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Europe > Latvia, Republic of

You are looking at 1 - 10 of 11 items for :

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  • Financial risk management x
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Cover IMF Working Papers
Micro-Assessment of Macroprudential Borrower-Based Measures in Lithuania
Mantas Dirma
and
Jaunius Karmelavičius
Despite having introduced borrower-based measures (BBM), Lithuania's housing and mortgage markets were booming during the low-interest-rate period, casting doubt on the macroprudential toolkit's ability to contain excessive mortgage growth. This paper assesses the adequacy of BBMs’ parametrization in Lithuania. We do so by building a novel lifetime expected credit loss framework that is founded on actual loan-level default and household income data. We show that the BBM package effectively contains mortgage credit risk and that housing loans are more resilient to stress than in the preregulatory era. Our BBM limit calibration exercise reveals that (1) in the low-rate environment, income-based measures could have been tighter; and (2) borrowers taking out secondary mortgages rightly are and should be required to pledge a higher down payment.
Keywords:
macroprudential policy; borrower-based measures; LTV; mortgage credit risk; lifetime expected loss; probability of default.; calibration exercise; BBM package; modeling mortgage risk; Lithuania's housing market; Mortgages; Loans; Credit risk; Housing prices; Macroprudential policy instruments; Europe; Baltics; Global
Cover IMF Staff Country Reports
Euro Area Policies: Financial Sector Assessment Program-Technical Note-Detailed Assessment of Observance of Basel Core Principles for Effective Banking Supervision
International Monetary Fund. Monetary and Capital Markets Department
The SSM (SSM) has made a solid start. Set up a little over three years ago, the SSM has developed into a coherent banking supervision mechanism operating across the 19 Euro Area Member States. Banking supervision at the European Central Bank (ECB) is underpinned by a clear mandate and independence from government or industry interference in individual supervisory decisions. Its well-defined supervisory methodology and processes—complemented by committed staff—have laid the foundations for more forward-looking, pre-emptive, and evenhanded supervision. This is a noteworthy achievement for the Euro Area.
Keywords:
ISCR; CR; ECB banking supervision; risk management; credit institution; CRD IV; management body; business strategy; central bank; senior management; financial market; risk profile; Bank supervision; Credit; Credit risk; Operational risk; Market risk; Global
Cover IMF Research Bulletin
IMF Research Bulletin, March 2014
International Monetary Fund
The Research Summaries in the March 2014 Research Bulletin focus on efficiency of health expenditure (Francesco Grigoli and Javier Kapsoli) and employment growth in European Union countries (Bas B. Bakker and Li Zeng). The Q&A article looks at “Seven Questions on Financial Interconnectedness” (Co-Pierre Georg and Camelia Minoiu). The Research Bulletin also includes a listing of IMF Working Papers, Staff Discussion Notes, and Recommended Readings from the IMF Bookstore. Information on the IMF Economic Review—the research journal of the IMF—is also provided.
Keywords:
IRB; IMF research bulletin; bulletin; research; IMF bookstore; research journal; Thomson Reuters journal citation; IMF research; journal of the International Monetary Fund; Employment; Health care spending; Financial contagion; Expenditure efficiency; Global; Asia and Pacific; Western Hemisphere; Middle East and Central Asia; Europe; Africa
Cover Policy Papers
2011 Triennial Surveillance Review - Staff Background Studies
International Monetary Fund
This paper evaluates the IMF’s exchange rate analysis since the 2008 TSR. It focuses on the evolution of methods, the quality of the IMF‘s multilateral and bilateral exchange rate analysis, the evenhandedness and transparency of this analysis, and the need to improve the coverage and integration of external stability assessments.
Keywords:
PP; exchange rate; country; Asian LICs; CGER; CGER method; VE-LIC spillover; exchange rate assessment; VE-LIC exercise; VE-LIC framework; country authorities; surveillance work; LIC surveillance; Financial sector; Exchange rate assessments; Exchange rates; Exchange rate analysis; Fiscal consolidation; Global; Europe; Middle East and Central Asia; Western Europe; Baltics
Cover IMF Working Papers
A New Index of Currency Mismatch and Systemic Risk
Mr. Romain Ranciere
,
Aaron Tornell
, and
Mr. Athanasios Vamvakidis
This paper constructs a new measure of currency mismatch in the banking sector that controls for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they lend to borrowers that will not be able to repay in the event of a sharp depreciation. Such systemic risk taking is not captured by indicators that are based only on banks’ balance sheet data. The new measure is constructed for 10 emerging European economies and for a broader sample that includes 19 additional emerging economies, for the period 1998 - 2008. Comparisons with previous currency mismatch measures that do not adjust for unhedged foreign currency borrowing illustrate the advantages of the new approach. In particular, the new measure flagged the indirect currency mismatch vulnerabilities that were building up in a number of emerging economies before the recent global crisis. Measuring currency mismatch more accurately can help country authorities in their efforts to address vulnerabilities at the right time, avoiding hurting growth prospects.
Keywords:
WP; currency; currency mismatch; foreign currency; bank; loan
Cover IMF Staff Country Reports
Republic of Estonia: Financial System Stability Assessment
International Monetary Fund
This paper presents key findings of the Financial System Stability Assessment of the Republic of Estonia. The Estonian financial sector is highly concentrated and foreign owned. Financial indicators suggest a sound banking sector, and show particular strength in asset quality and earnings. The paper reveals that the Estonian banking sector has significant vulnerabilities from its real-estate lending. The rapid expansion of the banking sector has been funded, to a large extent, by short-term foreign borrowing from parent banks, making Estonia vulnerable to a disruption in international financial markets.
Keywords:
ISCR; CR; insolvent bank; bank need ELA.; BoE staff; bank license; exchange rate; parent bank; requiring bank; resolution technique; sensitivity analysis; foreign exchange; mortgage exposure; bank need ELA; credit risk; financial asset; bank supervision; Credit; Commercial banks; Loans; Stress testing; Nonperforming loans; Baltics; Global
Cover IMF Working Papers
Decomposing Financial Risks and Vulnerabilities in Eastern Europe
Mr. Rupert D Worrell
,
Andrea M. Maechler
, and
Ms. Srobona Mitra
This paper assesses how various types of financial risk such as credit risk, market risk, and liquidity risk affect banking stability in the ten countries that joined the European Union most recently, and eight neighboring countries. It also examines how the quality of supervisory standards may have mitigated the vulnerabilities arising from these risk factors. Using panel data, the study finds substantial variation in the impacts of financial risks, the macroeconomic environment, and supervisory standards on banks' risk profile across different country clusters. Credit quality is of general concern especially in circumstances where credit growth is accelerating.
Keywords:
WP; bank; risk; exchange rate
Cover IMF Working Papers
Assessing and Managing Rapid Credit Growth and the Role of Supervisory and Prudential Policies
Ceyla Pazarbasioglu
,
Miss Gudrun Johnsen
,
Mr. Paul Louis Ceriel Hilbers
, and
Ms. Inci Ötker
This paper reviews trends in bank lending to the private sector, with a particular focus on Central and Eastern European countries, and finds that rapid growth of private sector credit continues to be a key challenge for most of these countries. The paper discusses possible implications for economic and financial stability and the policy options available to counter and reduce these risks. It argues that the authorities will need to focus on the implications for both the macro economy and the financial system and, depending on their assessment, may need a comprehensive policy response comprising a mix of macro and prudential policies. In particular where there are limitations to the effective use of monetary and fiscal measures, supervisory and prudential policy responses will have a key role in addressing financial stability concerns.
Keywords:
WP; credit growth; CEE country; credit boom; interest rate; private sector; financial stability; supervisory and prudential policies; lending boom; loan portfolio; boom episode; rate spread; credit demand; credit quality; composition of credit; credit growth process; boom period; credit culture; Credit; Credit booms; Bank credit; Loans; Credit risk; Eastern Europe
Cover Guidelines for Foreign Exchange Reserve Management
Guidelines for Foreign Exchange Reserve Management
Accompanying Document and Case Studies
International Monetary Fund

Abstract

This accompanying document to the Guidelines for Foreign Exchange Reserve Management, which the IMF published in 2004, presents case studies prepared by reserve management entities in 20 countries. These sample case studies illustrate how a range of countries from around the world, at different stages of economic and financial development and institutional structure, have developed their capacity in reserve management in the areas covered by the Guidelines. The various strategies adopted by the countries, which are based on the country-specific policy environment, offer useful insights and suggestions to countries seeking to strengthen their policy frameworks for reserve management.

Keywords:
M&G; portfolio; reserve; risk; market; ST debt; securities lending; portfolio management statistics; ratio of reserve; credit card ABS; portfolio manager; Reserves management; Currencies; International reserves; Market risk; Liquidity; Global; Europe; East Asia; liquidity portfolio; reserves portfolio; country case studies; currency risk; Credit risk
Cover Finance & Development
Finances & Développement, juin 2001
International Monetary Fund. External Relations Dept.
Pour les dernières idées sur le système financier international, la politique monétaire, le développement économique, la lutte contre la pauvreté et d’autres questions importantes, abonnez-vous à Finances & Développement (F&D). Ce trimestriel attrayant présente des analyses approfondies sur ces thèmes et d'autres sujets, rédigées par les membres des services du FMI ainsi que par des experts de renommée internationale. Les articles sont écrits pour les non-spécialistes qui souhaitent enrichir leur compréhension des rouages de l'économie mondiale et des politiques et activités du FMI.
Keywords:
FD; F&D; country; IMF financing; capital flow; exchange rate; productivity