Financial Stability Report 11

Downloads

• Financial Stability Report 11 (2006) (PDF, 2.8 MB) June 2006.

Studies and Analyses

• Growing Financial Market Volatility (PDF, 148 kB) Financial Stability Report 11 (6/2006) en Jun 15, 2006, 12:00:00 AM

• Robust International Economy in a More Volatile Financial Environment (PDF, 500 kB) Financial Stability Report 11 (6/2006) en Jun 15, 2006, 12:00:00 AM

• Good Financial Position of the Real Economy Sectors (PDF, 538 kB) Financial Stability Report 11 (6/2006) en Jun 15, 2006, 12:00:00 AM

• Austrian Financial Intermediaries’ Business Develops Well (PDF, 541 kB) Financial Stability Report 11 (6/2006) en Jun 15, 2006, 12:00:00 AM

• Main Features of Recent Banking Sector Developments in Selected Southeastern European Countries (PDF, 316 kB) Backé, Reininger. Backé, Reininger, Walko – Financial Stability Report 11 (6/2006) The purpose of this paper is to provide a comparative stock-taking exercise of recent banking sector developments in four current EU candidate countries (CC-4), namely the two acceding countries Bulgaria and Romania and the two negotiating candidates Croatia and Turkey. The paper finds that a strong increase in foreign liabilities allowed boosting domestic lending in particular to households. At the same time, banks’ credit risk that results from nonbanks’ foreign exchange exposure has significantly increased. Although in recent years (1) banks’ profitability has increased, (2) their share of nonperforming assets has declined and (3) their capital adequacy ratios can currently be considered as still sufficiently high (despite the recent domestic credit expansion), considerable risks to macroeconomic and macrofinancial stability may arise if foreign liabilities and domestic credit growth continue to increase at such a rapid pace in the future. en Banks G21, P34 Jun 15, 2006, 12:00:00 AM

• Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems (PDF, 1.5 MB) Boss, Krenn, Puhr, Summer. Boss, Krenn, Puhr, Summer – Financial Stability Report 11 (6/2006) In 2002 the Oesterreichische Nationalbank (OeNB) launched in parallel several projects to develop modern tools for systemic financial stability analysis, off-site banking supervision and supervisory data analysis. In these projects the OeNB’s expertise in financial analysis and research was combined with expertise from the Austrian Financial Market Authority (FMA) and from academia. Systemic Risk Monitor (SRM) is part of this effort. SRM is a model to analyze banking supervision data and data from the Major Loans Register collected at the OeNB in an integrated quantitative risk management framework to assess systemic risk in the Austrian banking system at a quarterly frequency. SRM is also used to perform regular stress testing exercises. This paper gives an overview of the general ideas used by SRM and shows some of its applications to a recent Austrian dataset. en Stress Testing, Banks, Financial Stability G24 Jun 15, 2006, 12:00:00 AM

• Operational Risk and Contagion in the Austrian Large-Value Payment System ARTIS (PDF, 323 kB) Elsenhuber, Puhr, Schmitz. Schmitz, Puhr, Moshammer, Hausmann, Elsenhuber – Financial Stability Report 11 (6/2006) The objective of this paper is to quantify the contagion effect of an operational incident occurring at one ARTIS participant’s site on the payment activity of the other ARTIS participants. We used model simulations to focus on operational problems occurring at one of the participants, not an operational failure of the ARTIS platform itself. The scenarios are designed according to an ex-ante estimation of potential risk concentrations based on actual data for the sample period (Schmitz et al., 2006). The main conclusion from the simulations was that the contagion effect in ARTIS is low on condition that the existing business continuity arrangements prove effective. However, this is a very restrictive assumption. Without the use of business continuity arrangements or if they turn out to be not fully effective, the contagion effect on the smooth functioning of the payment system was substantial in all three scenarios. In contrast to the most common approach described in the literature, we used actual (instead of simulated) liquidity data to study the contagion effect at the individual bank level as well as at the aggregate level of unsettled payments. A non-negligible number of banks failed to settle payments in all three scenarios. The paper also provides results on two features of large-value payment systems that have hitherto gone unstudied in the literature: the stop-sending rule and debit authorization. en Payment Systems, Operational Risk, Financial Stability E50, G10 Jun 15, 2006, 12:00:00 AM

• Annex of Tables (PDF, 349 kB) Financial Stability Report 11 (6/2006) en Jun 15, 2006, 12:00:00 AM