Suchergebnisse

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Collateral plays a central role in monetary policy. In recent years, its importance has increased as uncollateralised inter-bank borrowing has gradually been replaced by collateralised central bank lending. This has in turn affected collateral availability and the need for high-quality assets. The European Central Bank has reacted to this development by creating a series of different measures to broaden collateral availability, including changing the eligibility rules (e.g. reducing rating thresholds for certain asset classes) or extending the eligible assets (e.g. allowing national central banks to accept bank loans as collateral). In the context of these developments, this article assesses and comments on various aspects of the Eurosystem collateral policy and overall framework. In particular, it examines the economic implications of the current ECB collateral policy for asset allocation and relative asset price developments from a cross-country perspective.

In this paper, we describe the results for the section "Stress Testing Methodology forKazakh Banking System" which is part of the "Development of an Early Warning Systemfor Kazakhstan" project. The participating Kazakh institutions are the National Bank ofKazakhstan (NBRK), the Financial Supervisory Agency (FSA) and the National AnalyticalCentre of the Government and the National Bank of Kazakhstan (NAC). In this section,we apply different methodologies for developing stress testing tools for the Kazakhbanking system: the "bottom-up" and "top-down" approaches. The "bottom-up" approachis based on questionnaires we have transmitted to Kazakh banks asking them to calculatetheir own risk positions under stress. The collected results and the analyses show thatbanks tend to underestimate the decline in real estate prices and to overestimate currencydevaluation. In the "top-down" approach, we apply methodologies for portfolio andmacro stress tests to raw data collected by FSA and estimate the impact of the externalmacroeconomic shocks on the expected losses of financial institutions. In the portfoliostress test, the change in the expected losses under stress ranges between 34 percent and86 percent relative to the unconditional expected losses. In the macro stress test, we findan average change of 26 percent in the ratio of bad loans to total loans under stressscenario 1 and an average change of 80 percent under scenario 2 relative to the baselinescenario.