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Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results

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Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results Michael Boss, This paper presents the methodology, scenarios and results of the stress tests conducted for Gerhard Fenz, the update of Austria’s Financial Sector Assessment Program (FSAP) in 2007. The focus of the Gerald Krenn, paper lies in particular on the following two macroeconomic stress scenarios: (a) a regional Johannes Pann, shock in Central, Eastern and Southeastern Europe hitting Austrian banks through their large Claus Puhr, exposure in the region, and (b) a global downturn in economic activity causing a deterioration Thomas Scheiber, of Austrian banks’ domestic loan portfolios, whereby in the second scenario, contagion risk Stefan W. Schmitz, within the Austrian interbank market was also taken into account. Stress test calculations Martin Schneider were performed by the OeNB for all Austrian banks (top-down approach) as well as by the six 1 and Eva Ubl largest Austrian banking groups for their respective exposure (bottom-up approach). The pa- per describes the methodologies for scenario construction and the stress tests themselves and then discusses the scenarios as well as the stress test results in detail, including a comparison of the two approaches. Finally, the paper presents the results of additional sensitivity stress tests for credit risk emanating from foreign currency lending, for the most important catego- ries of market risk and for liquidity risk. Overall, the update of Austria’s FSAP 2007 confirmed the results of previous stress testing exercises, in particular for the large Austrian banking groups that show considerable shock resistance mainly as a result of their generally sound capital buffers and high profitability. JEL classification: G10, G21, F23 Keywords: Financial stability, stress testing, FSAP Introduction underwent an assessment under the The recent turmoil triggered by ten- program in November 2003 (FSAP sions in the U.S. subprime mortgage 2003), followed by an update in No- market is only the latest instance of fi- vember 2007 (FSAP 2007). This paper nancial markets disruptions of the past describes the methodologies, scenarios decades that revealed vulnerabilities of and aggregate results of the stress tests the global financial system and the conducted for the Austrian banking threat financial crises can pose to the system in the course of the FSAP real economy. In 1999, the Interna- 2007.4 tional Monetary Fund (IMF) initiated The FSAP 2007 represents the most the Financial Sector Assessment Pro- recent effort of the OeNB in advancing gram (FSAP) in response to another its stress testing capabilities, which crisis, the Asian crisis, seeking i.a. “to have been under development since the identify the strengths and vulnerabili- late 1990s. The first projects were de- ties of a country’s financial system.”2 veloped in the context of market risk5 Stress testing is a key instrument in and were followed by credit risk mod- achieving this goal and therefore forms els allowing for simple macroeconomic an integral part of each FSAP.3 Austria stress tests.6 The FSAP 2003 not only 1 The authors would like to thank the two referees and the Austrian Financial Market Authority, in particular Jürgen Bauer, for their valuable input. Special thanks go to Alexander Tieman and the other IMF mission team members for the professional support before, during and after the FSAP mission. 2 Refereed by: For further details on FSAPs see: www.imf.org/external/np/fsap/fsap.asp. Mathias Drehmann, 3 See Blaschke et al. (2001) for an early and Cˇ ihák (2007) for a recent overview of FSAP stress tests. BIS, 4 See Boss et al. (2004) for a description of the stress tests developed for the FSAP 2003. Markus S. Schwaiger, 5 See OeNB (1999) and Krenn (2001) for early examples. OeNB 6 See Kalirai and Scheicher (2002) and Boss (2002). 68 FINANCIAL STABILITY REPORT 15 Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results gave a fresh impetus to the OeNB’s tems, and the results were in turn col- stress testing operations, but also lected and evaluated by the OeNB. helped institutionally integrate such The remainder of this paper is tests, which led i.a. to the semiannual structured as follows: section 1 gives a publication of stress testing results in brief overview of the scope of the the OeNB’s Financial Stability Report. FSAP 2007 stress tests including risk In 2006, the project “Systemic Risk categories, the part of the banking sys- Monitor” (SRM), a software tool to tem covered, and the database used. quantitatively assess the main compo- Sections 2 to 4 cover the macro stress nents of systemic risk in the Austrian tests, i.e. their methodology, the two banking system,7 was successfully rolled scenarios and the results for the BU and out and has since been used for quar- the TD approaches. Section 5 describes terly reassessments of financial stabil- sensitivity analyses for foreign currency ity. Given the significant exposure of lending for the most important catego- Austrian banks to Central, Eastern and ries of market risk and for liquidity risk. Southeastern Europe (CESEE), a sepa- Finally, section 6 provides the main rate stress testing tool was implemented conclusions of the FSAP 2007, includ- to assess associated credit risk.8 ing directions and challenges for future For the FSAP 2007, most of the stress test research at the OeNB. OeNB’s stress testing tools were fur- ther refined. As in the case of the 1 Scope FSAP 2003, macroeconomic forecast 1.1 Risk Categories models were used to develop macro- The following risk categories were economic stress scenarios over a three- taken into account in the FSAP 2007 year horizon. Substantial progress stress tests: (a) credit risk, including its could be achieved with model integra- main components, namely domestic tion. This refers in particular to the credit risk, credit risk stemming from stress testing tool for the CESEE credit Austrian banks’ CESEE exposure and exposure of Austrian banks, to the the credit risk of foreign currency loans model linking macroeconomic vari- triggered by foreign exchange rate fluc- ables to domestic probabilities of de- tuations; (b) market risk, covering in- fault (PDs), and to the adaption of ex- terest rate risk, foreign exchange rate isting stress testing tools to simulate risk, equity price risk and volatility the impact of the stress scenario over a risk; (c) contagion risk within the Aus- three-year horizon. In contrast to the trian interbank market, and (d) liquid- FSAP 2003, when all stress tests were ity risk. calculated in a top-down (TD) manner, Two different methodological ap- i.e. centrally by the OeNB on the basis proaches were applied: (a) macro stress of reported data, the 2007 stress tests tests that take into account various risk also actively incorporated the six larg- factors simultaneously and base the sce- est Austrian banks. In this bottom- nario construction on macroeconomic up (BU) approach, banks ran calcula- modeling, and (b) sensitivity analyses, tions for given stress scenarios based on which look at the effects of changes in their internal risk management sys- one single risk factor or a limited set of 7 A detailed description of the SRM including some results can be found in Boss et al. (2006a). For an overview see Boss et al. (2006b). The scientific foundation is given in Elsinger et al. (2006). 8 See Boss et al. (2007). FINANCIAL STABILITY REPORT 15 69 Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results risk factors while all other risk factors dated data. Additionally, results were are assumed to be constant. As credit accumulated for the entire banking sys- risk constitutes the main source of risk tem (702 banking groups and/or banks) in the Austrian banking sector, with and aggregates by size and by banking credit risk in the CESEE region and do- sectors: The subgroups by size were: mestic credit risk being its most impor- (a) big banks: the six largest banks tant components, these risk categories as specified above; (b) large banks: were specially addressed through macro 22 banks with total assets above EUR 2 stress tests. By contrast, the credit risk billion, excluding the big six; (c) me- of foreign currency loans, the most im- dium-sized banks: 39 banks with total portant categories of market risks and assets above EUR 500 million but be- liquidity risk were incorporated in sen- low EUR 2 billion; and (d) small banks: sitivity analyses. 635 banks with total assets below EUR 500 million. The subgroups by 1.2 Banking System sectors were: (a) 34 joint stock banks, 1.2.1 Bottom-Up Exercise (b) 8 savings banks, (c) 5 state mortgage In line with common practice of FSAP banks, (d) 561 Raiffeisen credit coop- reviews in other developed countries, eratives, (e) 64 Volksbank credit coop- the IMF proposed to apply the TD as eratives, and (f) 30 special purpose well as the BU approach for the FSAP banks.9 2007 in Austria. Accordingly, the OeNB asked the six largest – in terms 1.3 Data Set of total assets – Austrian banking In order to ensure comparability and groups to run stress tests as well. The timeliness of results, the latest report- sample consisted of: Bank Austria, ing data available to the OeNB served BAWAG P.S.K., Erste Bank, Raiffeisen as a reference for the FSAP 2007. Zentralbank Österreich, Österrei- Hence, data of June 30, 2007 were chische Volksbank, and Hypo Group used under the BU as well as the TD Alpe Adria. These groups were chosen approaches for both the macro stress as they represent not only the systemi- tests and the sensitivity analyses. TD cally most important Austrian banking stress tests were based on banks’ regu- groups but also the ones most active in lar reports to the OeNB, including the CESEE.
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