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Macroprudential Stress Testing of Credit Risk : A Practical Approach for Policy Makers

Buncic, Daniel; Melecky, Martin
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
26.42%
Drawing on the lessons from the global financial crisis and especially from its impact on the banking systems of Eastern Europe, the paper proposes a new practical approach to macroprudential stress testing. The proposed approach incorporates: (i) macroeconomic stress scenarios generated from both a country specific statistical model and historical cross-country crises experience; (ii) indirect credit risk due to foreign currency exposures of unhedged borrowers; (iii) varying underwriting practices across banks and their asset classes based on their relative aggressiveness of lending; (iv) higher correlations between the probability of default and the loss given default during stress periods; (v) a negative effect of lending concentration and residual loan maturity on unexpected losses; and (vi) the use of an economic risk weighted capital adequacy ratio as the relevant outcome indicator to measure the resilience of banks to materializing credit risk. The authors apply the proposed approach to a set of Eastern European banks and discuss the results.

Macroprudential Stress-Testing Practices of Central Banks in Central and South Eastern Europe : An Overview and Challenges Ahead

Melecky, Martin; Podpiera, Anca Maria
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
26.39%
Stress tests are the main practical tools of macroprudential oversight. This paper reviews the stress-testing practices of central banks in Central and South Eastern Europe (CSEECBs) and outlines the challenges in the area of stress testing going forward. The authors discuss good practice and the applied approaches by CSEECBs focusing on the main components of a typical macroprudential stress test, i.e. constructing the baseline and stress scenarios, mapping macroeconomic scenarios and microeconomic factors to risk factors, calculating risk exposures to different risk indicators, and estimating outcome indicators to inform macroprudential policy. The main challenges for the CSEECBs going forward involve needed improvements in data reliability, consideration of quantitative microprudential indicators in macroprudential stress tests, explicit incorporation of dynamics in stress tests to include reaction functions of banks and macroprudential policy, institutionalization of macroprudential policy responses to alarming stress-test results...

Financial Sector Assessment : Bulgaria

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
36.31%
This Financial Sector Assessment (FSA) summarizes the Financial Sector Assessment Program (FSAP) findings for Bulgaria, and reports on the actions of the government and the Bulgarian National Bank (BNB) to date in response to the FSAP recommendations. The FSAP mission visited Sofia during the period October 29 to November 14, 2001. The Bulgaria FSAP took place after five years of aggressive financial reforms in response to the deep economic and financial crisis of 1996-97. After the collapse of the banking system and establishment of the Currency Board Arrangement (CBA) in July 1997, the government and the BNB pursued structural and institutional reforms in both the enterprise and banking sectors, including the privatization of about 85 percent of the banking system assets, mainly to foreign financial institutions, and the upgrading of banking supervision capabilities at the BNB. The FSAP mission occurred at a time when the banking system had stabilized, but financial intermediation remained low compared to the more advanced transition economies. In addition to the assessments of compliance with standards and codes...

Financial Sector Assessment : Armenia

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
26.36%
The Armenian financial system is quite small, with the assets of the banking system (by far the largest component) accounting for only 15 percent of gross domestic product (GDP). The banking sector has not yet reached the level of consolidation and sophistication of the more advanced transition economies, and intermediation costs are high. The results of the stress tests show that the banking system is significantly exposed to a combination of credit and foreign exchange rate risks, but only moderately exposed to interest rate risks. The legal framework governing the financial sector in Armenia is reasonably sound and comprehensive, but decisions by the Central Bank of Armenia (CBA) to withdraw banking licenses and or to initiate bankruptcy proceedings against banks have been successfully appealed in the courts. The authorities have agreed that the law on joint-stock companies should be replaced as soon as possible, and supplemented by a law on limited liability companies. Many of the Basel core principles are largely complied with...

Financial Sector Assessment : Poland

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
26.31%
The principal objectives of this financial sector assessment were to assist the authorities in identifying potential vulnerabilities in the Polish financial system that could have macroeconomic consequences, to suggest measures to reduce these risks, and to outline development needs in the system and strategies to address these concerns. The purpose of this note is to provide a summary of the main findings of the mission, together with the policy priorities identified. The issues facing the Polish financial sector are mostly of development rather than stability nature. Poland has made significant reforms in its financial sector over the last decade, with an acceleration of the restructuring of its banking system in the last three years. Poland has completed the larger part of the transition-related reform agenda in the financial sector. While the overall stability of the financial sector does not appear to be a concern at the moment, enhanced oversight of risk management systems of financial institutions and improvements in crisis prevention and management procedures are necessary.

Financial Sector Assessment : Moldova

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
26.31%
The Financial Sector Assessment Program (FSAP) team produced an Aide Memoire and the following three detailed reports that were reviewed by and delivered to the authorities: 1) technical notes; 2) assessment of compliance with standards and codes; and 3) detailed bank-by-bank stress tests. The Anti-Money Laundering and Combating the Financing of Terrorism (AML/CFT) section of the report was based on the report of an International Monetary Fund (IMF) technical assistance mission undertaken in April 2004. Although Moldova is the poorest country in Europe, measured by per capita Gross Domestic Product (GDP), the country has achieved some success in building up the framework of a functioning market economy, especially in the banking sector. In addition to the underlying structural weaknesses, there are several potential macroeconomic problems that increase the vulnerability of the financial system. These include: a) the direct financing of the state budget by the central bank against the background of the weak fiscal and external situation; b) dependency on remittances; and c) dollarization...

Options for Financing Lifelong Learning

Palacios, Miguel
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
26.31%
How should lifelong learning be financed? The author attempts to answer the question by creating a framework for analyzing different education financing mechanisms in light of particular characteristics of lifelong learning. The framework compares the different financing alternatives on four dimensions: (1) who ultimately pays for the education, (2) who finances its immediate costs, (3) how payments are made, and (4) who collects the payments. The author uses specific characteristics of lifelong learning to determine which among the financing alternatives are most useful. The characteristics are that the individual should decide what and where to study, carry a significant part of the financial burden, and be encouraged to continue learning through all life stages. The author analyzes the financing alternatives according to who ultimately pays for the education. Hence, the alternatives are classified either as cost-recovery or cost-subsidization alternatives. Cost-recovery alternatives include traditional loans...

Bulgaria Detailed Assessment of Observance

International Monetary Fund; World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Relatório
EN_US
Relevância na Pesquisa
26.31%
This assessment of the current state of the implementation of the Basel core principles (BCP) for effective banking supervision in Bulgaria has been completed as a stand-alone report on the observance of standards and codes undertaken by the international monetary fund (IMF) and the World Bank during March of 2015 at the request of the Bulgarian authorities. It reflects the regulatory and supervisory framework in place as of the date of the completion of the assessment. The Bulgarian National Bank (BNB) has an internal governance structure which, by vesting the majority of the powers of supervision in the Deputy Governor for banking supervision, exposes the supervisory function to risks. Under the BNB’s legal structure, supervision and enforcement is dissociated from the Governing Council, and the Governing Council has no right to compel transparency of decision making or to impose a framework to ensure consistency in the use of the enforcement regime. There are material concerns that the BNB is too resource constrained to deliver effective minimum levels of supervision. Despite a broad range of supervisory powers...

Bulgaria Financial Sector Assessment Program; Detailed Assessment of Observance--Basel Core Principles for Effective Banking Supervision

International Monetary Fund; World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Report; Economic & Sector Work :: Financial Sector Assessment Program; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
26.31%
This assessment of the current state of the implementation of the Basel core principles (BCP) for effective banking supervision in Bulgaria has been completed as a stand-alone report on the observance of standards and codes undertaken by the international monetary fund (IMF) and the World Bank during March of 2015 at the request of the Bulgarian authorities. It reflects the regulatory and supervisory framework in place as of the date of the completion of the assessment. The Bulgarian National Bank (BNB) has an internal governance structure which, by vesting the majority of the powers of supervision in the Deputy Governor for banking supervision, exposes the supervisory function to risks. Under the BNB’s legal structure, supervision and enforcement is dissociated from the Governing Council, and the Governing Council has no right to compel transparency of decision making or to impose a framework to ensure consistency in the use of the enforcement regime. There are material concerns that the BNB is too resource constrained to deliver effective minimum levels of supervision. Despite a broad range of supervisory powers...

Kyrgyz Republic : Access to Financial Services Policy Note

World Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Economic & Sector Work :: Policy Note; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
26.36%
The purpose of this paper is to report on the level of access to formal financial services in the Kyrgyz Republic, assess the key obstacles to improving access, and make recommendations to overcome these obstacles. The paper is organized as follows. Sections II to IV examine the supply of financial services. Specifically, section II presents a profile of financial intermediation by banks, focusing their supply of financial services, particularly lending and deposits. Section III presents a profile of lending by Aiyl Bank, a specialized bank with a limited license, which is mandated to lend for agriculture. Section IV presents a profile of lending by non-bank financial institutions (NBFIs), including microfinance organizations (MFOs) and credit unions. Section V examines the demand side for financial services, drawing on enterprise surveys to assess firms' perceptions of their access to finance. Section VI presents a brief analysis of the impact of the events of April 2010 on access to finance. Section VII discusses key obstacles in increasing access to finance from banks and NBFIs. Section VIII concludes with policy recommendations that derive from the preceding analysis.

Thailand - Social and Structural Review : Beyond the Crisis - Structural Reform for Stable Growth

World Bank
Fonte: Washington, DC Publicador: Washington, DC
ENGLISH; EN_US
Relevância na Pesquisa
26.14%
Following the East Asian financial crisis, the Bank's involvement in Thailand intensified, enabling a multifaceted stabilization, and structural reform dialogue, which deepened the economic, financial, and sector knowledge of the country. The study benefits from this analytical work, and provides an overview on the ongoing policy dialogue, regarding short- and medium-term reform, through a number of instruments. To promote longer-term growth, the country embarked on a twin strategy of macroeconomic stabilization, and structural reform. Although its flexible labor market, and support mechanisms diminished the crisis' impact on unemployment, and poverty, compared to other countries in the region, this ability to moderate the impact of the economic crisis, could adversely impact a prolonged crisis. The study examines steps to strengthen public sector social programs, and institutional capacity, envisaging coherent poverty support programs in a timely manner, while speeding fiscal stimulus effects, and, monitoring poverty through reliable information...

Insolvency and Creditor Rights Systems : Czech Republic

Johnson, Gordon W.
Fonte: World Bank: Washington, DC Publicador: World Bank: Washington, DC
Tipo: Economic & Sector Work :: Insolvency Assessment (ROSC); Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
25.93%
This report assesses the Czech Republic's insolvency and creditor rights systems pursuant to a joint International Monetary Fund-World Bank program to observe compliance with international standards and codes (ROSC) in areas pivotal to a country's financial sector stability and market integrity. This particular assessment is based on the World Bank Principles and Guidelines for Effective Insolvency and Creditor Rights Systems (Principles), and reviews compliance in four key areas: (i) creditor rights (including secured transactions) and enforcement procedures; (ii) the legal framework for corporate insolvency; (iii) the regulatory framework to implement the insolvency system, and (iv) the enabling framework for credit risk management and informal corporate workouts. These systems constitute an essential cornerstone of commercial confidence and the bedrock for sound credit management and resolution. The conclusions in this assessment are based on a review of the Bankruptcy and Composition Act, the laws dealing with the creation...

Slovak Republic : Insolvency and Creditor Rights Systems

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Insolvency Assessment (ROSC); Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
26.14%
The assessment team interviewed a cross section of country stakeholders regarding the effectiveness of the legal infrastructure, and its implementation supporting debtor-creditor relationships, corporate insolvency and credit risk management, and resolution practices, including among others, members of the Inter-Agency Commission for the preparation of a new insolvency law, and members of the drafting team for the new collateral law; and, various professionals serving as trustees, executors, lawyers and accountants also provided their input. The conclusions in this assessment are based largely on the above interviews, a review of applicable legislation, data and information, various reports prepared by the Bank between 1999-2001, and other reports or analyses pertaining to the areas assessed, including the project on the new collateral legislation, and registration system for pledges (charges). Some laws unavailable in English at the time were discussed in a number of meetings with institutions, and professionals in the public...

Financial Sector Assessment Program Update : Republic of Poland - Credit, Growth, and Financial Stability

World Bank; International Monetary Fund
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Economic & Sector Work :: Financial Sector Assessment Program (FSAP); Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
36.45%
Two main issues at the interface between economic growth and financial stability are germane to this year's article four consultation and the Financial Sector Assessment Program (FSAP) update: the first is why the recent pace of financial catching-up has been so much slower in Poland than in its regional peers, and whether this might hamper Poland's long-term economic prospects; and the second question is how significant the prudential risks associated with rapid growth in housing loans are. The chapter is organized as follows: section II.B discusses credit developments in the last decade and factors driving these developments and assesses implications for economic growth. Section II.C examines reasons for rapid growth of foreign currency lending and implications for financial stability. Section II.D (and appendix) review cross-country experiences with policy responses to rapid credit growth of foreign currency credit and discuss recent policy measures taken in Poland. Section II.E concludes the chapter.

An Essay on Economic Reforms and Social Change in China

Lindbeck, Assar
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
26.14%
The author applies a systems-oriented "holistic" approach to China's radical economic reforms during the past quarter of a century. He characterizes China's economic reforms in terms of a multidimensional classification of economic systems. When looking at the economic consequences of China's change of economic system, he deals with both the impressive growth performance and its economic costs. The author also studies the consequences of the economic reforms for the previous social arrangements in the country, which were tied to individual work units-agriculture communes, collective firms, and state-owned enterprises. He continues with the social development during the reform period, reflecting a complex mix of social advances, mainly in terms of poverty reduction, and regresses for large population groups in terms of income security and human services, such as education and, in particular, health care. Next, the author discusses China's future policy options in the social field, whereby he draws heavily on relevant experiences in industrial countries over the years. The future options are classified into three broad categories: policies influencing the level and distribution of factor income, income transfers including social insurance...

Financial Sector Assessment : Republic of Kazakhstan

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Financial Sector Assessment Program (FSAP)
ENGLISH
Relevância na Pesquisa
26.39%
The Kazakhstan financial sector remains dominated by domestic commercial banks. The banking sector is largely domestically owned, private, and relatively concentrated, with the largest five banks accounting for 78 percent of total banking assets. The share of foreign banks has increased to about 15 percent of total banking assets after some recent acquisitions. The stress testing included single factor sensibility and scenario analysis and focused on the potential impacts of the two main risks being faced by the banking system, liquidity and credit risks. The exercise looked into the potential impact of: (i) the ongoing liquidity crunch and worsening external funding conditions; and (ii) asset and collateral quality deterioration, particularly for construction, real estate, and consumer lending. Some progress has been achieved in strengthening the prudential framework and improving bank governance. However, there is a need to move towards risk-based supervision with more attention to banks' use of risk management systems and internal controls...

Differentiation and Articulation in Tertiary Education Systems : A Study of Twelve African Countries; Differenciation et articulation dans les systemes d'enseignement superieur en Afrique : une etude de douze pays Africains

Ng'ethe, Njuguna; Subotzky, George; Afeti, George
Fonte: Washington, DC : World Bank Publicador: Washington, DC : World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: Publication
ENGLISH; EN_US
Relevância na Pesquisa
26.14%
This study strives to sketch an initial map of the extent and nature of institutional and program differentiation within African systems of tertiary education. In doing so, it also seeks to chart the patterns of articulation that have emerged or been consciously put in place between the different institutional types (such as public universities, private universities, polytechnics, training colleges). The analysis of tertiary education differentiation and articulation is based on field visits to a dozen selected African countries. Its purpose is to improve general understanding of this under-researched but strategically important technical aspect of African higher education at a time when it is becoming an important aspect of education policy. African countries display far more differentiation than articulation within their tertiary education systems. Their systems are quite diverse and can be classified as unitary, binary, trinary, semi-differentiated or fully differentiated, depending upon the number of different institutional types that comprise the tertiary system. In general...

Slovak Republic : Development Policy Review, Volume 2. Main Report

World Bank
Fonte: Washington, DC Publicador: Washington, DC
ENGLISH; EN_US
Relevância na Pesquisa
25.93%
Although the unsustainably high external current account, and fiscal deficits may be financed with the country's capital account surplus (twenty percent of GDP), such situation is not likely to last. The country's policy impact on the real exchange rate, undermines the employability of large segments of the population, which will ultimately hamper growth. The study proposes an agenda on key issues, such as curtailing enterprise subsidies, and other guarantee payments, redirecting, rather than expanding, existing expenditure programs to meet the eligibility criteria for structural funds financing. In addition, further increasing the retirement age, would put public pensions on a sustainable footing, and avoid the massive fiscal deficits the demographic transition is bringing, and, postponing the revenue reduction (from 38 percent of GDP in 2000 to a projected 35 percent in 2002, to a target of 33 percent of GDP in 2004) until such time as the expected cutback in expenditure has actually materialized, should be part of the development agenda. The tax burden should be balanced away from payroll taxes...

Banks, firms, bad debts and bankruptcy in Hungary 1991-4

Bonin, J. P.; Schaffer, M. E.
Fonte: Centre for Economic Performance, London School of Economics and Political Science Publicador: Centre for Economic Performance, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /04/1995 EN; EN
Relevância na Pesquisa
26.14%
The paper examines Hungary''s experience with banking and bankruptcy reform in the period 1992-94. The first part of the paper uses enterprise-level data to show that in 1992, the same year in which the amount of classified loans in the state-owned commercial banks grew enormously, the proportion of total bank credit held by highly-unprofitable firms hardly changed. The inference from this is that the rapid growth of bad debt in 1992 was not the result of a "flow problem" (new bad lending) but rather represented the emergence of an inherited "stock problem" (pre-existing loans to inherited troubled clients). The paper then considers Hungary''s 1992 bankruptcy reform, and in particular the novel "automatic trigger" which required firms to file for bankruptcy if they had a payable of any size, owed to anybody, overdue 90 days or more. The paper argues that the bankruptcy experiment was flawed on two counts. First, one of the key motivations for introducing the automatic trigger - a perceived problem with financial discipline and with interenterprise credit in particular - was largely unfounded. Second, the automatic trigger experiment was costly because the impact on firms which were forced to file for bankruptcy led to chains of disrupted trade relations which rippled through the economy. Evidence from a 1994 survey of 200 manufacturing firms shows that a majority of the surveyed firms had been involved in bankruptcies as creditors...

Student loans : towards a new public/private mix

Barr, Nicholas
Fonte: London School of Economics and Political Science Research Publicador: London School of Economics and Political Science Research
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /07/1997 EN; EN
Relevância na Pesquisa
26.14%
This paper discusses how to construct student loans to ensure that, for the most part, they count as private spending. Though the specifics relate to the finance of higher education, the issue has much wider ramifications for flexible combinations of public and private activity, for example in financing public transport, paying for infrastructure, and the like. The opening section explains the issue, section 2 justifies the specific loan proposal and section 3 discusses ways of ensuring that the scheme is classified as private.