n. a n. a Source: Cocozza E., et al, 2011, The impact of the global crisis in Southeastern Europe, pp. 54; Raiffeisen research, 2012, CEE Banking sector report

15 Stres testovi u domicilnom bankarskom sektoru U toku godine u okviru Bečke inicijative 1, u saradnji sa Međunarodnim monetarnim fondom (MMF), izgrađena je metodologija stres testova koja treba da ukaže na eventualne slabosti i potrebe za prevremenim dokapitalizacijama pod pretpostavljenim izuzetno pesimističkim makroekonomskim scenarijima. Narodna banka Srbije (NBS) je sredinom godine, na osnovu postignutog dogovora iz Beča, u saradnji sa 16 banka sa najvećim tržišnim učešćem u domicilnom bankarskom sistemu, otpočela proces prikupljanja neophodnih informacija za sprovođenje stres testova. Počev od septembra godine Narodna banka Srbije je taj model usvojila kao stalni instrument supervizije koji će biti redovno dopunjavan i dostupan javnosti na uvid (Narodna banka Srbije, 2010:39). Tokom godine stres testovi su razvijeni kroz tri osnovne faze: definisanje i razvoj modela; dijagnostika ispitivanja svih banaka (analiza poslovanja bankarskog sektora); definisanje markroekonomskih pretpostavki pesimističkog scenarija u saradnji sa MMF Narodna banka Srbije je izvela simulaciju dva moguća scenarija: osnovnog i ekstremno negativnog (pesimističnog). Prema prvom scenariju pretpostavlja se nastavak postojećih ekonomskih događaja do kraja godine, dok je drugi scenario pretpostavljao značajno pogoršanje ekonomskih pokazatelja do kraja godine (tabela 5). Tabela 5: Makroekonomski pokazatelji u ekstremno negativnom scenariju (u %) Pokazatelj/Godina Pad BDP 6 3,5 Depresijacija dinara (nominalno izražena) Rast kamatnih stopa 0,1 2 Izvor: NBS Na osnovu prikupljenih podataka, NBS je analizirala direktne efekte simuliranog scenarija: na porast problematičnih kredita (NPL) 2, što bi izazvalo rast rashoda i pad kapitala banaka, direktan uticaj rasta deviznog kursa na revalorizaciju, tj. rast neto rizične aktive (RWA - risk weighted assets) banaka (Fond za razvoj ekonomske nauke, 2009). Nivo problematičnih kredita je na kraju godine u ukupnim kreditima učestvovao sa 19%, što je u poređenju sa krajem godine rast od 2 p. p. Kada reč o strukturi problematičnih kredita, ona se nije značajnije menjala te su tako 2/3 problematičnih kredita činili problematični krediti privrede (javni i privatni sektor), dok sektor stanovništva učestvuje sa 12,3%. Povećanju problematičnih kredita u prethodnoj godini u najvećoj meri doprineo je rast problematičnih kredita pravnih lica koja su u procesu stečaja. Ova pravna lica čine 78,6% ukupnog povećanja problematičnih kredita (Narodna banka Srbije, 2012:12). 1 U cilju stabilizacije finansijskog sektora, Narodna banka Srbije je kroz program Podrška finansijskom sistemu (Financial Sector Support Program- FSSP) uvela dodatne mere poznatije kao Bečka inicijativa. 2 U skladu sa međunarodno prihvaćenom definicijom, pod problematičnim kreditima se podrazumeva stanje ukupnog preostalog duga svakog pojedinačnog kredita (uključujući i iznos docnje): po osnovu koga dužnik kasni sa otplatom glavnice ili kamate 90 i više dana od inicijalnog roka dospeća; po kome je kamata u visini tromesečnog iznosa (i viša) pripisana dugu, kapitalizovana, refinansirana ili je odloženo njeno plaćanje; po osnovu kog dužnik kasni manje od 90 dana, ali je banka procenila da je sposobnost dužnika da otplati dug pogoršana i da je otplata duga u punom iznosu dovedena u pitanje. 44

16 Stress Tests in the Domicile Banking Sector Throughout 2009, within the Vienna Initiative 1, in cooperation with the International Monetary Fund (IMF), a stress testing methodology was developed, with the objective of detecting potential weaknesses and requirements for early additional capitalizations, under the extremely pessimistic, hypothetical macroeconomic scenarios. In mid-2009 the National Bank of Serbia (NBS), based on the agreement reached in Vienna, in cooperation with 16 banks with the largest market share in the domicile banking system, launched the process of collecting information required for stress testing. Starting from September 2009, the National Bank of Serbia adopted this model as a regular instrument of supervision, to be regularly upgraded and available for public insight (National Bank of Serbia, 2010: 39). In 2009 stress tests were developed through three basic stages: Definition and development of the model; Examination of all banks (analysis of the banking sector s operations); Definition of macroeconomic assumptions within the pessimistic scenario, in cooperation with the IMF. The National Bank of Serbia performed the simulation of two potential scenarios: the basic one and the extremely negative (pessimistic) one. According to the first scenario, the current economic events were supposed to continue until the end of 2010, whereas the second scenario assumed considerable deterioration of economic indicators by the end of 2010 (Table 5). Table 5: Macroeconomic indicators in an extremely negative scenario (in %) Indicator/Year Drop of GDP Dinar depreciation (nominally) Interest rates growth Source: NBS Based on the collected data, the NBS analyzed the direct effects of the simulated scenarios: On the growth of non-performing loans (NPLs) 2, which would increase banks expenditures and lower banks capital; And the direct impact of increased FX rates on revalorization, i.e. growth of net risk weighted assets (RWA) in banks (Fund for Economic Sciences Development, 2009). At the end of 2011 the share of nonperforming loans in total loans amounted to 19%, which is, compared to the end of 2010, a growth by 2 percentage points. When it comes to the structure of NPLs, it has not changed considerably, hence 2/3 of non-performing loans were accounted for by corporate NPLs (in the public and private sector), whereas 12.3% were accounted for by the retail sector. What mostly contributed to the growth of NPLs in the past year was the increasing number of NPLs granted to legal entities which went bankrupt. These legal entities account for 78.6% of the total NPLs increase (National Bank of Serbia, 2012: 12). 1 With a view to stabilizing the financial sector, by means of the Financial Sector Support Program (FSSP), the National Bank of Serbia introduced additional measures, also known as the Vienna Initiative. 2 In line with the internationally accepted definition, non-performing loans refer to the position of total outstanding debt of each individual loan (including the defaulted amount): in respect of which the debtor s repayment of principal or interest is 90 or more days overdue; in respect of which the three months worth of interest (or more) has been accrued to debt, capitalized, refinanced or delayed; in respect of which the debtor s repayment is less than 90 days overdue, but the bank has assessed that the debtor s ability to repay the debt has deteriorated and that the full debt repayment has been brought into question. 45