Template-Type: ReDIF-Article 1.0 Author-Name: Judith Eidenberger Author-Name-First: Judith Author-Name-Last: Eidenberger Author-Email: judith.eidenberger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank (OeNB), Financial Markets Analysis and Surveillance Division Author-Name: Vanessa Redak Author-Name-First: Vanessa Author-Name-Last: Redak Author-Email: vanessa.redak@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Who puts our financial system at risk? A methodological approach to identify banks with potential significant negative effects on financial stability Abstract: Since the outbreak of the global financial crisis, a number of regulations have been issued to cope with the too-big-to-fail problem and its devastating effects on financial markets, government budgets and the broader economy in general. The aim of these regulations is to contain the risks stemming from large institutions which potentially jeopardize not only these institutions’ own existence but other institutions and segments of the economy as well. In particular, new legislation in macroprudential supervision and resolution that refers to systemically relevant institutions addresses the too-big-to-fail problem. Still, in practice, it is difficult for supervisory authorities to answer the question which institution may really compromise financial stability. The identification of systemically relevant banks is particularly important for banking systems (like the Austrian) with large numbers of banks, where even medium-sized banks might put stress on the entire financial system. Bringing together macroprudential regulations as well as recovery and resolution planning, this methodological paper aims to contribute to the literature and supervisory practice on the identification of systemically relevant banks. We develop a consistent and comprehensive framework that consists of more than 30 quantitative indicators reflecting four key stability criteria: financial market conditions, economic importance, direct contagion and indirect contagion. A particular challenge in this context is the setting of explicit thresholds for each of these indicators. To resolve this issue, we design a methodological approach to calibrating thresholds for different types of indicators: stress indicators, risk exposure indicators, system share indicators and network indicators. We identify thresholds based on quarterly panel data (from 1999 to 2016) for the Austrian banking sector. One basic assumption of our calibration is the idea of substitutability: If market activities of a failing bank can be absorbed promptly by other market participants, financial stability will not be at risk. As the substitution of bank activities also depends on the current phase of the economic cycle, we account for bust phases by developing stress scenarios. Classification-JEL: G21, G18 Keywords: financial stability, macroprudential supervision, resolution, systemically important banks, thresholds Pages: 57-72 Year: 2019 Issue: Juni 2019 File-URL: https://www.oenb.at/dam/jcr:e1563eb4-986f-499d-a80f-e5146e8a10e9/07_fsr_37%20screen_eidenberger_redak_ubl.pdf File-Format: application/pdf File-Size: 496 kb Handle: RePEc:onb:oenbfs:y:2019:i:Juni 2019:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kerbl Author-Name-First: Stefan Author-Name-Last: Kerbl Author-Email: stefan.kerbl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, On-Site Banking Inspections Division – Large Banks Author-Name: Boris Simunovic Author-Name-First: Boris Author-Name-Last: Simunovic Author-Email: boris.simunovic@oenb.at Author-Name: Andreas Wolf Author-Name-First: Andreas Author-Name-Last: Wolf Author-Email: andreas.wolf@oenb.at Title: Quantifying interest rate risk and the effect of model assumptions behind sight deposits Abstract: Have Austrian banks taken on higher interest rate risks amid the low interest rate environment? According to the interest rate risk statistics, which quantify the effect of the regulatory 200-basis-point interest rate shock, interest rate risk as reported by banks has not risen significantly since the beginning of the low interest rate period. However, in measuring interest rate risk, banks need to rely on model assumptions, especially with regard to the repricing dates
they assume for customer deposits. Harnessing this room for maneuver, banks may compensate for longer fixation periods on the assets side (maturity transformation). In turn, a higher degree of maturity transformation and interest rate sensitivity might not be fully reflected in the reported interest rate risk. Analyzing this room for maneuver, we calculate Austrian banks’ interest rate risk level over time while assuming standardized and conservative repricing dates. Under these conservative repricing dates, a different picture on interest rate risks emerges especially for large banks. We conclude that large banks in Austria have seen a marked increase in maturity
transformation over time, which was mirrored by small and medium-sized banks to a lesser extent. It follows that interest rate risk in the banking book, and its quantification, is now more relevant for evaluating banks’ business models and capital adequacy than was the case before the start of the low interest rate phase. Classification-JEL: G21, G28, G38, E43 Keywords: interest rate risk, maturity transformation, low interest rate environment, risk quantification and management, bank capital Pages: 73-85 Year: 2019 Issue: Juni 2019 File-URL: https://www.oenb.at/dam/jcr:155ed960-df2a-4531-88ac-6f1dec535469/08_fsr_37%20screen_kerbl_simunovic_wolf.pdf File-Format: application/pdf File-Size: 615 kb Handle: RePEc:onb:oenbfs:y:2019:i:Juni 2019:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Katharina Allinger Author-Name-First: Katharina Author-Name-Last: Allinger Author-Email: katharina.allinger@oenb.at Title: European retail payments market integration and fintech: a case study approach Abstract: The segment of retail payments has been among the most affected by technology-enabled innovations in financial markets (fintech). This study looks at the digitalization of retail payments markets in Europe. We develop a framework and collect supportive indicators to discuss the connection between fintech and retail payments market developments. We apply our framework to four small European economies – Sweden, Austria, Estonia and Bulgaria – and discuss what conclusions, if any, can be drawn for the integration of European retail payments markets and fintech from the developments observed in the case study countries. While there are many
channels through which digitalization may facilitate the creation of a single market for retail payments, this study discusses whether fintech might also contribute to stronger retail payments market fragmentation. Classification-JEL: E42, G21, G18, L16, O33 Keywords: payment systems, financial intermediaries, financial regulation, structural change, technological change Pages: 25-39 Year: 2018 Issue: 36 File-URL: https://www.oenb.at/dam/jcr:e6acfc62-1ea5-48c6-8632-19674c359fa7/05_fsr_36_European%20retail%20payments.pdf File-Format: application/pdf File-Size: 270 kb Handle: RePEc:onb:oenbfs:y:2018:i:36:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Petra Bärnthaler Author-Name-First: Petra Author-Name-Last: Bärnthaler Author-Email: petra.baernthaler@oenb.at Author-Name: Helmut Elsinger Author-Name-First: Helmut Author-Name-Last: Elsinger Author-Email: helmut.elsinger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://finance2.bwl.univie.ac.at/members/elsinger/elsinger.htm Author-Workplace-Phone: +43-1-4277 38057 Author-Workplace-Fax: +43-1-4277 38054 Author-Name: Pirmin Fessler Author-Name-First: Pirmin Author-Name-Last: Fessler Author-Email: Pirmin.Fessler@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Elisabeth Woschnagg Author-Name-First: Elisabeth Author-Name-Last: Woschnagg Author-Email: Elisabeth.Woschnagg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Nonperforming exposures of Austrian banks – decomposing aggregate measures Abstract: We analyze bank-level loan data to better understand the development of aggregate nonperforming exposure measures of large Austrian banks. We employ quarterly data from Q3 2014 to Q4 2017 for all 18 commercial banks in Austria that apply the International Financial Reporting Standards as well as for all their foreign subsidiaries (this leads to slightly different results than provided in other publications). We focus on the distribution of nonperforming exposure measures across time and banks as well as across economic sectors and borrower types. We find large heterogeneity across banks, economic sectors and borrower types. If we take a closer look at what lies behind the aggregate NPL ratio of about 3.6%, we find that the 10th percentile of the NPL ratio is close to zero whereas the 90th percentile is still at about 8% in the fourth quarter of 2017. Higher NPL ratios across relevant economic sectors do not seem to be concentrated in larger sectors. With regard to borrower type, we find NPL ratios of 5.3% for nonfinancial corporations, 3.8% for households and 2.2% for other financial institutions. Subsidiaries record substantially higher NPL ratios than parent institutions, e.g. over 7% for exposures to nonfinancial corporations (under 5% at parent institutions) and about 5% for households (3% at parent institutions). This points toward higher financial vulnerability among nonfinancial corporations as well as indebted households in CESEE, the region mainly responsible for nonperforming loans in the portfolios of Austrian banks’ subsidiaries. Classification-JEL: E44, G21 Keywords: nonperforming loans, financial stability, banks, exposure Pages: 40-55 Year: 2018 Issue: 36 File-URL: https://www.oenb.at/dam/jcr:d2b68339-8661-4746-afb9-39985c71b1d4/06_fsr_36_Nonperforming%20exposures.pdf File-Format: application/pdf File-Size: 861 kb Handle: RePEc:onb:oenbfs:y:2018:i:36:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Helmut Gassler Author-Name-First: Helmut Author-Name-Last: Gassler Author-Email: gassler@zsi.at Author-Name: Wolfgang Pointner Author-Name-First: Wolfgang Author-Name-Last: Pointner Author-Email: wolfgang.pointner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Doris Ritzberger-Grünwald Author-Name-First: Doris Author-Name-Last: Ritzberger-Grünwald Author-Email: doris.ritzberger-gruenwald@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5201 Author-Workplace-Fax: +43-1-40420-5299 Title: Funding growth and innovation in Austria – financing conditions for SMEs and start-ups Abstract: In Austria, like in most European countries, small and medium-sized enterprises (SMEs) rely on bank funding as their primary source of external finance. Using ECB survey data, we analyze the availability of bank credit for SMEs in Austria in comparison to SMEs in the euro area. Overall, we find that bank lending has been rather stable over the past few years, and the lending conditions did not discourage many potential borrowers. Creditors and investors treat small, young firms that engage in innovation differently due to their elevated risk profile and the high share of intangible capital in their assets. We discuss the financial life cycle of these start-ups and the appropriate funding in each stage, including policy actions that have been taken to encourage a favorable ecosystem for start-ups in Austria. Whereas public support for these firms is well established, the private market for venture capital is rather small in Austria, especially in comparison with European innovation leaders. Classification-JEL: G24, O3, H81 Keywords: corporate funding, small and medium-sized enterprises, start-ups, innovations Pages: 56-72 Year: 2018 Issue: November 2018 File-URL: https://www.oenb.at/dam/jcr:13428843-72f5-4dce-8779-a2f659fdd837/07_fsr_36_Funding-growth-and-innovation-in-Austria.pdf File-Format: application/pdf File-Size: 686 kb Handle: RePEc:onb:oenbfs:y:2018:i:November 2018:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kerbl Author-Name-First: Stefan Author-Name-Last: Kerbl Author-Email: stefan.kerbl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, On-Site Banking Inspections Division – Large Banks Author-Name: Christoph Leitner Author-Name-First: Christoph Author-Name-Last: Leitner Title: Improved own funds levels: effects on banks’ “problem probability” Abstract: The macroeconomic environment improved significantly in 2017. And so did Austrian banks’ lending activities in Central, Eastern and Southeastern Europe (CESEE) – the banks’ most important foreign market. As Austrian banks’ exposure in terms of volume and profit is concentrated in six countries of the CESEE region, namely the Czech Republic, Slovakia, Romania, Croatia, Hungary and Russia, these countries will be the focus of this study. Moreover, the analysis sheds light on lending to households, in particular on mortgage and consumer loans, and it reveals Austrian banking subsidiaries’ relative importance for their host markets. All CESEE countries analyzed in this study have implemented several macroprudential measures – either legally binding ones or in the form of recommendations – to cope with credit lending risks. Some countries did so because they are already faced with high growth rates, others did so to prevent risks from accumulating once credit growth picks up again. Classification-JEL: G21, G32, G33, G34 Keywords: problem probability, own funds, bank rating model, too big to fail Pages: 73-81 Year: 2018 Issue: November 2018 File-URL: https://www.oenb.at/dam/jcr:2ee74c6d-8c80-4a69-a8fa-e74024497141/08_fsr_36_Improved-own-funds-levels.pdf File-Format: application/pdf File-Size: 983 kb Handle: RePEc:onb:oenbfs:y:2018:i:November 2018:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Tina Wittenberger Author-Name-First: Tina Author-Name-Last: Wittenberger Author-Email: tina.wittenberger@oenb.at. Author-Workplace-Name: Oesterreichische Nationalbank Title: Lending to households in CESEE with regard to Austrian banking subsidiaries and macroprudential measures addressing creditrelated risks Abstract: The macroeconomic environment improved significantly in 2017. And so did Austrian banks’ lending activities in Central, Eastern and Southeastern Europe (CESEE) – the banks’ most important foreign market. As Austrian banks’ exposure in terms of volume and profit is concentrated in six countries of the CESEE region, namely the Czech Republic, Slovakia, Romania, Croatia, Hungary and Russia, these countries will be the focus of this study. Moreover, the analysis sheds light on lending to households, in particular on mortgage and consumer loans, and it reveals Austrian banking subsidiaries’ relative importance for their host markets. All CESEE countries analyzed in this study have implemented several macroprudential measures – either legally binding ones or in the form of recommendations – to cope with credit lending risks. Some countries did so because they are already faced with high growth rates, others did so to prevent risks from accumulating once credit growth picks up again. Classification-JEL: E58, G18, G21, G28, P34 Keywords: banking, Austrian banks, financial stability, macroprudential policy, credit growth, household lending, risks, CESEE Pages: 82-93 Year: 2018 Issue: November 2018 File-URL: https://www.oenb.at/dam/jcr:3c51e7f6-b1a3-4f14-b448-1d21b41c8891/09_fsr_36_Lending-to-households.pdf File-Format: application/pdf File-Size: 303 kb Handle: RePEc:onb:oenbfs:y:2018:i:November 2018:b:5 Template-Type: ReDIF-Article 1.0 Author-Name: Helmut Elsinger Author-Name-First: Helmut Author-Name-Last: Elsinger Author-Email: helmut.elsinger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://finance2.bwl.univie.ac.at/members/elsinger/elsinger.htm Author-Workplace-Phone: +43-1-4277 38057 Author-Workplace-Fax: +43-1-4277 38054 Author-Name: Pirmin Fessler Author-Name-First: Pirmin Author-Name-Last: Fessler Author-Email: Pirmin.Fessler@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Judith Feyrer Author-Name-First: Judith Author-Name-Last: Feyrer Author-Email: judith.feyrer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: https://www.oenb.at Author-Name: Konrad Richter Author-Name-First: Konrad Author-Name-Last: Richter Author-Name: Maria Antoinette Silgoner Author-Name-First: Maria Antoinette Author-Name-Last: Silgoner Author-Email: Maria.Silgoner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Andreas Timel Author-Name-First: Andreas Author-Name-Last: Timel Author-Email: andreas.timel@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: https://www.oenb.at Title: Digitalization in financial services and household finance: fintech, financial literacy and financial stability Abstract: In this study we characterize and discuss digitalization in the financial services industry, focusing on the link between fintech and financial stability. Digitalization and the emerging fintech industry offer a large variety of new products and ways to save. As a result, the process of matching savers with investors will become more direct and the share of wealth invested through other channels than the traditional bank lending channel will increase further. At the same time, the volume of intermediated private wealth is rising as a share of GDP. These developments will likely require changes in regulation and supervision but also new approaches toward financial education, as the more direct link between savers and investors calls for new forms of financial literacy. Classification-JEL: G11, D14, G15, G18, I22 Keywords: household finance, portfolio choice, digitalization, fintech, financial literacy, financial stability Pages: 50-58 Year: 2018 Issue: 35 File-URL: https://www.oenb.at/dam/jcr:eff740da-10a3-42f4-a66c-7f391cb64da3/fsr_35_digitalization_financial_services_and_household_finance.pdf File-Format: application/pdf File-Size: 285 kb Handle: RePEc:onb:oenbfs:y:2018:i:35:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Title: The Russian banking sector: between instability and recovery Abstract: Russian banks seem to be slowly emerging from the country’s 2014–15 economic and financial crisis, which had been triggered by the oil price plunge and Western sanctions. While the economy has recovered from the recession and macroeconomic stability has been re-established (including record-low inflation), GDP growth is still modest. Lending has gone from a crisis-driven credit crunch to a retail-driven recovery, while deposits, buoyed by sustained confidence, have expanded. However, some medium-sized private banks, burdened by legacies of mishandled crisis-triggered takeovers of smaller outfits, collapsed in the second half of 2017, delaying the overall improvement of credit quality, profitability and capital adequacy. In reaction, the central bank nationalized and bailed out these systemically relevant players and established a “bad bank” to more effectively control restructuring procedures. While credit risk and related-party lending risk remain serious, shock-absorbing factors are ample and have further accumulated (including high foreign currency reserves, sizable net external assets and a solid fiscal position). Classification-JEL: G21, G28, P34 Keywords: banking sector, banking crisis, connected lending, credit risk, nonperforming loans, recovery, restructuring, Russia, sanctions Pages: 59-66 Year: 2018 Issue: 35 File-URL: https://www.oenb.at/dam/jcr:fd7b192f-3601-4272-924d-a7f17f7af035/fsr_35_the_russian_banking_sector.pdf File-Format: application/pdf File-Size: 177 kb Handle: RePEc:onb:oenbfs:y:2018:i:35:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Pirmin Fessler Author-Name-First: Pirmin Author-Name-Last: Fessler Author-Email: Pirmin.Fessler@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Peter Lindner Author-Name-First: Peter Author-Name-Last: Lindner Author-Email: peter.lindner@oenb.at Author-Workplace-Name: Economic Analysis Division Title: One policy to rule them all? On the effectiveness of LTV, DTI and DSTI ratio limits as macroprudential policy tools Abstract: We employ household-level microdata to assess the effectiveness of macroprudential policy tools in identifying vulnerable households. We evaluate loan-to-value (LTV), debt-to-income (DTI) and debt service-to-income (DSTI) limits with regard to their impact on the following two potential errors: denying nonvulnerable households access to credit (type I) and not preventing vulnerable households from obtaining credit (type II). Therefore our analysis also takes into account the potential costs of falsely restricting credit access to financially sound households. Our data allow us to measure vulnerability based on current values the macroprudential tools refer to, as well as classical vulnerability measures not related to these tools. We find that policymakers’ awareness of their own goals and preferences in terms of weights of type I and II errors are crucial to effectively use the macroprudential tools at hand. Our analysis delivers qualitative results to better understand the mechanics of macroprudential policy measures as well as a tool for their evaluation in terms of costs and benefits. However, to employ our tool for actually steering policy limits, a far larger sample or register data would be necessary, as an estimation based on our relatively small survey sample is not precise enough. Classification-JEL: O50, G21, D12, C81 Keywords: macroprudential policy, financial stability, LTV, DTI, DSTI, household finance, financial vulnerability, HFCS Pages: 67-83 Year: 2018 Issue: 35 File-URL: https://www.oenb.at/dam/jcr:3cc4d5d5-0b7e-4522-9fbb-954bef57211d/fsr_35_one_policy_to_rule.pdf File-Format: application/pdf File-Size: 775 kb Handle: RePEc:onb:oenbfs:y:2018:i:35:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Gernot Ebner Author-Name-First: Gernot Author-Name-Last: Ebner Author-Email: Gernot.Ebner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Eleonora Endlich Author-Name-First: Eleonora Author-Name-Last: Endlich Author-Email: eleonora.endlich@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Andreas Greiner Author-Name-First: Andreas Author-Name-Last: Greiner Author-Name: Manuel Gruber Author-Name-First: Manuel Author-Name-Last: Gruber Author-Name: Stefan Kavan Author-Name-First: Stefan Author-Name-Last: Kavan Author-Email: stefan.kavan@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Marie Theres Kraihammer Author-Name-First: Marie Theres Author-Name-Last: Kraihammer Author-Name: Martin Ohms Author-Name-First: Martin Author-Name-Last: Ohms Author-Name: Vanessa Redak Author-Name-First: Vanessa Author-Name-Last: Redak Author-Email: vanessa.redak@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Alexandra Schober-Rhomberg Author-Name-First: Alexandra Author-Name-Last: Schober-Rhomberg Author-Email: alexandra.schober-rhomberg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: http://www.oenb.at Author-Name: Daniela Widhalm Author-Name-First: Daniela Author-Name-Last: Widhalm Author-Email: daniela.widhalm@oenb.at Title: Profitability of Austrian banks ’ domestic business from 1995 to 2016: driving forces, current challenges and future opportunities Abstract: This study analyzes how Austrian banks generated profits in their domestic business over the last two decades, i.e. from 1995 to 2016, while paying close attention to the heterogeneity in business models. We focus on the period after the global financial crisis (GFC) and the challenges it entails, in order to highlight the most important trends and their potential repercussions on the medium-term sustainability of banks’ profits and consequently Austria’s financial stability. We find that banks and their income grew strongly before the GFC at the expense of their margins, whereas this trend went into reverse after the crisis hit. Operating expenses increased steadily until recently, when cuts in staff-related expenses started to show effects. Higher credit risk costs were another consequence of the GFC, but the sector-wide ratio of nonperforming loans never surpassed 5%. All of these developments resulted in strong volatility in the return on (average) assets (ROA) after the onset of the GFC and – supported by historically low loan loss provisioning – a recent return to pre-crisis levels. Overall, smaller local banks generated above-average ROAs. Large banks underperformed, while large regional banks performed in line with the banking sector average. In the near future, improvements in operating profitability in a highly competitive market are likely to depend on banks’ pricing power and their ability to use the currently calmer environment to address structural cost issues, to tap new sources of income whose pricing adequately reflects risks and to ready themselves for the digitalization of their business. Classification-JEL: G01, G21 Keywords: banking, financial crisis, Austrian banks, bank profitability, net interest income, net interest margin, investment income, fees and commissions income, operating expenses, cost-income ratio, credit risk, nonperforming loans Pages: 52-67 Year: 2017 Issue: 34 File-URL: https://www.oenb.at/dam/jcr:f587bd7c-13bf-4cc0-8097-b38bf4184e4a/fsr_34_screen_Profitability_of_Austrian_banks_domestic_business.pdf File-Format: application/pdf File-Size: 2186 kb Handle: RePEc:onb:oenbfs:y:2017:i:34:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Sophia Döme Author-Name-First: Sophia Author-Name-Last: Döme Author-Name: Stefan Kerbl Author-Name-First: Stefan Author-Name-Last: Kerbl Author-Email: stefan.kerbl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, On-Site Banking Inspections Division – Large Banks Title: Comparability of Basel risk weights in the EU banking sector Abstract: Our aim is to quantify the variability across EU countries evident in the risk weights (RW) applied by banks to their exposures. To this end, we use a publicly available panel dataset which provides granular portfolio-by-portfolio data for major EU banks and covers six periods between 2013 and 2016. In line with the Basel regulatory capital framework, RW should adequately mirror the risk of the obligations. One meaningful indicator of the underlying risk is the share of nonperforming loans (NPLs) in a given portfolio. We show that a good portion of RW variability can be explained by portfolio- and destination-specific risk indicators such as macroeconomic indicators and NPL ratios. In our analysis, we find that it is not statistically significant that large banks are better able to push down RW (after controlling for underlying credit risks). It is of marginal statistical significance that banks with low common equity tier 1 (CET1) ratios employ RW that are lower than would be expected from the underlying credit risk. We observe, however, statistically significant and economically important differences with regard to the country where a bank is headquartered. The paper sets forth evidence that implementation standards differ from jurisdiction to jurisdiction, thus motivating initiatives by the EBA and the ECB to strengthen harmonization. Classification-JEL: G21, G28, E61, G38 Keywords: bank capital, regulation, risk weights, Basel regulatory capital frameworks Pages: 68-89 Year: 2017 Issue: 34 File-URL: https://www.oenb.at/dam/jcr:6c1ce0fa-2ba6-4bce-a307-6e8eea3cc221/fsr_34_screen_Comparability_of_Basel_risk_weights_in_the_EU_banking_sector.pdf File-Format: application/pdf File-Size: 2056 kb Handle: RePEc:onb:oenbfs:y:2017:i:34:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Peter Lindner Author-Name-First: Peter Author-Name-Last: Lindner Author-Email: peter.lindner@oenb.at Author-Workplace-Name: Economic Analysis Division Title: Simulating the impact of borrower-based macroprudential policies on mortgages and the real estate sector in Austria – evidence from the Household Finance and Consumption Survey 2014 Abstract: In this paper we simulate the impact on house prices and credit available of different macroprudential restrictions on household mortgages in Austria. We apply the methodology developed in the literature for credit register-based information and extend it to the use of survey data. This allows us to make use of the data gleaned from the most recent wave of the Household Finance and Consumption Survey (HFCS) in Austria to investigate the linkages between macroprudential policy and credit supply. We find that of the three standard credit ratio-based criteria – loan to value (LTV), debt to income (DTI) and debt service to income (DSTI) – for most households, the income-based criteria (DTI followed by DSTI) are the binding ones, while the role of LTV is limited. The relationship between credit supply and house prices is found to be positive, but weak. We simulate various macroprudential scenarios and find that macroprudential measures may potentially have sizeable effects on the credit available to households for financing real estate. Furthermore, it can be seen that – as expected – macroprudential policy tends to affect less affluent mortgage holders (although at the median, mortgage holders are more affluent than the general household population). The results also show that the simulated macroprudential policy measures trigger smaller changes of house prices. Classification-JEL: D12, D14, G21, G28, R21, R31 Keywords: macroprudential policy, house price development, mortgage market, HFCS Pages: 52-68 Year: 2017 Issue: 33 File-URL: https://www.oenb.at/dam/jcr:7d23eb8e-9550-4eb0-8247-acb92021a91a/06_Albacete_Lindner_fsr33.pdf File-Format: application/pdf File-Size: 372 kb Handle: RePEc:onb:oenbfs:y:2017:i:33:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: Ukraine’s banking sector: still very weak, but some signs of improvement Abstract: Ukraine has been undergoing a reform process, and the banking sector is certainly among the areas that have seen remarkable progress. The authorities started to tackle related-party lending (a long-standing structural impediment), resolved many undercapitalized banks and managed to restore a degree of confidence in the sector, as witnessed by the stabilization of deposits. As part of the banking sector clean-up, the country’s largest credit institution was nationalized. This step contributed to considerable changes in the ownership structure, with the share of the state in total assets rising to about 50%. After the severe recession of 2014–2015, macroeconomic stabilization achieved with international support in 2016, if sustained, could pave the way for a resumption of lending. Yet, nonperforming loans (NPLs) have skyrocketed, credit risk is still very high, related-party lending is still a problem, resistance to reform remains stubborn, and economic recovery fragile, subject to political uncertainty. Further sound economic policies, progress with structural reforms (in particular with regard to the rule of law and corruption) and efforts to reduce NPLs appear essential to make a sustained banking recovery possible. Classification-JEL: G21, G28, P34 Keywords: banking sector, geopolitical risk, credit risk, related-party lending, pocket banks, nonperforming loans, recapitalization, IMF, Ukraine Pages: 69-77 Year: 2017 Issue: 33 File-URL: https://www.oenb.at/dam/jcr:77ec635e-e461-49c6-958b-066b7a9d792d/07_Barisitz_Lahnsteiner_fsr33.pdf File-Format: application/pdf File-Size: 169 kb Handle: RePEc:onb:oenbfs:y:2017:i:33:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Manuel Gruber Author-Name-First: Manuel Author-Name-Last: Gruber Author-Name: Stefan Kavan Author-Name-First: Stefan Author-Name-Last: Kavan Author-Email: stefan.kavan@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Paul Stockert Author-Name-First: Paul Author-Name-Last: Stockert Title: What drives Austrian banking subsidiaries’ return on equity in CESEE and how does it compare to their cost of equity? Abstract: This short study analyzes the relative profitability of Austrian banking subsidiaries in Central, Eastern and Southeastern Europe (CESEE) using two separate approaches. First, we address the subject from an accounting point of view based on a DuPont analysis. We dissect the return on (the book value of average) equity (ROE) to highlight how profit and loss drivers as well as financial leverage affected this profitability metric from 2004 to 2016. This prepares the ground for our second part, where we switch to a market perspective for the period from 2006 to 2016 to deduce the cost of (average) equity (COE) of these subsidiaries from the Capital Asset Pricing Model (CAPM) in order to compare the model-based profits that would be expected (i.e. demanded) by investors to those that have actually been realized. The analysis is complemented by a similar exercise for a peer group consisting of listed CESEE banks.
We find that the ROE dropped substantially during the global financial crisis and only started to recover in 2016. An accounting-based DuPont analysis reveals that – over the entire analyzed time span – this was primarily caused by a rise in risk costs at the onset of the global financial crisis and their strong improvement in 2016, as well as a continuous reduction of financial leverage. The negative contribution of a lower operating income margin and positive effects of an improved cost-income ratio roughly canceled each other out. We also provide a (cautious) medium-term outlook for the future development of the ROE of Austrian banking subsidiaries in CESEE, which is likely to depend on the balance between the weakened net interest income and reduced credit risk costs (that still have to prove their sustainability). When switching to a market perspective and the question of the subsidiaries’ COE, we find that the latter is substantially lower than often assumed, but still too high to be fully compensated by realized profits (except in 2016). In aggregate, other CESEE peer banks fared better, which was mostly due to their higher profitability. These results call for continued and persistent efforts to further improve Austrian banking subsidiaries’ risk-return profile in CESEE. Classification-JEL: G01, G11, G21 Keywords: banking, profitability, financial crisis, low interest rate environment, Austrian banks, CESEE, DuPont analysis, CAPM, return on equity, cost of equity, net interest margin, operating income margin, cost-income ratio, risk costs, financial leverage Pages: 78-87 Year: 2017 Issue: 33 File-URL: https://www.oenb.at/dam/jcr:9db5243d-0f41-4868-b371-3237f77cf969/08_Gruber_Kavan_fsr33.pdf File-Format: application/pdf File-Size: 531 kb Handle: RePEc:onb:oenbfs:y:2017:i:33:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Peter Lindner Author-Name-First: Peter Author-Name-Last: Lindner Author-Email: peter.lindner@oenb.at Author-Workplace-Name: Economic Analysis Division Author-Name: Vanessa Redak Author-Name-First: Vanessa Author-Name-Last: Redak Author-Email: vanessa.redak@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: The resilience of households in bank bail-ins Abstract: Potential losses incurred by households holding bail-in-able assets may be an issue in bank resolution matters and restructuring procedures – and are thus a financial stability issue. Yet, the range of households that may be affected by bank defaults is not sufficiently evident from aggregate statistics. Therefore, this paper uses the Eurosystem Household Finance and Consumption Survey (HFCS) to investigate the investment portfolio items of households from selected European countries that could potentially be eligible for bail-in. Doing so allows us to discuss the resilience of possibly affected households to shocks to their portfolio in terms of other household characteristics. Overall, the results show that, in addition to the relatively high resilience of households in terms of shock-absorbing capacity, the relatively few investors that exist are on average more inclined to take risks than the general population. Classification-JEL: D14, D31, E44, G11 Keywords: bail-in-able assets, household portfolio, risks, bank default, HFCS Pages: 88-101 Year: 2017 Issue: 33 File-URL: https://www.oenb.at/dam/jcr:a5069d33-6a9d-4737-9e32-a76a63ccc749/09_Lindner_fsr33.pdf File-Format: application/pdf File-Size: 317 kb Handle: RePEc:onb:oenbfs:y:2017:i:33:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Gernot Ebner Author-Name-First: Gernot Author-Name-Last: Ebner Author-Email: Gernot.Ebner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Eleonora Endlich Author-Name-First: Eleonora Author-Name-Last: Endlich Author-Email: eleonora.endlich@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Andreas Greiner Author-Name-First: Andreas Author-Name-Last: Greiner Author-Name: Manuel Gruber Author-Name-First: Manuel Author-Name-Last: Gruber Author-Name: Günther Hobl Author-Name-First: Günther Author-Name-Last: Hobl Author-Name: Stefan Kavan Author-Name-First: Stefan Author-Name-Last: Kavan Author-Email: stefan.kavan@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Martin Ohms Author-Name-First: Martin Author-Name-Last: Ohms Author-Name: Vanessa Redak Author-Name-First: Vanessa Author-Name-Last: Redak Author-Email: vanessa.redak@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Alexandra Schober-Rhomberg Author-Name-First: Alexandra Author-Name-Last: Schober-Rhomberg Author-Email: alexandra.schober-rhomberg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: http://www.oenb.at Author-Name: Paul Stockert Author-Name-First: Paul Author-Name-Last: Stockert Author-Name: Daniela Widhalm Author-Name-First: Daniela Author-Name-Last: Widhalm Author-Email: daniela.widhalm@oenb.at Author-Name: Tina Wittenberger Author-Name-First: Tina Author-Name-Last: Wittenberger Author-Email: tina.wittenberger@oenb.at. Author-Workplace-Name: Oesterreichische Nationalbank Title: The profitability of Austrian banking subsidiaries in CESEE: driving forces, current challenges and opportunities Abstract: This study analyzes the driving forces behind the profitability of Austrian banking subsidiaries in Central, Eastern and Southeastern Europe (CESEE) from 2003 to 2015, with a particular focus on the aftermath of the global financial crisis, which marked a turning point for their risk-return characteristics. We start off with an analysis of operating income and expense trends and delve into an analysis of credit risk costs. Then we look at large extraordinary one-off cost items before summing up with a long-term revenue bridge and an analysis of the most recent risk-return metrics. Overall, we find that the subsidiaries generated substantial profits, which have to be seen in the light of significant writedowns of their book values at the parent level. Regarding current challenges, operating profits are under pressure from falling net interest margins and fading organic growth, while remaining foreign currency loans might lead to further one-off costs, which in the past offset efficiency improvements. Credit risk also remains high in some countries, but a positive trend has emerged over the past years and provisioning levels have improved. One lesson learned in this respect is that rapid credit growth before the crisis typically led to high nonperforming loan (NPL) ratios, which now weigh on some subsidiaries’ ability to lend. Looking forward, banks continue to face a challenging environment in the CESEE region with little low-hanging fruit, as the speed of macroeconomic catching-up has slowed and low interest rates have taken hold. Therefore, Austrian banks’ subsidiaries should diversify their income base, maintain their operating cost discipline and continue to strive for risk-adequately priced products in order to keep their profitability on a sustainable footing. Classification-JEL: G01, G21 Keywords: banking, financial crisis, Austrian banks, bank profitability, net interest income, net interest margin, operating expenses, credit risk, NPL, writedowns, foreign currency loans, Texas ratio, CESEE Pages: 64-79 Year: 2016 Issue: 32 File-URL: https://www.oenb.at/dam/jcr:86e74325-311c-4ef9-ba79-b04d6bca9c18/fsr_32_special%20topics_01.pdf File-Format: application/pdf File-Size: 1006 kb Handle: RePEc:onb:oenbfs:y:2016:i:32:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Doris Ritzberger-Grünwald Author-Name-First: Doris Author-Name-Last: Ritzberger-Grünwald Author-Email: doris.ritzberger-gruenwald@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5201 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Alfred Stiglbauer Author-Name-First: Alfred Author-Name-Last: Stiglbauer Author-Email: alfred.stiglbauer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7435 Author-Name: Walter Waschiczek Author-Name-First: Walter Author-Name-Last: Waschiczek Author-Email: walter.waschiczek@oenb.at. Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: Banking employment in Austria Abstract: The ongoing restructuring and consolidation process in the Austrian banking sector has drawn attention to banking employment developments. This article takes stock of the data on employment, labor costs and related indicators to provide a basis for discussion. Since 2008, the number of employees in banking has been on a slow, but permanent decline. Working hours have decreased even more strongly, reflecting a shift toward part-time work. Wage costs per employee are relatively high and have grown faster than those in most other sectors. However, until 2008, labor productivity growth outpaced labor cost growth. Since the crisis, labor cost growth has exceeded productivity increases, but less strongly than in the rest of the economy. Banks’ intensity of IT use has increased over the past 15 years. Not all IT investments were intended to substitute labor with capital. Instead, increasing IT usage in banks went hand in hand with a significant shift toward higher-skilled labor. Moreover, organizational changes related to the ongoing consolidation processes within the Austrian banking sector have contributed to the reduction in labor demand. Until recently, banks appear to have avoided layoffs, relying on attrition instead. Classification-JEL: E24, G21, J21 Keywords: banking, employment, labor costs, value added, Austria Pages: 80-100 Year: 2016 Issue: 32 File-URL: https://www.oenb.at/dam/jcr:474f0eaa-3ead-4302-b83e-84b63397caa7/fsr_32_special%20topics_02.pdf File-Format: application/pdf File-Size: 808 kb Handle: RePEc:onb:oenbfs:y:2016:i:32:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Claudia Pigrum Author-Name-First: Claudia Author-Name-Last: Pigrum Author-Name: Thomas Reininger Author-Name-First: Thomas Author-Name-Last: Reininger Author-Email: Thomas.Reininger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5234 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Caroline Stern Author-Name-First: Caroline Author-Name-Last: Stern Author-Email: caroline.stern@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank (OeNB), Foreign Research Division Title: Bail-in: who invests in noncovered debt securities issued by euro area banks? Abstract: During the financial crisis numerous banks experienced financial difficulties and were subsequently bailed out by governments using taxpayers’ money. Policymakers around the globe responded by overhauling resolution mechanisms for banks, including the introduction of bail-in rules to prevent future taxpayer-funded bail-outs. Despite the initial optimism that bail-in would mitigate the too-big-to-fail dilemma, criticism highlighting the shortcomings of this approach has recently been voiced both in academia and in wider circles. Several researchers have noted the urgent need for a more detailed analysis of the structure of holdings of bail-in-able debt securities. The aim of this paper is twofold: First, we provide an overview of the main arguments for and against the bail-in tool, and second, we shed light on the question of who invests in senior unsecured debt securities issued by banks, drawing on the Securities Holdings Statistics of the ECB for evidence. Our empirical evaluation on the basis of unconsolidated national banking sectors in the euro area provides information on the structure of the demand and supply side of bail-in-able bank debt securities in each euro area country. We are able to show which portions of the outstanding bail-in-able bank debt securities issued by euro area banks on aggregate and in individual countries are held in which region (home country, non-home euro area and outside the euro area) and by which sector (i.e. banks, other financial institutions and nonfinancial sector) within the euro area. In particular, we find that nearly 40% of all bail-in-able debt securities issued by euro area banks are held outside the euro area; intra-euro area cross-border holdings account for one-third of all euro area holdings of such debt, euro area banks’ holdings for one-third and the euro area’s nonfinancial sector (mainly households) for one-fourth. As regards bail-in-able debt issued by Austrian banks, about 20% are held outside the euro area, while euro area banks hold about 36% and the euro area’s nonfinancial sector about 38% of all euro area holdings of this debt. Classification-JEL: E44, G21, G28 Keywords: banking regulation, systemic risk, bail-in, contagion Pages: 101-119 Year: 2016 Issue: 32 File-URL: https://www.oenb.at/dam/jcr:5dcf7d04-c226-4544-a194-a818264dba61/fsr_32_special%20topics_03.pdf File-Format: application/pdf File-Size: 616 kb Handle: RePEc:onb:oenbfs:y:2016:i:32:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kerbl Author-Name-First: Stefan Author-Name-Last: Kerbl Author-Email: stefan.kerbl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, On-Site Banking Inspections Division – Large Banks Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: From low to negative rates: an asymmetric dilemma Abstract: With the expansionary monetary policy in several European countries continuing, the low interest rate environment is being increasingly replaced by a negative interest rate environment. We estimate a panel model to study the effects of prolonged low interest rates on banks in Austria. It shows that the profitability of banks declines in times of low interest rate environments. However, we are skeptical of extrapolating these findings to the negative environment. In a negative environment banks face an asymmetric dilemma: While the returns on many assets follow the decreasing reference rate (e.g. EURIBOR), costs of deposits are floored at zero and cannot follow this rate. In order to include this crucial nonlinearity and to estimate which banks are expected to suffer most, we amend our approach and employ an ARIMA model on a bank-by-bank basis. First, we find that small regional banks are hit hardest. These banks have a high share of deposits and are more sensitive to changes in the reference rates. Second, by only looking at data covering low interest rates (e.g. our panel approach) one would indeed underestimate the impact of negative rates on banks’ pro?tability. Third, we ?nd that a reference rate close to –2% would pose a substantial burden on banks’ profitability. The approach assumes little adaptation of banks to these extreme environments and therefore highlights the importance of banks’ adequate and timely reaction should interest rates continue to be negative. Classification-JEL: G21, C22, C23 Keywords: bank profitability, low interest rate environment, negative interest rate environment, net interest margin, panel econometrics, ARIMA models Pages: 120-137 Year: 2016 Issue: 32 File-URL: https://www.oenb.at/dam/jcr:ad7d6282-08d7-43e3-b441-52920a0d9f96/fsr_32_special%20topics_04.pdf File-Format: application/pdf File-Size: 555 kb Handle: RePEc:onb:oenbfs:y:2016:i:32:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Pirmin Fessler Author-Name-First: Pirmin Author-Name-Last: Fessler Author-Email: Pirmin.Fessler@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Peter Lindner Author-Name-First: Peter Author-Name-Last: Lindner Author-Email: peter.lindner@oenb.at Author-Workplace-Name: Economic Analysis Division Title: The distribution of residential property price changes across homeowners and its implications for financial stability in Austria Abstract: We employ newly available data of the second wave of the Eurosystem Household Finance and Consumption Survey (HFCS) for Austria to construct a house price index for an analysis of households’ financial resilience to possible price shocks in real estate markets. We estimate this house price index based on directly observed object-level information provided by homeowners. This results not only in an accurate index of house price developments as shown in the seminal contribution of Kiel and Zabel (1999), but also allows us to analyze the full distribution of house prices and their changes beyond the mean. We compare our approach to the two other price indices available in Austria, which use hedonic regressions based on transaction or quotation prices, and discuss advantages and disadvantages of the available indices while focusing on our primary objective, analyzing implications for financial stability. We find that the fairly steep increase of house prices recently observed has been driven by a rather small segment of the market. Further results suggest that the observed long-term real estate price increases have been remarkably stable. At the heart of our contribution is an analysis of the impact of house price changes on the loss given default of vulnerable mortgage holders. We base this analysis on scenarios that incorporate the observed empirical distribution of house price changes and show that the risks to financial stability are relatively limited. We conclude with a summary of the findings and provide a general assessment of the Austrian housing market. Classification-JEL: C81, D31, E21, E31, G21, O52, R31 Keywords: household-specific property prices, mortgages, banking sector, Austria Pages: 62-81 Year: 2016 Issue: 31 File-URL: https://www.oenb.at/dam/jcr:3c0c26ae-0d4e-41a6-a290-9f2947d6c81d/fsr_31_special%20topics_01.pdf File-Format: application/pdf File-Size: 570 kb Handle: RePEc:onb:oenbfs:y:2016:i:31:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Johannes Langthaler Author-Name-First: Johannes Author-Name-Last: Langthaler Author-Name: Valentina Metz Author-Name-First: Valentina Author-Name-Last: Metz Author-Email: valentina.metz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Patrick Pechmann Author-Name-First: Patrick Author-Name-Last: Pechmann Author-Name: Konrad Richter Author-Name-First: Konrad Author-Name-Last: Richter Author-Name: Bernhard Rottensteiner Author-Name-First: Bernhard Author-Name-Last: Rottensteiner Author-Name: Daniel Unterkofler Author-Name-First: Daniel Author-Name-Last: Unterkofler Author-Name: Philipp Weiss Author-Name-First: Philipp Author-Name-Last: Weiss Title: Minimum requirement for own funds and eligible liabilities (MREL) – initial assessment for Austrian banks and selected subsidiaries in the EU Abstract: The minimum requirement for own funds and eligible liabilities (MREL) is a key element in bank resolution planning. It is particularly important for the effective application of the bail-in resolution tool which was introduced into EU law, together with MREL, with the Bank Recovery and Resolution Directive (BRRD) in 2014 and enacted in Austrian law in 2015. The purpose of MREL is to ensure that banks have adequate loss absorption and recapitalization resources in case of resolution. Given the narrow time schedule for implementing this new requirement, it is important to gain an understanding of the current situation for Austrian credit institutions and their EU subsidiaries in Central, Eastern and Southeastern Europe (CESEE). Therefore, the Austrian national resolution authority, i.e. the Financial Market Authority (FMA), together with the Oesterreichische Nationalbank conducted a survey among a selected sample of Austrian banks with the aim of assessing their MREL-eligible resources. The surveyed institutions were asked to provide data on the composition of their own funds and liabilities as per year-end 2014. The survey was designed to elicit answers to the most important questions arising from the implementation of MREL: How high is the current amount of MREL-eligible resources in the Austrian banking sector? How high is the amount that is available for bail-in in case of resolution? What is the current composition of MREL-eligible resources? Are there differences between different types of institutions? Are there enough MREL-eligible resources or are there any shortfalls? The supervisory and in particular the resolution authorities will need this information when setting MREL levels in order to assess impacts on major banking groups, to increase market transparency and to contribute to a stable regulatory environment in general. Classification-JEL: G21, G28, G31, G32, G33 Keywords: minimum requirement for own funds and eligible liabilities (MREL), total lossabsorbing capacity (TLAC), BRRD, resolution, bail-in, Austrian banks, CESEE Pages: 82-95 Year: 2016 Issue: 31 File-URL: https://www.oenb.at/dam/jcr:3a8a160e-24e6-496f-afaf-8a70bd0f02ee/fsr_31_special%20topics_02.pdf File-Format: application/pdf File-Size: 355 kb Handle: RePEc:onb:oenbfs:y:2016:i:31:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Helmut Elsinger Author-Name-First: Helmut Author-Name-Last: Elsinger Author-Email: helmut.elsinger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://finance2.bwl.univie.ac.at/members/elsinger/elsinger.htm Author-Workplace-Phone: +43-1-4277 38057 Author-Workplace-Fax: +43-1-4277 38054 Author-Name: Robert Köck Author-Name-First: Robert Author-Name-Last: Köck Author-Name: Marcel Kropp Author-Name-First: Marcel Author-Name-Last: Kropp Author-Name: Walter Waschiczek Author-Name-First: Walter Author-Name-Last: Waschiczek Author-Email: walter.waschiczek@oenb.at. Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: Corporate financing in Austria in the run-up to capital markets union (This study is also available in German) Classification-JEL: F15, F36, G23, G3 Keywords: European integration, capital markets union, corporate financing, disintermediation, risk capital Pages: 96-119 Year: 2016 Issue: 31 File-URL: https://www.oenb.at/dam/jcr:0d4f6b97-4e33-4cba-8ab1-1d0086098306/fsr_31_special%20topics_03.pdf File-Format: application/pdf File-Size: 514 kb Handle: RePEc:onb:oenbfs:y:2016:i:31:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Georg Lehecka Author-Name-First: Georg Author-Name-Last: Lehecka Author-Email: Georg.Lehecka@fma.gv.at Author-Workplace-Name: Austrian Financial Market Authority (FMA), Asset Management – On- and Off-Site Analysis Division Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Analyzing the systemic risks of alternative investment funds based on AIFMD reporting: a primer Classification-JEL: E58, E61, G23, G28 Keywords: Financial stability, systemic risks, asset management, alternative investment funds, macroprudential supervision, regulation Pages: 62-70 Year: 2015 Issue: 30 File-URL: https://www.oenb.at/dam/jcr:acd3e546-07c4-45cb-82ca-86725ac79523/fsr_30_special%20topics01.pdf File-Format: application/pdf File-Size: 177 kb Handle: RePEc:onb:oenbfs:y:2015:i:30:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Title: The Russian banking sector – heightened risks in a difficult environment Classification-JEL: G21, G28, P34 Keywords: banking sector, banking crisis, credit risk, refinancing risk, exchange rate risk, connected lending, nonperforming loans, recapitalization, Russia Pages: 71-84 Year: 2015 Issue: 30 File-URL: https://www.oenb.at/dam/jcr:50bdabc9-d30f-4066-a973-ce83046802f1/01_Barisitz_fsr30.pdf File-Format: application/pdf File-Size: 2299 kb Handle: RePEc:onb:oenbfs:y:2015:i:30:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Aerdt Houben Author-Name-First: Aerdt Author-Name-Last: Houben Author-Email: a.c.f.j.houben@dnb.nl Author-Workplace-Name: De Nederlandsche Bank, Financial Stability Division Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Michael Wedow Author-Name-First: Michael Author-Name-Last: Wedow Author-Email: michael.wedow@ecb.int Author-Workplace-Name: European Central Bank, Financial Regulation Division Title: Systemic liquidity and macroprudential supervision Classification-JEL: G1, E44 Keywords: macroprudential supervision, liquidity Pages: 85-92 Year: 2015 Issue: 30 File-URL: https://www.oenb.at/dam/jcr:6ac4c7c2-ef5b-4182-a477-af02defa33e2/fsr_30_special%20topics03.pdf File-Format: application/pdf File-Size: 168 kb Handle: RePEc:onb:oenbfs:y:2015:i:30:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kavan Author-Name-First: Stefan Author-Name-Last: Kavan Author-Email: stefan.kavan@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Florian Martin Author-Name-First: Florian Author-Name-Last: Martin Author-Email: Florian.Martin@oenb.at Title: The profitability of Austrian banks’ subsidiaries in Croatia, Hungary and Romania and how the financial crisis affected their business models Classification-JEL: G01, G21 Keywords: Banking, financial crisis, Austrian banks, bank profitability, net interest margin, credit risk, foreign currency loans, intragroup funding, Croatia, Hungary, Romania, CEE Pages: 58-71 Issue: 29 File-URL: https://www.oenb.at/dam/jcr:e94f1028-4278-4ab9-991a-0116958ef2ad/fsr_29_special-topics01.pdf File-Format: application/pdf File-Size: 697 kb Handle: RePEc:onb:oenbfs:y::i:29:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Zuzana Fungáčová Author-Name-First: Zuzana Author-Name-Last: Fungáčová Author-Email: zuzana.fungacova@bof.fi Author-Workplace-Name: Bank of Finland Institute for Economies in Transition (BOFIT) Title: Ukraine: struggling banking sector amid substantial uncertainty Classification-JEL: G21, G28, P34 Keywords: Keywords: banking sector, banking crisis, geopolitical risk, credit risk, exchange rate risk, connected lending, pocket banks, nonperforming loans, recapitalization, Ukraine Pages: 72-92 Year: 2015 Issue: 29 File-URL: https://www.oenb.at/dam/jcr:7b10b256-0d89-4d2d-aa73-1655af8eca75/fsr_29_special-topics02.pdf File-Format: application/pdf File-Size: 507 kb Handle: RePEc:onb:oenbfs:y:2015:i:29:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Peter Lindner Author-Name-First: Peter Author-Name-Last: Lindner Author-Email: peter.lindner@oenb.at Author-Workplace-Name: Economic Analysis Division Title: Foreign currency borrowers in Austria – evidence from the Household Finance and Consumption Survey Classification-JEL: D12, D14, F34, F37, G15, G21 Keywords: FX borrowing, mortgages, banking sector, Austria, Swiss francs Pages: 93-109 Year: 2015 Issue: 29 File-URL: https://www.oenb.at/dam/jcr:f3b7356c-884a-4601-96ba-adb096166b75/fsr_29_special%20topics03.pdf File-Format: application/pdf File-Size: 490 kb Handle: RePEc:onb:oenbfs:y:2015:i:29:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Esther Segalla Author-Name-First: Esther Author-Name-Last: Segalla Author-Email: esther.segalla@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Title: When Austrian banks cross borders Classification-JEL: G21, E58, F34 Keywords: Cross-border banking, international credit flows, financial stability Pages: 110-121 Year: 2015 Issue: 29 File-URL: https://www.oenb.at/dam/jcr:5e555d76-1322-49c6-84ae-9fa874ad1899/fsr_29_special-topics04.pdf File-Format: application/pdf File-Size: 565 kb Handle: RePEc:onb:oenbfs:y:2015:i:29:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Maximilian Fandl Author-Name-First: Maximilian Author-Name-Last: Fandl Author-Email: Maximilian.Fandl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Supervision Policy, Regulation and Strategy Division Author-Name: Robert Ferstl Author-Name-First: Robert Author-Name-Last: Ferstl Author-Email: robert.ferstl@oenb.at Author-Workplace-Name: Off-Site Banking Analysis and Strategy Division Title: Austrian Banks in the Comprehensive Assessment Pages: 54-58 Year: 2014 Issue: 28 File-URL: https://www.oenb.at/dam/jcr:1be25087-b17c-46db-b36b-0bec90fb1485/fsr_28_special_topics_01.pdf File-Format: application/pdf File-Size: 246 kb Handle: RePEc:onb:oenbfs:y:2014:i:28:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kavan Author-Name-First: Stefan Author-Name-Last: Kavan Author-Email: stefan.kavan@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Daniela Widhalm Author-Name-First: Daniela Author-Name-Last: Widhalm Author-Email: daniela.widhalm@oenb.at Title: Austrian Subsidiaries’ Profitability in the Czech Republic and Slovakia – CESEE Margins with an Austrian Risk Profile Abstract: The Czech Republic and Slovakia belong to the small and increasingly concentrated group of countries in Central, Eastern and Southeastern Europe (CESEE) whose banking markets have continued to generate substantial profits for Austrian banks also after the outbreak of the financial crisis in 2008. This short study sheds light on why Austrian subsidiaries have been able to maintain their profitability in these two countries especially when compared to those in other CESEE countries. We find that the strong quality of their asset portfolios is the main contributing factor; also, the Czech and Slovak markets now offer net interest margins well above Austrian levels, while the credit risk level is close to that in Austria. By contrast, several other CESEE markets have recorded worsening credit quality and, consequently, dwindling
returns. Despite some downside risks related to the low interest rate environment, the openness of the Czech and Slovak economies and a potential intensification in competition, it seems that, from a current perspective, Czech and Slovak subsidiaries can be considered the most stable earnings generators in Austrian banks’ international portfolio. Classification-JEL: G21, G28, P34 Keywords: Banking sector, Austrian banks, financial stability, profitability, risks, Czech Republic, Slovakia Pages: 59-68 Year: 2014 Issue: 28 File-URL: https://www.oenb.at/dam/jcr:a48a30f4-9751-4529-817e-ad2d81c6b5a6/fsr_28_special_topics_02.pdf File-Format: application/pdf File-Size: 889 kb Handle: RePEc:onb:oenbfs:y:2014:i:28:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Martin Schneider Author-Name-First: Martin Author-Name-Last: Schneider Author-Email: martin.schneider@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Divison Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7436 Author-Name: Karin Wagner Author-Name-First: Karin Author-Name-Last: Wagner Author-Email: karin.wagner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: Workshop Summary: Are House Prices Endangering Financial Stability? If So, How Can We Counteract This? Abstract: Against the background of recent house price increases in several European countries, the OeNB organized a workshop entitled “Are House Prices Endangering Financial Stability? If So, How Can We Counteract This?” It was held in Vienna on October 9 and 10, 2014. The workshop contributions2 demonstrated the complexity of assessing house price developments and of implementing macroprudential policy measures. One of the main policy conclusions was that collecting data on individual loan characteristics is a key priority for monitoring developments in the housing and mortgage loan markets. Classification-JEL: R3, G2, E6 Keywords: Housing markets, bubble, financial stability Pages: 69-74 Year: 2014 Issue: 28 File-URL: https://www.oenb.at/dam/jcr:cb500563-5df9-47de-b40d-7f773532eb5d/fsr_28_special_topics_03.pdf File-Format: application/pdf File-Size: 145 kb Handle: RePEc:onb:oenbfs:y:2014:i:28:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Dieter Huber Author-Name-First: Dieter Author-Name-Last: Huber Author-Email: dieter.huber@oenb.at Author-Workplace-Name: Off-Site Banking Analysis and Strategy Division Author-Name: Georg Merc Author-Name-First: Georg Author-Name-Last: Merc Author-Email: Georg.Merc@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Supervision Policy, Regulation and Strategy Division Title: The Banking Recovery and Resolution Directive and the EU’s Crisis Management Framework: Principles, Interplay with the Comprehensive Assessment and the Consequences for Recapitalizing Credit Institutions in Crisis Situations Abstract: Within the EU, a new framework has been designed to define, when banks are considered no longer viable, how such banks can exit the market without creating widespread financial distress and how a smooth exit or recovery should be financed. It consists of a complex set of rules and international agreements, with responsibility for their implementation assigned to various authorities. This study analyzes the objectives of the new regime and the new powers of the various authorities involved, as well as the main underlying tradeoffs that are defining the policy debate in terms of the allocation of losses to various stakeholders, the associated conditionality and the degree of mutualization of decision-making and financing within the euro area and the EU at large. Classification-JEL: K230, K330, F360, F330 Keywords: Bank recovery and resolution, banking union, ESM, Single Resolution Mechanism, burden sharing, bail-in, precautionary recapitalization Pages: 75-90 Year: 2014 Issue: 28 File-URL: https://www.oenb.at/dam/jcr:8c61edd0-5d87-4316-8768-0decedd7de7f/fsr_28_special_topics_04.pdf File-Format: application/pdf File-Size: 401 kb Handle: RePEc:onb:oenbfs:y:2014:i:28:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Judith Eidenberger Author-Name-First: Judith Author-Name-Last: Eidenberger Author-Email: judith.eidenberger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank (OeNB), Financial Markets Analysis and Surveillance Division Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Katharina Steiner Author-Name-First: Katharina Author-Name-Last: Steiner Author-Email: katharina.steiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: The Priorities of Deleveraging in the Euro Area and Austria and Its Implications for CE SEE Classification-JEL: G21, F36 Keywords: Deleveraging, excessive deleveraging, balance sheet growth, economic growth Pages: 50-63 Year: 2014 Issue: 27 File-URL: https://www.oenb.at/dam/jcr:83caf122-96cf-41aa-a5ed-7a844ab4988d/fsr_27_special_topics_01.pdf File-Format: application/pdf File-Size: 986 kb Handle: RePEc:onb:oenbfs:y:2014:i:27:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Name: Daniela Widhalm Author-Name-First: Daniela Author-Name-Last: Widhalm Author-Email: daniela.widhalm@oenb.at Author-Name: Tina Wittenberger Author-Name-First: Tina Author-Name-Last: Wittenberger Author-Email: tina.wittenberger@oenb.at. Author-Workplace-Name: Oesterreichische Nationalbank Title: Macrofinancial Developments in Ukraine, Russia and Turkey from an Austrian Financial Stability Perspective Classification-JEL: G21, G28, P34 Keywords: Banking sector, Austrian banks, financial stability, risks, vulnerabilities Pages: 64-73 Year: 2014 Issue: 27 File-URL: https://www.oenb.at/dam/jcr:bd178474-fbeb-4417-a728-d4b2a485d40c/fsr_27_special_topics_02.pdf File-Format: application/pdf File-Size: 1976 kb Handle: RePEc:onb:oenbfs:y:2014:i:27:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Krisztina Jäger-Gyovai Author-Name-First: Krisztina Author-Name-Last: Jäger-Gyovai Author-Email: krisztina.jaeger-gyovai@oenb.at Title: Capital Market Development in CESEE and the Need for Further Reform Classification-JEL: O16, E22, G3, F36 Keywords: Central, Eastern and Southeastern Europe, CESEE, capital market, local currency, bond market, corporate bond market, government bond market, stock market, capital market development Pages: 74-82 Year: 2014 Issue: 27 File-URL: https://www.oenb.at/dam/jcr:1f01bd84-cf23-4eb1-a58f-1c215b15d9b5/fsr_27_special_topics_03.pdf File-Format: application/pdf File-Size: 2469 kb Handle: RePEc:onb:oenbfs:y:2014:i:27:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Judith Eidenberger Author-Name-First: Judith Author-Name-Last: Eidenberger Author-Email: judith.eidenberger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank (OeNB), Financial Markets Analysis and Surveillance Division Author-Name: David Liebeg Author-Name-First: David Author-Name-Last: Liebeg Author-Email: david.liebeg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Reinhardt Seliger Author-Name-First: Reinhardt Author-Name-Last: Seliger Author-Email: Reinhardt.Seliger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Katharina Steiner Author-Name-First: Katharina Author-Name-Last: Steiner Author-Email: katharina.steiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Name: Peter Strobl Author-Name-First: Peter Author-Name-Last: Strobl Author-Email: Peter.Strobl@oenb.at Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Macroprudential Supervision: A Key Lesson from the Financial Crisis Classification-JEL: E58, E61, G28 Keywords: Financial stability, systemic risks, macroprudential supervision, regulation, supervision, policymaking Pages: 83-94 Year: 2014 Issue: 27 File-URL: https://www.oenb.at/dam/jcr:57a18c30-3fd4-428f-a3db-7c2ea5192fdc/fsr_27_special_topics_04.pdf File-Format: application/pdf File-Size: 2174 kb Handle: RePEc:onb:oenbfs:y:2014:i:27:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Judith Eidenberger Author-Name-First: Judith Author-Name-Last: Eidenberger Author-Email: judith.eidenberger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank (OeNB), Financial Markets Analysis and Surveillance Division Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Peter Lindner Author-Name-First: Peter Author-Name-Last: Lindner Author-Email: peter.lindner@oenb.at Author-Workplace-Name: Economic Analysis Division Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Risk-Bearing Capacity of Households – Linking Micro-Level Data to the Macroprudential Toolkit Classification-JEL: D10, D14, E44, G10, G21 Keywords: Macroprudential risk assessment, household vulnerability, stress tests, loan-to-value ratio, HFCS Pages: 95-110 Year: 2014 Issue: 27 File-URL: https://www.oenb.at/dam/jcr:6805fb54-f49e-4159-99fb-cb24f0dff001/fsr_27_special_topics_05.pdf File-Format: application/pdf File-Size: 2306 kb Handle: RePEc:onb:oenbfs:y:2014:i:27:b:5 Template-Type: ReDIF-Article 1.0 Author-Name: David Liebeg Author-Name-First: David Author-Name-Last: Liebeg Author-Email: david.liebeg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Alexander Trachta Author-Name-First: Alexander Author-Name-Last: Trachta Author-Email: Alexander.Trachta@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Macroprudential Policy: A Complementing Pillar in Prudential Supervision – The EU and Austrian Frameworks Classification-JEL: E58, E61, G28 Keywords: Financial stability, systemic risks, macroprudential supervision, regulation, supervision, policymaking Pages: 56-61 Year: 2013 Issue: 26 File-URL: https://www.oenb.at/dam/jcr:17ec9d82-3f78-4e21-af10-9ce1839af296/fsr_26_report_special_topics1.pdf File-Format: application/pdf File-Size: 492 kb Handle: RePEc:onb:oenbfs:y:2013:i:26:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Judith Eidenberger Author-Name-First: Judith Author-Name-Last: Eidenberger Author-Email: judith.eidenberger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank (OeNB), Financial Markets Analysis and Surveillance Division Author-Name: Benjamin Neudorfer Author-Name-First: Benjamin Author-Name-Last: Neudorfer Author-Email: Benjamin.Neudorfer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Ingrid Stein Author-Name-First: Ingrid Author-Name-Last: Stein Author-Email: ingrid.stein@bundesbank.de Author-Workplace-Name: Deutsche Bundesbank, Department of Financial Stability Title: Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision Classification-JEL: G01 G28 Keywords: Financial crisis, government policy and regulation Pages: 62-81 Year: 2013 Issue: 26 File-URL: https://www.oenb.at/dam/jcr:5a0ccec8-5b1f-4614-8fc4-3239ff99f99e/fsr_26_report_special_topics2.pdf File-Format: application/pdf File-Size: 1693 kb Handle: RePEc:onb:oenbfs:y:2013:i:26:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Title: Credit Boom in Russia despite Global Woes – Driving Forces and Risks Classification-JEL: G21, G28, P34 Keywords: Banking sector, credit boom, financial deepening, connected lending, related-party lending, unsecured consumer lending, nonperforming loans, moral suasion, shock-absorbing factors, Russia Pages: 82-99 Year: 2013 Issue: 26 File-URL: https://www.oenb.at/dam/jcr:62c7c8b5-f80e-4c68-b58a-432483fa27e6/fsr_26_report_special_topics3.pdf File-Format: application/pdf File-Size: 1580 kb Handle: RePEc:onb:oenbfs:y:2013:i:26:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Martin Feldkircher Author-Name-First: Martin Author-Name-Last: Feldkircher Author-Email: martin.feldkircher@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Name: Gerhard Fenz Author-Name-First: Gerhard Author-Name-Last: Fenz Author-Email: gerhard.fenz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Divison Author-Workplace-Homepage: http://www.oenb.at Author-Name: Robert Ferstl Author-Name-First: Robert Author-Name-Last: Ferstl Author-Email: robert.ferstl@oenb.at Author-Workplace-Name: Off-Site Banking Analysis and Strategy Division Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Benjamin Neudorfer Author-Name-First: Benjamin Author-Name-Last: Neudorfer Author-Email: Benjamin.Neudorfer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Thomas Reininger Author-Name-First: Thomas Author-Name-Last: Reininger Author-Email: Thomas.Reininger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5234 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Martin Schneider Author-Name-First: Martin Author-Name-Last: Schneider Author-Email: martin.schneider@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Divison Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7436 Author-Name: Christoph Siebenbrunner Author-Name-First: Christoph Author-Name-Last: Siebenbrunner Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Ralph Spitzer Author-Name-First: Ralph Author-Name-Last: Spitzer Author-Email: ralph.spitzer@oenb.at Title: ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System Classification-JEL: G10, G21, F23 Keywords: financial stability, stress testing, FSAP Pages: 100-118 Year: 2013 Issue: 26 File-URL: https://www.oenb.at/dam/jcr:ac6beb8c-b44f-42df-8d72-9de50bb0aa50/fsr_26_report_special_topics4.pdf File-Format: application/pdf File-Size: 1495 kb Handle: RePEc:onb:oenbfs:y:2013:i:26:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Dieter Huber Author-Name-First: Dieter Author-Name-Last: Huber Author-Email: dieter.huber@oenb.at Author-Workplace-Name: Off-Site Banking Analysis and Strategy Division Author-Name: Elisabeth von Pföstl Author-Name-First: Elisabeth von Author-Name-Last: Pföstl Author-Email: elisabeth.pfoestl@oenb.at Author-Workplace-Name: Off-Site Banking Analysis and Strategy Division Title: The Single Supervisory Mechanism within the Banking Union – Novel Features and Implications for Austrian Supervisors and Supervised Entities Abstract: Over the past decades, the internal market for banking services has flourished. The financial crisis and contagion from banks to sovereigns and across borders has underlined the need to match the size and level of cross-border activities of banks with the integration of banking supervision. To align supervisory and political responsibilities with the competence to provide a financial backstop, the heads of government of the euro area have proposed a three-pillar model for a banking union. As a first step in implementing banking union, supervisory responsibility for banks in participating Member States will be conferred on the ECB. Within the framework of a single supervisory mechanism (SSM), the ECB will share duties with the national authorities. The ECB will be responsible for the overall functioning of the SSM. At the same time, national authorities retain certain responsibilities, including the supervision of less significant banks. The changes to the supervisory process require a suitable organizational setup and procedures that account for the roles and responsibilities of the ECB and national authorities within the SSM and vis-à-vis supervised institutions. Classification-JEL: K230, K330 Keywords: single supervisory mechanism, banking union, ESM, banking supervision, joint supervisory team, ECB framework regulation Pages: 52-56 Year: 2013 Issue: 25 File-URL: https://www.oenb.at/dam/jcr:03b4fca2-8b00-432f-85f3-b5aaa545d439/fsr_25_report_special_topics1_tcm16-256587.pdf File-Format: application/pdf File-Size: 454 kb Handle: RePEc:onb:oenbfs:y:2013:i:25:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Peter Lindner Author-Name-First: Peter Author-Name-Last: Lindner Author-Email: peter.lindner@oenb.at Author-Workplace-Name: Economic Analysis Division Title: Household Vulnerability in Austria – A Microeconomic Analysis Based on the Household Finance and Consumption Survey Abstract: This study analyzes the indebtedness and vulnerability of households in Austria using data from the Household Finance and Consumption Survey (HFCS), a new source of microdata. The HFCS allows us to investigate potential risks household debt may pose to financial stability. Following the recent literature on indebtedness, we look first at the intensive as well as extensive margin of credit. The data show that debt participation and the level of debt in general increases with wealth and income, which points toward a relatively low risk to the financial sector. Additionally, our analysis identifies vulnerable households and estimates the financial sector’s potential exposure at default and loss given default. We find that the estimates for loss given default range from 0.2% to 10% and are in line with similar studies for other countries. Combining these estimates with important other financial stability indicators, such as the development of initial loan-to-value ratios, we are able to conclude that at present, the risk to financial stability stemming from households in Austria is relatively low. Classification-JEL: D10, D14, E44, G21 Keywords: household indebtedness, vulnerability, exposure at default, loss given default, HFCS Pages: 57-73 Year: 2013 Issue: 25 File-URL: https://www.oenb.at/dam/jcr:4b35f13d-56a3-44c8-9d95-fd42d0f0f169/fsr_25_report_special_topics2_tcm16-256588.pdf File-Format: application/pdf File-Size: 1805 kb Handle: RePEc:onb:oenbfs:y:2013:i:25:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Thomas Breuer Author-Name-First: Thomas Author-Name-Last: Breuer Author-Email: thomas.breuer@fhv.at Author-Workplace-Name: Research Centre PPE, Fachhochschule Vorarlberg, Hochschulstr. 1, A-6850 Dornbirn, Austria. Author-Name: Martin Summer Author-Name-First: Martin Author-Name-Last: Summer Author-Email: martin.summer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7212 Author-Workplace-Fax: +43-1-40420-7299 Title: Stress Test Robustness: Recent Advances and Open Problems Abstract: This paper reviews recent advances made in improving the robustness of stress-testing models against potential misspecification or risk-factor-distribution misestimation, including conceptual advances in measuring robustness against pricing-model misspecification. In addition, we address an important open problem of stress tests as they are carried out today: the endogeneity of financial risks. Traditional stress-testing frameworks model a single-person decision problem in the face of an exogenous source of risk. Yet financial risks arise from the complex interaction between individuals, firms and financial institutions. A stress-testing framework that falls short of incorporating this risk endogeneity will ultimately only be able to capture the financial stress of individual institutions in a non-crisis environment. Classification-JEL: G01, G28, G38, C02 Keywords: stress testing, financial stability, systemic risk, robustness Pages: 74-86 Year: 2013 Issue: 25 File-URL: https://www.oenb.at/dam/jcr:17c4b975-1769-4754-b6b4-3a8abe05e7fe/fsr_25_report_special_topics3_tcm16-256589.pdf File-Format: application/pdf File-Size: 1466 kb Handle: RePEc:onb:oenbfs:y:2013:i:25:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Ulrich Gunter Author-Name-First: Ulrich Author-Name-Last: Gunter Author-Email: ulrich.gunter@modul.ac.at Author-Workplace-Name: MODUL University Vienna, Department of Tourism and Service Management Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Macroeconomic, Market and Bank-Specific Determinants of the Net Interest Margin in Austria Abstract: The objective of this article is to identify key determinants of the net interest margin (NIM) in the Austrian banking sector. In Austria, the NIM is one of the most important income drivers of banks given the importance of relationship banking, where interest income dominates other sources of revenue. However, the NIM differs substantially among Austrian banks. Drawing on a unique supervisory dataset for the Austrian banking sector of around 42,000 observations between the first quarter of 1996 and the second quarter of 2012, we analyze under which circumstances a bank has a relatively high or low NIM. We contribute to the empirical literature on the NIM by factoring in a bank’s business model in terms of its balance sheet structure and by accounting for the financial crisis from the third quarter of 2007 onward. Our estimation results suggest that not only the determinants identified in the existing empirical literature (different types of non-interest income and expenses, various risk measures, competition, macroeconomic environment) have a significant influence on the NIM, but also our two innovations (balance sheet structure, financial crisis). Classification-JEL: E43, G21, D40, L11 Keywords: Net interest margin, balance sheet structure, panel estimation Pages: 87-101 Year: 2013 Issue: 25 File-URL: https://www.oenb.at/dam/jcr:c0e8dc99-0b2b-4cb9-b3cd-44aafb449a66/fsr_25_report_special_topics4_tcm16-256590.pdf File-Format: application/pdf File-Size: 1413 kb Handle: RePEc:onb:oenbfs:y:2013:i:25:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Petr Jakubík Author-Name-First: Petr Author-Name-Last: Jakubík Author-Email: petr.jakubik@cnb.cz Author-Workplace-Name: C?eská národní banka (CNB), Institute of Economic Studies of Charles University in Prague Author-Name: Tomáš Slacík Author-Name-First: Tomáš Author-Name-Last: Slacík Author-Email: tomas.slacik@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: Measuring Financial (In)Stability in Emerging Europe: A New Index-Based Approach Abstract: The importance of assessing financial stability in emerging Europe has increased rapidly since the recent financial crisis. Against this background, in the present paper we contribute to the existing literature in a twofold way: First, by using a broad range of indicators from money, bond, equity and foreign exchange markets, we develop a comprehensive financial instability index (FII) that gauges the level of financial market stress in some key Central, Eastern and Southeastern European (CESEE) countries. In a second step, we perform a panel estimation to investigate which macroprudential indicators that cover both internal and external imbalances explain the evolution of our FII over the past more than 15 years. Our analysis suggests that both the levels and changes of some indicators (such as credit growth and the level of private sector indebtedness) play an important role for financial stability. Moreover, we find that the impact of some key indicators on financial (in)stability is nonlinear and varies over time depending on market sentiment. Classification-JEL: G28, G32, G33, G38 Keywords: Financial stability, crisis, macroprudential framework, emerging Europe, external and internal imbalances Pages: 102-117 Year: 2013 Issue: 25 File-URL: https://www.oenb.at/dam/jcr:2ae4aa51-3edf-411a-9003-7c7f284f295c/fsr_25_report_special_topics5_tcm16-256591.pdf File-Format: application/pdf File-Size: 1584 kb Handle: RePEc:onb:oenbfs:y:2013:i:25:b:5 Template-Type: ReDIF-Article 1.0 Author-Name: Raphael Auer Author-Name-First: Raphael Author-Name-Last: Auer Author-Email: raphael.auer@snb.ch Author-Workplace-Name: International Trade and Capital Flows Unit Author-Name: Sebastien Kraenzlin Author-Name-First: Sebastien Author-Name-Last: Kraenzlin Author-Email: sebastien.kraenzlin@snb.ch Author-Workplace-Name: Money Market Unit Author-Name: David Liebeg Author-Name-First: David Author-Name-Last: Liebeg Author-Email: david.liebeg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: How Do Austrian Banks Fund Their Swiss Franc Exposure? Abstract: Austrian banks have traditionally issued large volumes of Swiss franc-denominated loans. Although new issuance has virtually stopped since 2008, the outstanding volume (CHF 81 billion at mid-2012) will continue to pose a challenge to financial stability at least in the coming decade. This study examines how Austrian banks have refinanced their Swiss franc positions and how this changed with the onset of the financial crisis. We document the importance and evolution of three main funding sources: (1) the secured and unsecured interbank money market, (2) Swiss franc-denominated bond issuances, and (3) central bank financing operations. Our findings are that while activity in the unsecured money market almost came to a halt around the collapse of Lehman brothers and the issuance of Swiss franc-denominated bonds also decreased, the cross-border repo market proved resilient. Moreover, an important role in dealing with the funding drought was played by central bank operations, namely repo operations by the Swiss National Bank (SNB) and swap facilities provided by the SNB and the ECB. Classification-JEL: E52, E58, F33, F36, G21 Keywords: foreign currency loan, banking supervision, banking sector stability, lender of last resort, refinancing, interbank market Pages: 54-61 Year: 2012 Issue: 24 File-URL: https://www.oenb.at/dam/jcr:e8b9922e-ddb0-458b-99b0-25bc730e4a9d/fsr_24_special_topics_01_tcm16-252039.pdf File-Format: application/pdf File-Size: 2423 kb Handle: RePEc:onb:oenbfs:y:2012:i:24:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Reinhardt Seliger Author-Name-First: Reinhardt Author-Name-Last: Seliger Author-Email: Reinhardt.Seliger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Contagiousness and Vulnerability in the Austrian Interbank Market Abstract: The purpose of this paper is to analyze (hypothetical) contagious bank defaults, i.e. defaults not caused by the fundamental weakness of a given bank but triggered by failures in the banking system. As failing banks become unable to honor their commitments on the interbank market, they may cause other banks to default, which may in turn push even more banks over the edge in so-called default cascades. In our paper we distinguish between contagiousness (the share of total banking assets represented by those banks that a specific bank brings down by contagion) and vulnerability (the number of banks by which a bank is brought down by cascading failures). Our analysis consists of three steps: first, we analyze the structure of the Austrian interbank market from end-2008 to end-2011. Second, we run (hypothetical) default simulations based on Eisenberg and Noe (2001) for the same set of banks. Finally, we estimate a panel data model to explain the (hypothetical) defaults generated by these simulations with the underlying structure of the network using network indicators that reflect (i) the network as a whole, (ii) a subnetwork or cluster, and (iii) the node level based on banks’ interbank lending relationships. As a result we find strong correlations between a bank’s position in the Austrian interbank market and its likelihood of either causing contagion or being affected by contagion. Although our analysis is based on a dataset constrained to the interbank market of unconsolidated Austrian banks, we believe our findings could be verified by analyzing other banking systems (albeit with a different model calibration). Given the importance of identifying systemically important banks for the formulation of macroprudential policy, we believe that our analysis has the potential to improve our assessment with regard to second-round effects and default cascades in the interbank market. Classification-JEL: C23, G21, D85, G01 Keywords: Interbank market, network indicators, contagion, panel analysis Pages: 62-78 Year: 2012 Issue: 24 File-URL: https://www.oenb.at/dam/jcr:51b01295-493e-4d5a-a5e4-6f59f572eea5/fsr_24_special_topics_02_tcm16-252042.pdf File-Format: application/pdf File-Size: 2820 kb Handle: RePEc:onb:oenbfs:y:2012:i:24:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Robert Ferstl Author-Name-First: Robert Author-Name-Last: Ferstl Author-Email: robert.ferstl@oenb.at Author-Workplace-Name: Off-Site Banking Analysis and Strategy Division Author-Name: David Seres Author-Name-First: David Author-Name-Last: Seres Author-Email: david.seres@oenb.at Author-Workplace-Name: Off-Site Banking Analysis and Strategy Division Title: Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector Abstract: As the European banking sector is becoming increasingly intertwined, the degree of interdependence is also rising. Consequently, it is key to conduct comparisons for a timely identification of emerging patterns of this development. Furthermore, the product range of banks has expanded so that heterogeneity across the banking sector has also been growing rapidly. This rising heterogeneity makes it increasingly impractical to carry out comparisons on an aggregate level. A more efficient approach is identifying one or ore ”common denominators” of similar banks and establishing groups of banks which share this (these) common denominator(s). In this paper, we consider the business models of banks as one such common denominator, which can be described by a set of variables. These variables span a high-dimensional space where each bank represents a point, which can be measured by a statistical distance. Points close to each other may constitute a group, while points distant from these points will not belong to that group. Therefore, the objective of this study is, on the one hand, to define an efficient set of variables correctly reflecting the business models of banks and, on the other hand, to find subsets of high similarity. By applying statistical clustering techniques we aim to understand banks’ business models, thereby gaining new insights into the design of the European banking sector and, in particular, identifying peer groups relevant to the top Austrian banks. Assessing the distribution of risk and identifying certain business patterns within those groups allows a meaningful ranking of Austrian banks in comparison to their European competitors.2 The analysis in this paper is conducted on the basis of a purely quantitative methodology and the results should be interpreted accordingly. Classification-JEL: C02, C44, C58 Keywords: Austrian banks, cluster analysis, data-driven decision support Pages: 79-95 Year: 2012 Issue: 24 File-URL: https://www.oenb.at/dam/jcr:9f5fecf1-1624-49ff-8ffd-8a9823115542/fsr_24_special_topics_03_tcm16-252045.pdf File-Format: application/pdf File-Size: 2210 kb Handle: RePEc:onb:oenbfs:y:2012:i:24:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Ulrich Gunter Author-Name-First: Ulrich Author-Name-Last: Gunter Author-Email: ulrich.gunter@oenb.at Author-Workplace-Name: Financial Markets Analysis and Surveillance Division Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: Ukrainian Banks Face Heightened Uncertainty and Challenges Abstract: Following a sharp recession in 2009, the Ukrainian economy recovered in 2010 and 2011. In particular in 2011, domestic demand-led growth was accompanied by widening external imbalances. The economy’s external vulnerabilities – related to the current account deficit (2011: 5.6% of GDP) and the elevated foreign debt stock (77% of GDP) – entail risks for the banking sector, as exchange rate pressures against the hryvnia’s U.S. dollar peg have been recurrent and foreign exchange reserves declined in the second half of 2011. While the share of foreign currency loans in total loans has been steadily declining (thanks to a ban on extending new foreign currency loans to unhedged borrowers imposed by the National Bank of Ukraine in the fall of 2008), it remains sizeable (end-2011: 41%). Many of these loans are unhedged. The stabilization of nonperforming loans at a high level could be interrupted by a further deterioration of the economic situation or by a new bout of hryvnia depreciation. Moreover, the population’s confidence in the Ukrainian currency is prone to volatile swings. As deposit inflows have picked up and loan growth has remained subdued, the loan-to-deposit ratio has receded, but is still relatively high (end-2011: 163%). With the funding structure shifting to domestic deposits, the banking sector’s external position has improved (net external liabilities have fallen to 8% of total liabilities). In 2011, loan growth became positive in real terms again. Recapitalization efforts contributed to upholding capital adequacy. The banking sector’s profitability improved, but nevertheless stayed in negative territory. Classification-JEL: G21, G28, P34 Keywords: Banking sector, banking crisis, nonperforming loans, external vulnerabilities, recapitalization, Ukraine Pages: 50-57 Year: 2012 Issue: 23 File-URL: https://www.oenb.at/dam/jcr:139d4c3e-c40d-46bc-b73a-df35fa529c1c/fsr_23_special_topics_01_tcm16-249136.pdf File-Format: application/pdf File-Size: 2427 kb Handle: RePEc:onb:oenbfs:y:2012:i:23:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Pirmin Fessler Author-Name-First: Pirmin Author-Name-Last: Fessler Author-Email: Pirmin.Fessler@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Martin Schürz Author-Name-First: Martin Author-Name-Last: Schürz Author-Email: martin.schuerz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: Risk Buffer Profiles of Foreign Currency Mortgage Holders Abstract: In Austria, the share of foreign currency mortgages in total household debt has been increasing since the late 1990s. Today about one-third of household credit debt is denominated in foreign currency, mostly in Swiss francs. A major issue with regard to the resulting implications for financial stability is the vulnerability of indebted households. Do foreign currency borrowers opt for foreign currency loans because they cannot afford a given loan in domestic currency? Or are foreign currency borrowers just less risk averse and better able to absorb risks than their domestic currency counterparts? We employ a subsample of the Household Survey on Housing Wealth 2008 for the first borrower analysis of this kind for Austria. Using simple linear regression techniques may be misleading given the heterogeneity of borrowers’ characteristics and the heterogeneity of differences along risk buffers. Hence we estimate conditional counterfactual distributions in order to calculate the differences in terms of risk buffers between foreign currency borrowers and their domestic currency counterparts over the entire marginal distributions of the risk buffers. We find that foreign currency borrowers have substantially higher risk buffers than their domestic currency counterparts and therefore reject the hypothesis that most of them have loans in foreign currency because they would not be able to afford the same amounts in domestic currency on account of the higher interest rate burden. Classification-JEL: D10, D14, D31, D39, E44, E17 Keywords: Foreign currency borrowing, mortgages, risk, Austria, Swiss francs, household indebtedness Pages: 58-71 Year: 2012 Issue: 23 File-URL: https://www.oenb.at/dam/jcr:a9942c8b-6739-4248-9dbc-8bcedca2f247/fsr_23_special_topics_02_tcm16-249137.pdf File-Format: application/pdf File-Size: 2607 kb Handle: RePEc:onb:oenbfs:y:2012:i:23:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Markus Hameter Author-Name-First: Markus Author-Name-Last: Hameter Author-Email: markus.hameter@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Credit Division Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Name: Ursula Vogel Author-Name-First: Ursula Author-Name-Last: Vogel Author-Email: u.vogel@fs.de Author-Workplace-Name: Frankfurt School of Finance & Management Title: Intra-Group Cross-Border Credit and Roll-Over Risks in CESEE – Evidence from Austrian Banks Abstract: During the last decade several CESEE countries built up high external liabilities vis-à-vis foreign banking sectors, with Austrian banks being important creditors. The provision of crossborder credit allowed for rapid financial deepening in many of these countries but also led to a build-up of vulnerabilities to negative spillovers. This study points out that Austrian banks granted a considerable part of direct cross-border credit to affiliated borrowers in CESEE, in particular to their own bank subsidiaries. To our knowledge, this is the first paper that examines the differences between direct cross-border lending to affiliates and direct crossborder lending to nonaffiliates. Our analysis shows that intra-group cross-border credit from Austrian banks was more stable than lending to nonaffiliated borrowers during the 2008/09 financial crisis period. We argue that this is due to lower information asymmetries and parent banks’ efforts to provide their subsidiaries with liquidity in times of financial distress to support their investments. Classification-JEL: E44, G21, G32 Keywords: Financial stability, banking sector, Central and Eastern Europe, refinancing, funding, capital flows, roll-over, financial crisis Pages: 72-87 Year: 2012 Issue: 23 File-URL: https://www.oenb.at/dam/jcr:ae013b5f-cc95-4bec-9998-d964bf72433f/fsr_23_special_topics_03_tcm16-249138.pdf File-Format: application/pdf File-Size: 2548 kb Handle: RePEc:onb:oenbfs:y:2012:i:23:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Benjamin Neudorfer Author-Name-First: Benjamin Author-Name-Last: Neudorfer Author-Email: Benjamin.Neudorfer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Alexander Trachta Author-Name-First: Alexander Author-Name-Last: Trachta Author-Email: Alexander.Trachta@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Detecting Financial Stability Vulnerabilities in Due Time: Can Simple Indicators Identify a Complex Issue? Abstract: This paper analyzes the resilience of credit institutions to instances of financial instability based on simple publicly available balance sheet and income statement figures. In the course of the recent financial crisis and the related credit turmoil, the loss absorption capacity of the global financial system has been stretched to its limit. Globally active financial institutions, many of them systemically relevant, needed government support to keep their capital ratios above regulatory and/or market required minima. Central banks had to step in to provide liquidity when large parts of the financial markets ceased to function. From an ex-post perspective, the crisis provided a real stress scenario which we use to explain bank performance by examining simple indicators such as capitalization, liquidity, funding structure and asset-side exposure. To cover systemically important European banks we choose a subset from the bank sample used by the European Banking Association for the EU-wide stresstesting exercise in 2011. We add three Austrian banks to arrive at a sample of 90 European banks in total (including altogether six Austrian banks). To measure bank performance, we use return on average assets, return on average equity, operating profits, required government support and equity prices. We show that these performance measures can be explained adequately by our simple indicators. We are able to identify the strong, respectively weak, banks that did not, respectively did, need government support in 2009. Regarding the other performance measures we give a forecast for 2011 about which banks are expected to perform well, ordinarily and poorly. Classification-JEL: E44, E32, E37 Keywords: bank performance, financial crisis, stress testing, early warning Pages: 59-71 Year: 2011 Issue: 22 File-URL: https://www.oenb.at/dam/jcr:2edf9175-3399-4371-beb0-d5a4ef15d3e9/fsr_22_special_topics_01_tcm16-242312.pdf File-Format: application/pdf File-Size: 2181 kb Handle: RePEc:onb:oenbfs:y:2011:i:22:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kerbl Author-Name-First: Stefan Author-Name-Last: Kerbl Author-Email: stefan.kerbl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, On-Site Banking Inspections Division – Large Banks Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: What Drives Aggregate Credit Risk? Abstract: A deep understanding of the drivers of credit risk is valuable for financial institutions as well as for regulators from multiple viewpoints. The systemic component of credit risk drives losses across portfolios and thus poses a threat to financial stability. Traditional approaches consider macroeconomic variables as drivers of aggregate credit risk (ACR). However, recent literature suggests the existence of a latent risk factor influencing ACR, which is regularly interpreted as the latent credit cycle. We explicitly model this latent factor by adding an unobserved component to our models, which already include macroeconomic variables. In this paper we make use of insolvency rates of Austrian corporate industry sectors to model realized probabilities of default. The contribution of this paper to the literature on ACR risk is threefold. First, in order to cope with the lack of theory behind ACR drivers, we implement state-of-the-art variable selection algorithms to draw from a rich set of macroeconomic variables. Second, we add an unobserved risk factor to a state space model, which we estimate via a Kalman filter in an expectation maximization algorithm. Third, we analyze whether the consideration of an unobserved component indeed improves the fit of the estimated models. Classification-JEL: E44, E32, E37 Keywords: credit risk, unobserved component models, state space, Kalman filter, stress testing Pages: 72-87 Year: 2011 Issue: 22 File-URL: https://www.oenb.at/dam/jcr:cccdd3cf-69f1-44d3-a7f1-f452a82e0633/fsr_22_special_topics_02_tcm16-242313.pdf File-Format: application/pdf File-Size: 2628 kb Handle: RePEc:onb:oenbfs:y:2011:i:22:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Teresa Bianchi Author-Name-First: Teresa Author-Name-Last: Bianchi Author-Email: Teresa.Bianchi@fma.gv.at Author-Workplace-Name: Austrian Financial Market Authority Author-Name: Gernot Ebner Author-Name-First: Gernot Author-Name-Last: Ebner Author-Email: Gernot.Ebner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Raimund Korherr Author-Name-First: Raimund Author-Name-Last: Korherr Author-Email: Raimund.Korherr@fma.gv.at Author-Workplace-Name: Austrian Financial Market Authority Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: The Austrian Insurance Industry in CESEE: Risks and Opportunities from a Financial Stability Point of View Abstract: This study gives an overview of the insurance market in Central, Eastern and Southeastern Europe (CESEE) in general and of the Austrian insurance groups’ activities in the region in particular. Moreover, it deals with risk management issues and the challenges arising from the new EU regulatory framework, Solvency II. We identify the main risks and opportunites for insurance groups in this respect: While potential market growth rates and still higher margins represent the main opportunities, there is also evidence of some reputational as well as financial risks. Further, cross-border business activities also pose some challenges for the risk management of internationally active insurance groups. From a macroprudential perspective, the Austrian insurance groups’ exposure to CESEE augments the exposure of Austria financial institutions to this region. Classification-JEL: G22, F15 Keywords: Central, Eastern and Southeastern Europe, Insurance, Austria Pages: 88-106 Year: 2011 Issue: 22 File-URL: https://www.oenb.at/dam/jcr:906a8eb5-0db6-4492-b257-8b9521ec7328/fsr_22_special_topics_03_tcm16-242315.pdf File-Format: application/pdf File-Size: 1991 kb Handle: RePEc:onb:oenbfs:y:2011:i:22:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Martin Summer Author-Name-First: Martin Author-Name-Last: Summer Author-Email: martin.summer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7212 Author-Workplace-Fax: +43-1-40420-7299 Title: Bank Supervision and Resolution: National and International Challenges Pages: 107-111 Year: 2011 Issue: 22 File-URL: https://www.oenb.at/dam/jcr:0f6bc5c4-1d6e-40b9-b702-4831e3c76b1b/fsr_22_special_topics_04_tcm16-242316.pdf File-Format: application/pdf File-Size: 2013 kb Handle: RePEc:onb:oenbfs:y:2011:i:22:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Anastasia Gromova-Schneider Author-Name-First: Anastasia Author-Name-Last: Gromova-Schneider Author-Email: Anastasia.Gromova-Schneider@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Caroline Niziolek Author-Name-First: Caroline Author-Name-Last: Niziolek Author-Email: Caroline.Niziolek@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: The Road to Basel III – Quantitative Impact Study, the Basel III Framework and Implementation in the EU Abstract: In response to the financial crisis, the Basel Committee on Banking Supervision (BCBS) in December 2009 published its first consultative proposals to review the Basel II regulatory framework. Following a consultation process and a quantitative impact study (QIS), on December 16, 2010, the BCBS published the final Basel III framework for tightening the globally applicable capital adequacy and liquidity rules. The implementation of the new provisions in the EU is currently under way. The European Commission’s legislative proposals are expected to be published before summer 2011. Classification-JEL: G21, G28 Keywords: Basel III, capital and liquidity Pages: 58-61 Year: 2011 Issue: 21 File-URL: https://www.oenb.at/dam/jcr:a895a8cc-3002-4e53-bb03-4c9e7741cfe3/fsr_21_special_topic_01_tcm16-235511.pdf File-Format: application/pdf File-Size: 1716 kb Handle: RePEc:onb:oenbfs:y:2011:i:21:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: David Liebeg Author-Name-First: David Author-Name-Last: Liebeg Author-Email: david.liebeg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Michaela Posch Author-Name-First: Michaela Author-Name-Last: Posch Author-Email: michaela.posch@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Macroprudential Regulation and Supervision: From the Identification of Systemic Risks to Policy Measures Abstract: Macroprudential regulation and supervision of systemic risks is one of the most discussed issues on both the national and international regulatory agenda. This rather new concept presents regulators and supervisors with a number of major challenges. First, in the sphere of risk identification and assessment, the main tasks will be assessing network effects, enhancing stress tests, expanding the supervisory scope to include nonbank financial intermediaries and distilling the findings from various analytical strands into an overall perspective on systemic risks. Second, although some systemic elements have been embedded in the “Basel III” framework, experience in implementing macroprudential policies is scarce and implementation is highly dependent on national circumstances, i.e. legal mandates and feasibility as well as authorities’ readiness to act. Third, in addition to the newly established European Systemic Risk Board (ESRB), some European (as well as non-European) countries have made considerable progress in establishing national systemic risk boards with extended legal rights and responsibilities for macroprudential regulation and supervision. Austria is lagging behind in this respect, and the legal mandate of regulatory and supervisory authorities remains vague and is largely restricted to monitoring financial stability. Besides giving an overview of the current discussion on macroprudential regulation and supervision, this paper provides an analysis of the state of play in Austria as well as some proposals to improve the current macroprudential framework. Classification-JEL: E58, E61, G28 Keywords: central banking, regulation, supervision, policy making, financial stability, macroprudential Pages: 62-78 Year: 2011 Issue: 21 File-URL: https://www.oenb.at/dam/jcr:d5d09111-90ea-48f5-aac5-b8d2c80d707f/fsr_21_special_topic_02_tcm16-235512.pdf File-Format: application/pdf File-Size: 2289 kb Handle: RePEc:onb:oenbfs:y:2011:i:21:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Sándor Gardó Author-Name-First: Sándor Author-Name-Last: Gardó Author-Email: sandor.gardo@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: Preserving Macrofinancial Stability in Serbia: Past Legacies, Present Dilemmas and Future Challenges Abstract: In the course of the boom years from 2004 to 2008, Serbia accumulated sizeable macrofinancial imbalances, which made the country vulnerable to external shocks during the global crisis and rendered the process of crisis management more complex. As these vulnerabilities materialized, Serbia had to take recourse to international support which helped stabilize the country’s macrofinancial conditions. Some macrofinancial risks prevail, however, mainly with regard to fiscal and external sustainability. At the same time, financial stability concerns are mitigated by the banking system’s high shock-absorption capacities, the strategically oriented presence of foreign banks and vigilant central bank action. A major future challenge will be to avoid a renewed rise in financial and external vulnerabilities. This calls for a prudent economic policy mix and increased efforts toward structural reform Classification-JEL: F36, G2, O52, P2 Keywords: financial stability, banking sector, economic and financial crisis Pages: 79-104 Year: 2011 Issue: 21 File-URL: https://www.oenb.at/dam/jcr:56ed6860-68eb-4bab-bad8-813a546a6339/fsr_21_special_topic_03_tcm16-235513.pdf File-Format: application/pdf File-Size: 9057 kb Handle: RePEc:onb:oenbfs:y:2011:i:21:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Johannes Pann Author-Name-First: Johannes Author-Name-Last: Pann Author-Email: johannes.pann@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Reinhardt Seliger Author-Name-First: Reinhardt Author-Name-Last: Seliger Author-Email: Reinhardt.Seliger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Julia Übeleis Author-Name-First: Julia Author-Name-Last: Übeleis Author-Email: julia.uebeleis@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Foreign Currency Lending in Central, Eastern and Southeastern Europe: The Case of Austrian Banks Abstract: This paper describes the exposure of Austrian banks to foreign currency loans in Central, Eastern and Southeastern Europe and the CIS and elaborates on its risks to banking sector stability. Austrian banks’ foreign currency loan exposure more than doubled between 2005 and 2009, their regional subsidiaries’ foreign currency loan exposure continued to be higher than the market average in this period. Our findings confirm the key importance of funding risks and do not contradict the assumption of a nonlinear relationship with regard to credit risk. However, a simple comparison of risk indicators does not unambiguously indicate an overall higher credit risk in the foreign currency loan portfolio. Most recent data suggest that Austrian banks’ foreign currency loan exposure is declining. Policymakers are now called upon to use the momentum and strike a balance between restricting foreign currency lending to foster a more sustainable growth path and avoiding negative procyclical effects. Classification-JEL: G15, G21, F34 Keywords: Austrian banks, Eastern Europe, foreign currency loan, banking sector stability, credit risk Pages: 56-76 Year: 2010 Issue: 20 File-URL: https://www.oenb.at/dam/jcr:ad3de9a9-0734-4d6c-ac68-da763ce94635/fsr_20_special_topic_01_tcm16-214489.pdf File-Format: application/pdf File-Size: 456 kb Handle: RePEc:onb:oenbfs:y:2010:i:20:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: Russian Banks on the Route of Fragile Recovery Abstract: Largely thanks to the recovery of the real economy, the situation of Russian banks has improved again. After month-on-month loan growth had quickly ground to a halt in late 2008, banks contributed to Russia’s deep economic slump in 2009. The share of nonperforming loans had tripled to 10% of total loans by late 2009 and has since remained at about this level. An incipient recovery of lending made itself felt only in the second quarter of 2010. However, as the national authorities had delivered a comprehensive policy response which helped sustain or reestablish confidence, Russia did not experience any major bank run or failure. Temporary deposit withdrawals after the collapse of Lehman Brothers were followed by a rapid expansion of deposits, starting from early 2009. Following a modest crisis-triggered rise, the share of foreign currency loans declined again to about one-fifth of total loans. Banks’ access to international capital markets improved from late 2009/early 2010. Profitability, having plunged to zero in mid-2009, subsequently recovered but is still modest. Thanks to recapitalization exercises, capital adequacy is satisfactory. The stabilization of the banking sector has allowed the authorities to start exiting from crisis response measures. Banks face a vulnerable environment given the world economy’s post-crisis fragility and Russia’s undiminished dependence on the oil price and capital flows, which is exacerbated by persisting structural weaknesses. Nonetheless, the existing shock-absorbing factors are sizeable. Classification-JEL: G21, G28, P34 Keywords: Banking sector, banking crisis, credit boom, credit crunch, connected lending, crisis-response policies, nonperforming loans, restructuring, shock-absorbing factors, Russia Pages: 77-85 Year: 2010 Issue: 20 File-URL: https://www.oenb.at/dam/jcr:9c76463a-50cf-48fc-8589-3cda762e7bb9/fsr_20_special_topic_02_tcm16-214492.pdf File-Format: application/pdf File-Size: 760 kb Handle: RePEc:onb:oenbfs:y:2010:i:20:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Emanuel Kopp Author-Name-First: Emanuel Author-Name-Last: Kopp Author-Email: emanuel.kopp@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Christian Ragacs Author-Name-First: Christian Author-Name-Last: Ragacs Author-Email: christian.ragacs@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: The Economic Impact of Measures Aimed at Strengthening Bank Resilience – Estimates for Austria Abstract: This paper proposes a conceptual framework for analyzing the effects that proposals to strengthen the resilience of the banking sector may have on the Austrian economy. We use this framework to quantify the macroeconomic costs of the following regulatory reform measures: Requiring banks to raise the quality of the regulatory capital base, with or without requiring them to hold additional common equity buffers; introducing a global liquidity standard based on a net stable funding ratio; implementing a contingent capital regime to address the risks created by systemically important banks; abolishing implicit government guarantees for senior bank bonds; and reforming EU rules on deposit guarantee schemes. We estimate the macroeconomic costs for different scenarios on a cumulative three-year basis, comparing medium- and long-term effects on the one hand and direct effects (generated in the domestic economy) and indirect effects (including spillover effects from other euro area countries) on the other hand. The results differ significantly depending on the individual measures, but the macroeconomic costs appear to be within reasonable limits and are comparable with those established for other countries by the Basel Committee on Banking Supervision. In any case, the costs are substantially below the results published by individual banks and interest groups. Classification-JEL: E44, G21 Keywords: Bank regulation, economic growth Pages: 86-114 Year: 2010 Issue: 20 File-URL: https://www.oenb.at/dam/jcr:cd5452e4-c5a3-486b-955d-fef4c76075fb/fsr_20_special_topic_03_tcm16-214497.pdf File-Format: application/pdf File-Size: 906 kb Handle: RePEc:onb:oenbfs:y:2010:i:20:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Helmut Elsinger Author-Name-First: Helmut Author-Name-Last: Elsinger Author-Email: helmut.elsinger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://finance2.bwl.univie.ac.at/members/elsinger/elsinger.htm Author-Workplace-Phone: +43-1-4277 38057 Author-Workplace-Fax: +43-1-4277 38054 Author-Name: Martin Summer Author-Name-First: Martin Author-Name-Last: Summer Author-Email: martin.summer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7212 Author-Workplace-Fax: +43-1-40420-7299 Title: The Economics of Bank Insolvency, Restructuring and Recapitalization Abstract: Bank insolvency law, bank restructuring and the recapitalization of banks are not only legal or administrative issues but are of preeminent economic importance. To highlight the economic perspective, the OeNB hosted a two-day workshop on September 16 and 17, 2010, that was organized jointly by the OeNB’s Economic Studies Division and the Bonn-based Max Planck Institute for Research on Collective Goods. Controversial and intense discussions proved that there are many innovative ideas to tackle the problems but that there is also a great need for economic policy discussion. Pages: 115-122 Year: 2010 Issue: 20 File-URL: https://www.oenb.at/dam/jcr:034a0252-0874-4d9a-8bea-12676774d902/fsr_20_special_topic_04_tcm16-214498.pdf File-Format: application/pdf File-Size: 697 kb Handle: RePEc:onb:oenbfs:y:2010:i:20:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: From Stormy Expansion to Riding out the Storm: Banking Development in Kazakhstan Abstract: Pushed by expanding income (on the back of rising oil prices) and by rapid external debt accumulation, the Kazakh banking sector featured one of the most dynamic credit booms in CESEE until 2007. Following the U.S. subprime crisis, banks’ access to external funding plummeted and credit expansion ground to zero. The global financial and economic crisis that broke out in late 2008 forced credit institutions to drive down their external debt. Moreover, the collapse of the oil price in late 2008 and the devaluation of the Kazakh tenge in February 2009 cut domestic demand, liquidity and solvency. The share of nonperforming loans (NPLs) skyrocketed from 7% at end-2008 to 38% a year later. Large losses stemming from real estate exposure (burst of the housing bubble), lending to dubious partners and fraud played a role. Loan loss provisions were sharply ramped up, profitability was all but wiped out in 2008 and hefty losses incurred in 2009 (ROA at end-2009: –24%). Sector capital even turned negative. The authorities’ crisis response measures included the nationalization of two of the country’s largest banks and the recapitalization of two others (together accounting for two-thirds of banking sector assets). The two nationalized banks then defaulted on their high foreign liabilities and initiated debt restructuring negotiations that are currently in the process of completion, promising steep haircuts for creditors, which should reduce the sector’s debt burden and positively impact its capital. Very high credit risk and a weak institutional environment weigh on investor sentiment. But there are also important shock-absorbing factors: the (oil price-driven) recovery of the real economy, depositor confidence, record-level official foreign currency reserves, the record-level oil stabilization fund and modest public debt. Pages: 61-71 Year: 2010 Issue: 19 File-URL: https://www.oenb.at/dam/jcr:eedbdd16-d3ac-4fbc-99be-a618fffc2906/fsr_19_special_topic_01_tcm16-197945.pdf File-Format: application/pdf File-Size: 1782 kb Handle: RePEc:onb:oenbfs:y:2010:i:19:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Nicolas Albacete Author-Name-First: Nicolas Author-Name-Last: Albacete Author-Email: Nicolas.Albacete@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Pirmin Fessler Author-Name-First: Pirmin Author-Name-Last: Fessler Author-Email: Pirmin.Fessler@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: Stress Testing Austrian Households Abstract: Over the past decades, household debt has increased sharply, both in absolute and relative terms, in almost all OECD countries. As the U.S. subprime crisis recently showed, even a relatively small number of indebted households can produce considerable turmoil if the sustainability of their debt is in question. The scope of aggregate data for analyzing these risks to financial stability is very limited, because it is neither possible to differentiate between households that hold debt and those that do not, nor is it possible to combine the data on household debt with data on their assets in a reasonable way. Therefore, many authorities concerned with financial stability are increasingly using microdata to analyze such types of financial stability risks. Combining different microdata sources, we assess financial stability risks arising from indebted households in Austria. We define a financial margin for indebted households and stress test each indebted household against a range of financial shocks (changes in interest rates, unemployment rate, asset prices, exchange rates and repayment vehicle yields). Pages: 72-91 Year: 2010 Issue: 19 File-URL: https://www.oenb.at/dam/jcr:d7210bf3-4854-461b-a74f-f41937be1fd9/fsr_19_special_topic_02_tcm16-197946.pdf File-Format: application/pdf File-Size: 2093 kb Handle: RePEc:onb:oenbfs:y:2010:i:19:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Barbara Freitag Author-Name-First: Barbara Author-Name-Last: Freitag Author-Email: barbara.freitag@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Benedict Schimka Author-Name-First: Benedict Author-Name-Last: Schimka Author-Email: benedict.schimka@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Effects of the Payment Services Act on the Austrian Financial Market Abstract: On November 1, 2009, the Directive on Payment Services in the Internal Market (Payment Services Directive), which defines the legal framework for the establishment of a single market for payment services in the European Economic Area2 and introduces a new category of payment service providers (known as “payment institutions”), was implemented in Austrian law by means of the Austrian Payment Services Act (Zahlungsdienstegesetz). The essential areas governed by the Payment Services Act are market access and licensing requirements for payment institutions (including the relevant supervisory provisions) as well as the issues of transparency, liability and recourse in the execution of payment services. The definition of payment institutions now allows nonbanks to provide payment services (subject to certain licensing and supervisory provisions), which – as classic banking transactions – were previously the exclusive domain of credit institutions in Austria. From the European Commission’s perspective, this change should facilitate access to the financial market for new payment service providers. Against this backdrop, this article provides an overview of the most important supervisory provisions in the Payment Services Act. The article then assesses the current significance of these newly defined payment institutions for the Austrian financial market and takes a look beyond Austria’s borders to discuss the situation in selected countries. Pages: 92-104 Year: 2010 Issue: 19 File-URL: https://www.oenb.at/dam/jcr:1f79be50-b1c6-4a3b-aa81-f05133ea7656/fsr_19_special_topic_03_tcm16-197947.pdf File-Format: application/pdf File-Size: 1914 kb Handle: RePEc:onb:oenbfs:y:2010:i:19:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kavan Author-Name-First: Stefan Author-Name-Last: Kavan Author-Email: stefan.kavan@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Günther Sedlacek Author-Name-First: Günther Author-Name-Last: Sedlacek Author-Email: guenther.sedlacek@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Reinhardt Seliger Author-Name-First: Reinhardt Author-Name-Last: Seliger Author-Email: Reinhardt.Seliger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Assessing the Relevance of Austrian Investment Companies and Mutual Funds for Financial Stability Abstract: This paper looks at the role Austrian investment companies and the mutual funds managed by them play in the context of financial stability. At the end of the third quarter 2009, the 30 Austrian investment companies (of which 5 manage real estate funds) had invested around EUR 114 billion in the market. Given the repercussions arising from interlocks between investment companies and other financial intermediaries (such as credit institutions, insurance companies, pension funds and severance funds) in the event of a financial crisis, this study explores the underlying risks and makes an attempt at quantifying the mutual dependencies, focusing above all on market and reputational risks. Areas that are relevant for financial stability include the contribution of investment companies to the profitability of banks and the potential risks related to the role of custodian banks. Furthermore, the distribution and administration of mutual funds issued by investment companies affiliated with banks is a source of commission income for the banking sector. Finally, the use of mutual funds (in unit-linked life insurance plans) as repayment vehicles for foreign-currency bullet loans may cause funding gaps in the event of poor fund performance, which could increase the credit risk exposure of the banks involved. Pages: 105-119 Year: 2010 Issue: 19 File-URL: https://www.oenb.at/dam/jcr:bf1150a6-fe3c-4bcb-a168-f70b323a3a06/fsr_19_special_topic_04_tcm16-197950.pdf File-Format: application/pdf File-Size: 1801 kb Handle: RePEc:onb:oenbfs:y:2010:i:19:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Florian Weidenholzer Author-Name-First: Florian Author-Name-Last: Weidenholzer Author-Email: florian.weidenholzer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Recent Developments in the Austrian Banking System's Liquidity Situation and the International Regulatory Debate Abstract: Given the tense situation in international money markets, the Austrian Financial Market Authority (FMA) and the Oesterreichische Nationalbank (OeNB) stepped up their liquidity monitoring in October 2008, requiring banks to submit reports on their liquidity situation on a weekly basis. Article 70 para 1 no 1 Federal Banking Act (BWG) provides the legal basis for this requirement, giving the FMA the right to request at any time for the purpose of monitoring credit institutions to present reports in specified form and layout. The new liquidity report is a supervisory and not a regulatory instrument and is without prejudice to the qualitative and quantitative requirements as well as the reporting requirements of Article 25 Federal Banking Act. The regulatory initiatives at the international level are discussed in the second chapter of this article. Pages: 59-66 Year: 2009 Issue: 18 File-URL: https://www.oenb.at/dam/jcr:2e9fa998-af1f-43c4-9d05-94424ff6cb00/fsr_18_special_topics01_tcm16-144842.pdf File-Format: application/pdf File-Size: 99 kb Handle: RePEc:onb:oenbfs:y:2009:i:18:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Title: Investor Commitment Tested by Deep Crisis: Banking Development in Ukraine Abstract: Ukraine’s banking sector was strongly hit by the global economic crisis which began in September 2008 and triggered an extreme output contraction (–20%) in the first quarter of 2009 and a sharp depreciation of the Ukrainian hryvnia (–35%). Loss of confidence in the banking sector and deposit withdrawals (about one-fifth of total deposits) were reined in by large-scale liquidity support by the National Bank of Ukraine, administrative measures and macroeconomic adjustment (unwinding of the current account disequilibrium) in the spring of 2009. However, credit growth (month on month) ground to a halt in early 2009 and confidence in the hryvnia remains fragile in a situation where about 50% of private sector credit stock is denominated in foreign currency. The authorities’ bank recapitalization program, assisted by the structural conditionality of an IMF Stand-By Arrangement, should help banks cope with the persisting deep recession and strongly rising nonperforming loans. While political instability in the run-up to the presidential election early in 2010 could yet derail bank rehabilitation, credit institutions have substantially raised provisioning and started cutting costs and restructuring overdue loans. Continuing support by international financial institutions and sustained commitment by foreign (including Austrian) parent banks and corporations also represent key stabilizing factors. Pages: 67-75 Year: 2009 Issue: 18 File-URL: https://www.oenb.at/dam/jcr:11d3e994-bc8e-4543-a228-09b4222e6347/fsr_18_special_topics02_tcm16-144843.pdf File-Format: application/pdf File-Size: 133 kb Handle: RePEc:onb:oenbfs:y:2009:i:18:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Gernot Ebner Author-Name-First: Gernot Author-Name-Last: Ebner Author-Email: Gernot.Ebner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: The Austrian Insurance Industry from a Financial Stability Perspective: an Analysis of the Period from 2002 to 2008 Abstract: This study, which arose under the OeNB’s expanded financial stability mandate, provides the reasoning for an integrated approach to financial stability analysis. It takes stock of the Austrian insurance sector and provides an assessment of the sector in respect of financial stability. This study is based on data provided by the Financial Market Authority (FMA) that the OeNB periodically analyzes under its expanded financial stability mandate. In order to monitor longer-term developments and trends, the period under review ranges from 2002 to 2008. We find that concentration in the Austrian insurance market and competition have increased and that insurance companies have made efforts in cost and claims management. Compared with the rest of Europe, the Austrian life insurance market still has growth potential. Austrian insurers have diversified their quite considerable debt security portfolios at an increasingly international level. Following the outbreak of the U.S. subprime crisis, profitability fell sharply after having previously grown at a steady rate on the back of a favorable financial market environment, a positive insurance claims trend and Austrian insurance companies’ expansion in Central, Eastern and Southeastern Europe. Although the Austrian insurance industry’s financial ties with the banking sector deepened on the whole, they remained at a relatively small scale. Pages: 76-92 Year: 2009 Issue: 18 File-URL: https://www.oenb.at/dam/jcr:e47605a3-e689-4dbd-a149-cd12d6dbef14/fsr_18_special_topics03_tcm16-144844.pdf File-Format: application/pdf File-Size: 255 kb Handle: RePEc:onb:oenbfs:y:2009:i:18:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan Kerbl Author-Name-First: Stefan Author-Name-Last: Kerbl Author-Email: stefan.kerbl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, On-Site Banking Inspections Division – Large Banks Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Quantifying the Cyclicality of Regulatory Capital – First Evidence from Austria Abstract: With the financial crisis spreading to the real economy, the discussion about potential procyclical implications of Basel II received a surge of attention. While existing research approaches the topic either from a theoretical perspective or from an empirical perspective that draws on simulated data, we are first in studying the cyclicality of risk weights on the basis of realized data. Furthermore, we are able to differentiate not only between Basel I and Basel II, but also between the Standardized Approach (StA) and the internal ratings-based (IRB) approach. We argue that without knowledge of these approaches’ presumably distinct cyclicality of risk weights, any measure to dampen procyclicality is premature. For this purpose, we first study which banks opt for implementation of the IRB approach and then set up a panel model to quantify the cyclicality of capital requirements. While we find no evidence of cyclicality in portfolios subject to the Basel II StA, we find economically substantial and statistically significant effects in IRB portfolios. Pages: 93-103 Year: 2009 Issue: 18 File-URL: https://www.oenb.at/dam/jcr:8f4e0b39-b12f-489c-83f8-53e6c10f28b8/fsr_18_special_topics04_tcm16-144845.pdf File-Format: application/pdf File-Size: 202 kb Handle: RePEc:onb:oenbfs:y:2009:i:18:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Martin Schürz Author-Name-First: Martin Author-Name-Last: Schürz Author-Email: martin.schuerz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Julia Übeleis Author-Name-First: Julia Author-Name-Last: Übeleis Author-Email: julia.uebeleis@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: A Review of the Impact of the Crisis on Austria’s Financial Sector Pages: 54-62 Year: 2009 Issue: 17 File-URL: https://www.oenb.at/dam/jcr:74695f58-3489-4792-921e-a9ee9ab6eff0/fsr_17_special_topics01_tcm16-140531.pdf File-Format: application/pdf File-Size: 153 kb Handle: RePEc:onb:oenbfs:y:2009:i:17:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Michaela Posch Author-Name-First: Michaela Author-Name-Last: Posch Author-Email: michaela.posch@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Beat Weber Author-Name-First: Beat Author-Name-Last: Weber Author-Email: beat.weber@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: EU Bank Packages: Objectives and Potential Conflicts of Objectives Abstract: Any attempt to resolve a systemic financial crisis inherently involves conflicts of objectives. In the following article, we identify and elaborate on the conflicts of objectives embodied in the EU bank packages. Building on this, we then analyze how the EU Member States and the EU institutions are dealing with these conflicts of objectives. The empirical basis of our analysis comprises the explicit objectives of the EU bank packages and the details of the bank packages of the individual Member States. Our main findings are: (1) Although much effort has been extended to ensure a harmonized EU approach, the Member States in fact enjoy great leeway in designing national bank packages, which leads to competitive distortion. (2) In the conflict between fiscal objectives and micro- and macroeconomic objectives, the latter have been afforded priority. The bank packages entail passing on the costs of overcoming the crisis to the taxpayers, while the banks’ creditors are not required to make a contribution. (3) As a result, short-term financial stability is favored over long-term stability in the conflict between these two objectives. (4) Some attempts have been made to resolve these conflicts of objectives by attaching conditions to state aid. Our analysis indicates first of all, that under certain circumstances conditions such as dividend restrictions, state influence on company management and salary caps may be consistent with all of the objectives specified, and second, that requirements to maintain lending and solve borrowers’ debt problems are themselves subject to unavoidable conflicts of objectives. Classification-JEL: D53, E44, F36, G18, G28 Keywords: Financial crisis, bank packages Pages: 63-84 Year: 2009 Issue: 17 File-URL: https://www.oenb.at/dam/jcr:2e978392-ffb5-433a-be78-5d691d98693e/fsr_17_special_topics02_tcm16-140532.pdf File-Format: application/pdf File-Size: 235 kb Handle: RePEc:onb:oenbfs:y:2009:i:17:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Boss Author-Name-First: Michael Author-Name-Last: Boss Author-Email: michael.boss@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Martin Fenz Author-Name-First: Martin Author-Name-Last: Fenz Author-Email: martin.fenz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Johannes Pann Author-Name-First: Johannes Author-Name-Last: Pann Author-Email: johannes.pann@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Martin Schneider Author-Name-First: Martin Author-Name-Last: Schneider Author-Email: martin.schneider@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Divison Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7436 Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Modeling Credit Risk through the Austrian Business Cycle: An Update of the OeNB Model Abstract: In quantitative financial stability analysis, the link between the macroeconomic environment and credit risk is of particular importance when assessing the risk hidden in loan portfolios. Macroeconomic stress testing, in particular, which aims at measuring the impact of an economic crisis on individual banks or on the entire financial system, depends on means to quantitatively assess this link. Hence, the objective of this paper is to provide a methodological update of the OeNB’s previous credit risk model that improves the capture of the relation between macroeconomic variables and probabilities of default for the main Austrian corporate sectors. In addition to the standard model based on individual macroeconomic variables, the paper explores solutions to two important challenges: first, the challenge related to the exploitation of potential information inherent in a larger macroeconomic data set and second, the problem that accounts for potential nonlinearity in the relation between credit and business cycles. The first issue is addressed via a regression model based on a principal components analysis that takes in a wider range of macroeconomic variables than commonly practiced. The second issue is addressed via a threshold approach. This paper presents the estimation results for the three different models and discusses them on the basis of an illustrative example. Classification-JEL: C22, E32, G21 Keywords: Credit risk, credit cycle, financial stability, stress testing Pages: 85-101 Year: 2009 Issue: 17 File-URL: https://www.oenb.at/dam/jcr:543a8778-2161-4006-986d-87df0b436e2c/fsr_17_special_topics03_tcm16-140533.pdf File-Format: application/pdf File-Size: 378 kb Handle: RePEc:onb:oenbfs:y:2009:i:17:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Michael Sigmund Author-Name-First: Michael Author-Name-Last: Sigmund Author-Email: Michael.Sigmund@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Direct Cross-Border Lending by Austrian Banks to Eastern Europe Abstract: Direct cross-border lending is an important component in the ongoing process of financial deepening in Central, Eastern and Southeastern Europe (CESEE) and the Commonwealth of Independent States (CIS). We use a loan-level dataset of Austrian banks to study the characteristics as well as the major driving forces of direct cross-border lending in CESEE and the CIS. Direct cross-border lending to nonbanks by Austrian banks expanded rapidly over the last few years; the bulk of loans is extended to corporate customers and is denominated in a foreign currency, with the euro taking a prominent position. By means of a series of univariate analyses, we provide support for the relevance of geographic proximity – small and medium-sized banks mainly lend to neighboring countries. Banks’ direct lending also seems to follow nonfinancial FDI by Austrian corporates to CESEE and the CIS. We furthermore analyze the interdependencies between direct (i.e. by Austrian headquarters) and indirect (i.e. by local subsidiaries) cross-border lending and find support for a complementary effect between the two. In addition, host country factors such as GDP growth, private sector credit growth, financial intermediation growth and wage growth are also associated with direct lending growth. Classification-JEL: G21, F37 Keywords: direct lending, cross-border lending, credit growth, Central, Eastern and Southeastern Europe Pages: 102-122 Year: 2009 Issue: 17 File-URL: https://www.oenb.at/dam/jcr:4c44f728-7b58-48e0-aedc-b4ffb88399ed/fsr_17_special_topics04_tcm16-140534.pdf File-Format: application/pdf File-Size: 304 kb Handle: RePEc:onb:oenbfs:y:2009:i:17:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Gernot Ebner Author-Name-First: Gernot Author-Name-Last: Ebner Author-Email: Gernot.Ebner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Mathias Lahnsteiner Author-Name-First: Mathias Author-Name-Last: Lahnsteiner Author-Email: mathias.lahnsteiner@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Name: Johannes Pann Author-Name-First: Johannes Author-Name-Last: Pann Author-Email: johannes.pann@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Banking and Financial Stability in Russia and the Euro Area amid International Financial Market Turbulences Abstract: This study was drafted during the preparation of the Fifth Joint High-Level Eurosystem – Bank of Russia Seminar hosted by the OeNB in Vienna on March 11–12, 2009. The first part of the study illustrates developments in the euro area, where the financial sector suffered to some extent from spillover effects from the first waves of the subprime crisis and later more substantially from the demise of Lehman Brothers. While rescue actions taken by national authorities and the ECB mitigated crisis effects, current challenges arise from a cyclical deterioration of credit quality and further adverse developments in global financial markets. The study highlights the considerable exposure of euro area banks to emerging Europe in general and their more modest exposure to Russia in particular. It then discusses developments in Russia: Embarking from a quite favorable macroeconomic environment, Russia was caught up in the global financial turbulences only in recent months, but the impact was heavy and exacerbated by structural weaknesses of the Russian economy. The Russian authorities’ crisis response measures have been substantial and contributed to staving off a systemic banking crisis, but the sector remains fragile. The paper concludes with comments on lessons learnt: Confidence – which is the foundation of the financial system – needs to be restored. Structural and institutional problems have to be addressed adequately. Interbank markets should be made more resilient to shocks. Classification-JEL: E52, G18, G21, G28 Keywords: Banking system, contagion, crisis response measures, euro area, financial crisis, financial rescue package, financial stability, Russia Pages: 123-142 Year: 2009 Issue: 17 File-URL: https://www.oenb.at/dam/jcr:1d019e36-a1c7-4988-963b-458b07c93b80/fsr_17_special_topics05_tcm16-140535.pdf File-Format: application/pdf File-Size: 305 kb Handle: RePEc:onb:oenbfs:y:2009:i:17:b:5 Template-Type: ReDIF-Article 1.0 Author-Name: Zoltan Walko Author-Name-First: Zoltan Author-Name-Last: Walko Author-Email: zoltan.walko@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: http://www.oenb.at Title: The Refinancing Structure of Banks in Selected CESEE Countries Abstract: Since the onset of the global financial market turbulence in mid-2007 there have been concerns whether and to what extent the unfolding liquidity squeeze may affect banks in Central, Eastern and Southeastern Europe (CESEE). In this note, we present systematic regional and cross-country information about the refinancing structure of the banking sector in selected CESEE countries as at end-2007 and mid-2008 (most recent data, depending on data availability). Thus, we focus on the situation of banks in these countries before external funding conditions deteriorated significantly for some of them, which happened in the second half of 2008 and has become particularly evident since mid-September. We benchmark the region against the euro area, and – where appropriate – against non-European emerging market economies. This exercise is to contribute to a better understanding of the risks to these countries emanating from the global liquidity squeeze, which may turn out to be more persistent and more relevant for the CESEE region than assumed when the turbulence began to unfold in mid-2007. Classification-JEL: G15, G21, G32, O16, O52 Keywords: financial stability, banking sector, Central and Eastern Europe, refinancing Pages: 76-95 Year: 2008 Issue: 16 File-URL: https://www.oenb.at/dam/jcr:74f4b3cc-871f-48fd-9eae-adcf7eecab5d/fsr_16_special_topics_01_tcm16-95420.pdf File-Format: application/pdf File-Size: 335 kb Handle: RePEc:onb:oenbfs:y:2008:i:16:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Elisabeth Woschnagg Author-Name-First: Elisabeth Author-Name-Last: Woschnagg Author-Email: Elisabeth.Woschnagg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: ICAAP Implementation in Austria’s Major Banks Abstract: While Pillar 1 of the regulatory capital framework Basel II stipulates capital requirements for credit, market and operational risk, Pillar 2 focuses on the economic and internal perspective of banks’ capital adequacy. To ensure capital adequacy, banks are required to have an Internal Capital Adequacy Assessment Process (ICAAP) in place that enables them to identify, measure and aggregate all material risk types and calculate the economic, or internal, capital necessary to cover these risks. In addition to this, banks should actively manage their overall risk profile. The ICAAP is essential to the preservation of financial stability and will be subject to a higher degree of supervisory scrutiny in the near future. Under the principle of proportionality, requirements for the ICAAP are in line with banks’ specific characteristics and business models. As a result, a variety of approaches is in use. This paper provides a summary of the information Austria’s eight largest banks (in terms of systemic importance) have to date published on this subject (e.g. annual reports and specific documents in line with disclosure requirements). Classification-JEL: G21, G28, G32 Keywords: capital adequacy, risk-bearing capacity, economic capital, Basel II, Pillar 2, ICAAP, large Austrian banks, risk management Pages: 96-107 Year: 2008 Issue: 16 File-URL: https://www.oenb.at/dam/jcr:13413aa8-8314-4b17-8960-ae2de11ca3f4/fsr_16_special_topics_02_tcm16-95421.pdf File-Format: application/pdf File-Size: 196 kb Handle: RePEc:onb:oenbfs:y:2008:i:16:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Christian Beer Author-Name-First: Christian Author-Name-Last: Beer Author-Email: chbeer@wu-wien.ac.at Author-Workplace-Name: Vienna University of Economics and Business Administration Author-Name: Steven Ongena Author-Name-First: Steven Author-Name-Last: Ongena Author-Email: steven.ongena@tilburguniversity.nl Author-Workplace-Name: CentER – Tilburg University and CEPR Author-Name: Marcel Peter Author-Name-First: Marcel Author-Name-Last: Peter Author-Email: marcel.peter@snb.ch Author-Workplace-Name: Schweizerische Nationalbank Title: The Austrian Carry Trade: What Are the Characteristics of Households Borrowing in Foreign Currency? Abstract: 12% of all Austrian households reporting a housing loan in a 2004 financial wealth survey had borrowed in foreign currency. Given the importance of such “household carry trades,” their peculiar character, and immediate policy concerns, too little is known about the attitudes and characteristics of the households involved. We use the 2004 survey (covering 2,556 Austrian households) to sketch a comprehensive profile of the attitudes and characteristics of the households involved. For this purpose, we employ both univariate tests and multivariate multinomial logit models. Our analysis suggests that risk-loving, wealthy, and married households are more likely to take out a housing loan in a foreign currency than other households. Housing loans as such are, moreover, most likely taken out by high-income households. These findings may partially assuage policy concerns about household default risk on foreign currency housing loans. Classification-JEL: G21, G15, F34, F37 Keywords: Foreign currency borrowing, mortgages, banking sector, Austria, Swiss francs Pages: 108-121 Year: 2008 Issue: 16 File-URL: https://www.oenb.at/dam/jcr:ae76ff52-9fea-4984-8311-96ab0d92a74e/fsr_16_special_topics_03_tcm16-95422.pdf File-Format: application/pdf File-Size: 637 kb Handle: RePEc:onb:oenbfs:y:2008:i:16:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Friedrich Fritzer Author-Name-First: Friedrich Author-Name-Last: Fritzer Author-Email: friedrich.fritzer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7417 Author-Name: Lukas Reiss Author-Name-First: Lukas Author-Name-Last: Reiss Author-Email: lukas.reiss@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: An Analysis of Credit to the Household Sector in Austria Abstract: This article provides an econometric analysis of the determinants of the aggregate level of credit to the household sector in Austria. These are our most important results: An error correction model explaining real credit shows that the development of this variable has been in line with fundamental macro data in the last years. Thus, contrary to what could be observed for the euro area as a whole, there has been no loan overhang or shortfall over the last years in Austria. A growth decomposition shows that the largest contribution to real credit growth comes from real GDP. Furthermore, in our case, univariate models are doing better in forecasting real credit than vector error correction models. Classification-JEL: C22, C32, C53, E51 Keywords: Loan overhang, household debt, time-series models Pages: 122-134 Year: 2008 Issue: 16 File-URL: https://www.oenb.at/dam/jcr:19347f5a-5193-4c97-b7d9-7b2ee162c854/fsr_16_special_topics_04_tcm16-95423.pdf File-Format: application/pdf File-Size: 305 kb Handle: RePEc:onb:oenbfs:y:2008:i:16:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Birgit Sauerzopf Author-Name-First: Birgit Author-Name-Last: Sauerzopf Author-Email: birgit.sauerzopf@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Corporate Governance and Credit Institutions Abstract: This article examines the concept of corporate governance and provides an overview of the current state of legislation at the European and Austrian level, highlighting the crucial importance of transparency and disclosure requirements as components of corporate governance. A comparison of legal bases in Austria and the EU reveals that Austria’s national implementation of the Banking Directive and its financial market reform in 2007 brought about significant advances in this area for Austrian credit institutions. Good corporate governance at credit institutions is a key factor in maintaining a stable financial market. Classification-JEL: G34, K22, M52 Keywords: Credit Institutions, Corporate Governance, Transparency, Austrian Banking Act Pages: 135-148 Year: 2008 Issue: 16 File-URL: https://www.oenb.at/dam/jcr:6fffe7af-41e1-444b-877a-e1c1c3a836a5/fsr_16_special_topics_05_tcm16-95424.pdf File-Format: application/pdf File-Size: 183 kb Handle: RePEc:onb:oenbfs:y:2008:i:16:b:5 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Boss Author-Name-First: Michael Author-Name-Last: Boss Author-Email: michael.boss@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Gerhard Fenz Author-Name-First: Gerhard Author-Name-Last: Fenz Author-Email: gerhard.fenz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Divison Author-Workplace-Homepage: http://www.oenb.at Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Johannes Pann Author-Name-First: Johannes Author-Name-Last: Pann Author-Email: johannes.pann@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Thomas Scheiber Author-Name-First: Thomas Author-Name-Last: Scheiber Author-Email: thomas.scheiber@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5247 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Martin Schneider Author-Name-First: Martin Author-Name-Last: Schneider Author-Email: martin.schneider@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Divison Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7436 Author-Name: Eva Ubl Author-Name-First: Eva Author-Name-Last: Ubl Author-Email: Eva.Ubl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Title: Stress Tests for the Austrian FSAP Update 2007: Methodology, Scenarios and Results Abstract: This paper presents the methodology, scenarios and results of the stress tests conducted for the update of Austria’s Financial Sector Assessment Program (FSAP) in 2007. The focus of the paper lies in particular on the following two macroeconomic stress scenarios: (a) a regional shock in Central, Eastern and Southeastern Europe hitting Austrian banks through their large exposure in the region, and (b) a global downturn in economic activity causing a deterioration of Austrian banks’ domestic loan portfolios, whereby in the second scenario, contagion risk within the Austrian interbank market was also taken into account. Stress test calculations were performed by the OeNB for all Austrian banks (top-down approach) as well as by the six largest Austrian banking groups for their respective exposure (bottom-up approach). The paper 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 categories 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. Classification-JEL: G10, G21, F23 Keywords: Financial stability, stress testing, FSAP Pages: 68-92 Year: 2008 Issue: 15 File-URL: https://www.oenb.at/dam/jcr:4152bb34-b14f-4be2-8aad-912176a7b612/fsr_15_special_topics_01_tcm16-87339.pdf File-Format: application/pdf File-Size: 296 kb Handle: RePEc:onb:oenbfs:y:2008:i:15:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Boss Author-Name-First: Michael Author-Name-Last: Boss Author-Email: michael.boss@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Valentina Metz Author-Name-First: Valentina Author-Name-Last: Metz Author-Email: valentina.metz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Systemically Important Accounts, Network Topology and Contagion in ARTIS Abstract: This study investigates the relevance of network topology for the stability of payment systems in the face of operational shocks. The analysis is based on a large number of simulations of the Austrian large-value payment system ARTIS that quantify the contagion impact of operational shocks at participants’ sites. It uncovers that only few accounts are systemically important. We also find that network indicators at the node level can have some explanatory power, which is higher when the analysis focuses on contagion measured by the number of banks with unsettled payments than on that measured by the value of unsettled payments. The explanatory power is, however, lower than that of the more traditional measures of node activity(value and volume) of payments. At this stage of our research, network indicators at the network level seem to be of limited use for stability analysis. Classification-JEL: E50, G10 Keywords: Operational risk, payment systems, network topology, stress tests Pages: 93-111 Year: 2008 Issue: 15 File-URL: https://www.oenb.at/dam/jcr:24461b54-24de-48a3-98d9-23e5e58bc2e0/fsr_15_special_topics_02_tcm16-87336.pdf File-Format: application/pdf File-Size: 5182 kb Handle: RePEc:onb:oenbfs:y:2008:i:15:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Thomas Breuer Author-Name-First: Thomas Author-Name-Last: Breuer Author-Email: thomas.breuer@fhv.at Author-Workplace-Name: Research Centre PPE, Fachhochschule Vorarlberg, Hochschulstr. 1, A-6850 Dornbirn, Austria. Author-Name: Martin Jandacka Author-Name-First: Martin Author-Name-Last: Jandacka Author-Email: martin.jandacka@fhv.at Author-Workplace-Name: Research Centre PPE, Fachhochschule Vorarlberg, Hochschulstr. 1, A-6850 Dornbirn, Austria. Author-Name: Klaus Rheinberger Author-Name-First: Klaus Author-Name-Last: Rheinberger Author-Email: klaus.rheinberger@fhv.at Author-Workplace-Name: Research Centre PPE, Fachhochschule Vorarlberg, Hochschulstr. 1, A-6850 Dornbirn, Austria. Author-Name: Martin Summer Author-Name-First: Martin Author-Name-Last: Summer Author-Email: martin.summer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7212 Author-Workplace-Fax: +43-1-40420-7299 Title: Is Current Capital Regulation Based on Conservative Risk Assessment? Abstract: We criticize the popular view that separately calculating regulatory capital for market and credit risk yields a conservative aggregate risk assessment. We show that this view depends on a flawed intuition about diversification effects that arise between subportfolios. If a bank’s portfolio cannot be neatly divided into two subportfolios along the lines of market and credit risk, simply adding up the respective results may cause the true portfolio risk to be underestimated. Using the example of foreign currency loan portfolios, we show that this underestimation can be quantitatively significant. Classification-JEL: G28, G32, G20, C15 Keywords: Integrated analysis of market and credit risk, risk management, foreign currency loans, banking regulation. Pages: 112-118 Year: 2008 Issue: 15 File-URL: https://www.oenb.at/dam/jcr:403fc863-2a6b-4a08-a00a-1906c01e7cd7/fsr_15_special_topics_03_tcm16-87341.pdf File-Format: application/pdf File-Size: 206 kb Handle: RePEc:onb:oenbfs:y:2008:i:15:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Sándor Gardó Author-Name-First: Sándor Author-Name-Last: Gardó Author-Email: sandor.gardo@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Name: Antje Hildebrandt Author-Name-First: Antje Author-Name-Last: Hildebrandt Author-Email: antje.hildebrandt@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Zoltan Walko Author-Name-First: Zoltan Author-Name-Last: Walko Author-Email: zoltan.walko@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: http://www.oenb.at Title: Walking the Tightrope: A First Glance on the Impact of the Recent Global Financial Market Turbulence on Central, Eastern and Southeastern Europe Abstract: The Central, Eastern and Southeastern European (CESEE) countries have, to some extent, felt the impact of the international financial market turbulence observed since July 2007. While CESEE markets tended to follow the negative global investor sentiment in general, they performed relatively well compared to other emerging markets. Overall, increases in risk premiums and asset price losses were rather contained in the region, which may reflect a positive impact on investor judgment induced by EU convergence. However, the fact that the financial turmoil had a stronger impact on countries with weaker economic fundamentals and/or insufficient policy credibility shows that correcting overly large economic imbalances remains imperative in a relatively fragile international environment. Classification-JEL: G15, O16, O52 Keywords: Financial markets; economic vulnerabilities; Central, Eastern and Southeastern Europe; CESEE Pages: 119-140 Year: 2008 Issue: 15 File-URL: https://www.oenb.at/dam/jcr:a06e8a85-0fd9-4925-b74a-60f4f5f0c21c/fsr_15_special_topics_04_tcm16-87340.pdf File-Format: application/pdf File-Size: 582 kb Handle: RePEc:onb:oenbfs:y:2008:i:15:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: David Liebeg Author-Name-First: David Author-Name-Last: Liebeg Author-Email: david.liebeg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Title: Determinants of Bank Interest Margins in Central and Eastern Europe Abstract: Banks’ interest margins are among the most important indicators of the cost of financial intermediation. This paper investigates the determinants of banks’ interest margins in Central and Eastern Europe (CEE). Given the run-up to EU entry and EU membership itself, dynamics in the banking sector in CEE have developed rather differently than in other emerging market economies. We document that, in contrast to the literature, foreign ownership has a positive effect on interest margins, whereas state ownership proves to be irrelevant. Banks’ pricing of loans and deposits, however, is risk-adjusted in CEE – we detect positive risk premia for both interest and credit risk. However, our data provide some evidence for moral hazard behavior. Moreover, the decreasing interest margins in the region during the first half of the current decade seem to be caused by a decrease in operating costs as well as an increase of efficiency levels and rapid financial deepening. Classification-JEL: G21, E40, C33 Keywords: Interest margins, local banks, relationship banking. Pages: 68-84 Year: 2007 Issue: 14 File-URL: https://www.oenb.at/dam/jcr:851ba5c6-8956-401f-809e-4a2b39c74378/fsr_14_special_topics_01_tcm16-76879.pdf File-Format: application/pdf File-Size: 301 kb Handle: RePEc:onb:oenbfs:y:2007:i:14:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Title: Banking in Belarus – On a Trajectory of its Own? Abstract: This study analyzes the functions and development of the Belarusian banking system in recent years, with a special focus on the current situation, which is characterized by a sharp deterioration of the country’s terms of trade in early 2007. Since the mid-1990s, the “Belarusian economic model” has consisted of a mixture of market elements with rigorous state interventionism and outright remnants of the centrally planned economy. About three-quarters of the country’s economy and four-fifths of its banking sector remain state owned. Thanks to a surprisingly favorable industrial legacy and to very advantageous terms of trade including outside subsidies in recent years, the “model” has delivered impressive growth and has slashed poverty. Credit institutions – particularly the largest ones – serve as instruments to carry out directed lending to finance fixed investment projects in various areas targeted by the state. From time to time, the authorities step in and bail out the most troubled players. The only major foreign acquisition in the sector to date was the purchase of Priorbank (the fourth-largest credit institution) by Raiffeisen Zentralbank Österreich AG (of Austria) in 2002. Most recently (since 2004) Belarusian banks appear to have joined, to some degree, the credit boom reigning in all of the country’s neighbors. The external shock of early 2007 (Russia’s sharp increase of energy prices) threatens to erode the quality of credits and to put pressure on the Belarusian ruble, thereby undermining the stability of the sector. The authorities have so far reacted by soliciting external financial assistance and by trying to attract FDI by selling some key enterprises – including some medium-sized banks – to foreigners, mostly Russians. Classification-JEL: G21, P34 Keywords: banking, Belarus, credit boom, FDI, financial crisis, hybrid economy, state interventionism, terms-of-trade shock, transition Pages: 85-103 Year: 2007 Issue: 14 File-URL: https://www.oenb.at/dam/jcr:f55c38e6-d8ee-431e-b4a3-a67f3fda8462/fsr_14_special_topics_02_tcm16-76880.pdf File-Format: application/pdf File-Size: 220 kb Handle: RePEc:onb:oenbfs:y:2007:i:14:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Christian Beer Author-Name-First: Christian Author-Name-Last: Beer Author-Email: chbeer@wu-wien.ac.at Author-Workplace-Name: Vienna University of Economics and Business Administration Author-Name: Walter Waschiczek Author-Name-First: Walter Author-Name-Last: Waschiczek Author-Email: walter.waschiczek@oenb.at. Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: Indicators for Analyzing the Risk Exposure of Enterprises and Households Abstract: This paper describes indicators that were developed to analyze the exposure of enterprises and households to financial risks. In this context, we distinguish three types of risk: interest rate risk, price risk and exchange rate risk. Our indicators measure risk exposure by the share of financial instruments exposed to these risks in the assets and liabilities of enterprises and households. Specific conceptual and technical problems arise when recording indirect investment via financial intermediaries. Statistics compiled by the Oesterreichische Nationalbank (OeNB) are used as the primary data basis. Although the indicators lack informative value at the micro level, they facilitate an analysis of corporate and household risk performance at the sectoral level. Classification-JEL: E44, G30 Keywords: Risk analysis, nonfinancial corporations, households, exposure indicators, financial stability Pages: 104-116 Year: 2007 Issue: 14 File-URL: https://www.oenb.at/dam/jcr:f82dc309-b100-43c2-be9b-587c1e677cbb/fsr_14_special_topics_03_tcm16-76881.pdf File-Format: application/pdf File-Size: 167 kb Handle: RePEc:onb:oenbfs:y:2007:i:14:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Georg von Pföstl Author-Name-First: Georg von Author-Name-Last: Pföstl Author-Email: georg.pfoestl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Markus Ricke Author-Name-First: Markus Author-Name-Last: Ricke Author-Email: markus.ricke@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Quantitative Validation of Rating Models for Low Default Portfolios through Benchmarking Abstract: The new capital adequacy framework (Basel II) is one of the most fiercely debated topics the financial sector has seen in the recent past. Following a consultation process that lasted several years, the regulations formally took effect on January 1, 2007. The advanced approaches (the advanced internal ratings-based, or A-IRB, approach and the advanced measurement approach, or AMA) are scheduled to become operational on January 1, 2008. The new framework allows banks to use the IRB approach for the calculation of the assessment base for credit risk. Use of the IRB approach is subject to regulatory approval, which can only be obtained if the internal rating systems meet certain requirements. One of these requirements is that the models employed must have good predictive power. Banks must review this predictive power once a year by performing a qualitative and quantitative validation of the models. The statistical methods used to perform quantitative validation require a significant amount of default data to derive valid statements about the model, but such data are typically scarce in the case of rating models for so-called low default portfolios (LDPs), i.e. portfolios for which banks have little default history. In this paper, we first deal with the general problems of LDPs under the IRB approach and cover the problems of validating rating models for LDPs. We then present an alternative method for the quantitative validation of such models, based on the idea of benchmarking. Finally, we provide an example of the application of the proposed validation method. Classification-JEL: G20, C19 Keywords: rating models, validation, benchmarking, low default portfolios Pages: 117-125 Year: 2007 Issue: 14 File-URL: https://www.oenb.at/dam/jcr:2e1d316d-9fd8-49ce-af6a-a68a597eadbd/fsr_14_special_topics_04_tcm16-76882.pdf File-Format: application/pdf File-Size: 224 kb Handle: RePEc:onb:oenbfs:y:2007:i:14:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Jaroslav Borovicka Author-Name-First: Jaroslav Author-Name-Last: Borovicka Author-Email: jaroslav.borovicka@cerge-ei.cz Author-Workplace-Name: CERGE-EI, Prague Title: Banking Efficiency and Foreign Ownership in Transition: Is There Evidence of a Cream-Skimming Effect? Abstract: This paper revisits the issue of cost efficiency in the banking sector and the role of foreign ownership in European transition economies. The novelty of our approach is that we instrument for the decision of foreign investors to acquire domestic banks. This analysis allows us to evaluate the endogeneity bias that results from the so-called cream-skimming effect. Using a sample of 282 banks in 19 transition countries, we employ a two-stage instrumental variable approach. In the first stage, we estimate the probability of foreign acquisitions of domestic banks by implementing a panel probit model. In the second stage, the estimated propensity scores are used in the Battese and Coelli (1995) stochastic efficiency frontier specification. Although cost differences may also be caused by different product characteristics, our main finding is that the instrumental variable approach reveals that foreign ownership has a negative impact on cost efficiency. This observation indicates that in the transition countries studied the cream-skimming effect is significant, which implies that foreign investors tend to acquire the most cost efficient banks in the first place. Classification-JEL: C30, G21, G32 Keywords: banking efficiency, stochastic efficiency frontier, foreign ownership, creamskimming effect Pages: 68-82 Year: 2007 Issue: 13 File-URL: https://www.oenb.at/dam/jcr:95fcc2c0-2e2f-4e79-b081-84dab2acbae6/fsr_13_special_topics_01_tcm16-57622.pdf File-Format: application/pdf File-Size: 269 kb Handle: RePEc:onb:oenbfs:y:2007:i:13:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Georg von Pföstl Author-Name-First: Georg von Author-Name-Last: Pföstl Author-Email: georg.pfoestl@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: The Concept of Capital within the Framework of Basel II Abstract: The new Basel II Capital Accord has been one of the financial sector’s most fiercely discussed topics in the recent past. After many years’ debate, the regulations formally took effect on January 1, 2007, and the advanced measurement approaches are scheduled to become fully operational on January 1, 2008. The new regulations will cause a number of changes in the area of credit risk. The calculation of risk-weighted assets, and thus of regulatory capital, will henceforth be based on borrowers’ credit ratings to a much greater extent than according to the old regulations (Basel I). The concept of capital (i.e. the definition of own funds) itself will remain largely unchanged, although it was subject to repeated changes in recent decades. This paper examines the definition of capital in the new Austrian Banking Act and shows that the capital concept will need to be modified in the future. In addition, it defines regulatory capital in relation to other capital concepts, revealing inter alia that capital has a broader definition than balance sheet equity. An analysis of the capital adequacy of Austrian credit institutions demonstrates that their capital ratio clearly exceeds minimum capital requirements and that the composition of banks’ capital shows a favorably high share of core capital. Classification-JEL: G21, G28 Keywords: Basel II, credit institutions, banking supervision, capital, regulatory capital, own funds, capital ratio. Pages: 83-97 Year: 2007 Issue: 13 File-URL: https://www.oenb.at/dam/jcr:40bb3071-a7d1-4649-913c-aa8f0c52835a/fsr_13_special_topics_02_tcm16-57626.pdf File-Format: application/pdf File-Size: 204 kb Handle: RePEc:onb:oenbfs:y:2007:i:13:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Demographic Change, Bank Strategy and Financial Stability Abstract: The purpose of this article is to disseminate the main results of the program “Ageing and Its Implications for Banks and Bank Strategy” of the Oesterreichische Nationalbank’s (OeNB’s) Financial Markets Analysis and Surveillance Division and to draw conclusions about the implications of aging for financial stability. The first question that arises is whether demographic change is relevant for banks and financial stability at all. The paper answers this question in the affirmative and goes on to analyze the impact of demographic change on the environment in which banks operate, i.e. on economic growth, interest rates, and residential real estate markets, and on the level and composition of household demand for bank services and products. The article summarizes how banks might adapt their strategies in response to demographic change. Finally, it draws conclusions about the potential implications for financial stability. Classification-JEL: G21, J10 Keywords: banks, demography, ageing, financial stability. Pages: 98-114 Year: 2007 Issue: 13 File-URL: https://www.oenb.at/dam/jcr:56b7283a-cd2c-4917-b8c2-46023af14a70/fsr_13_special_topics_03_tcm16-57629.pdf File-Format: application/pdf File-Size: 185 kb Handle: RePEc:onb:oenbfs:y:2007:i:13:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Boss Author-Name-First: Michael Author-Name-Last: Boss Author-Email: michael.boss@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Title: Stress Testing the Exposure of Austrian Banks in Central and Eastern Europe Abstract: Austrian banks are heavily engaged in Central and Eastern European (CEE) markets primarily by running local subsidiaries but also by extending cross-border loans. We give an account of the historical development and the status quo of these exposures and conduct a stress test for the Austrian banking system with respect to its credit exposure vis-à-vis the CEE region. Our test is based on an analysis of the current state of the local banking systems from a risk perspective, inter alia drawing on stress testing experiences gained by the national central banks and the International Monetary Fund. We use a stress scenario that (i) takes account of the differences in host country risks and (ii) represents a worst case that deliberately exceeds historical shocks. It turns out that, despite the dramatic worsening of the economic environment implied by the scenario, the Austrian banking system is not put at risk by the hypothesized crisis. The possible repercussions of a crisis in a single country via solvency problems of the Austrian parent institution turn out to be well limited. Classification-JEL: G15, G21, F23 Keywords: financial stability, Central and Eastern Europe, stress t testing, credit risk. Pages: 115-134 Year: 2007 Issue: 13 File-URL: https://www.oenb.at/dam/jcr:9b28a59f-cd94-44e6-a583-1a153d5bb01d/fsr_13_special_topics_04_tcm16-57630.pdf File-Format: application/pdf File-Size: 311 kb Handle: RePEc:onb:oenbfs:y:2007:i:13:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Title: Booming, but Risky: The Ukrainian Banking Sector – Hot Spot for Foreign Strategic Investors Abstract: This paper gives an overview and assessment of the evolution of the Ukrainian banking sector since the outset of transition, focusing on the most recent developments. While the 1990s saw turbulent changes against the backdrop of continuous economic contraction, the Ukrainian banking sector has been on a strong expansion path ever since the turn of the millennium, a path which appears to have been only briefly interrupted by the minor crisis of late 2004 and early 2005. Although the National Bank of Ukraine has certainly improved banking regulations and supervision, the country’s credit boom (sevenfold real increase of credit volume between 2000 and 2005, albeit from a modest base) has raised serious concerns about credit risks. Financial fragility continues to loom large in an environment where the practice of "pocket banking" (credit institutions acting as extended financial departments of owner firms) is still widespread. Over the past months, foreign strategic investors have started to move in: Led by Raiffeisen, which purchased the second-largest Ukrainian bank in October 2005, takeovers and business expansions have raised foreigners’ share in total banking assets from 13% to 26% within a year. Austrians account for somewhat less than half of all foreign-owned banking assets in Ukraine. Classification-JEL: E0, E5, G21, G28, P34 Keywords: Banks Pages: 64-78 Year: 2006 Issue: 12 File-URL: https://www.oenb.at/dam/jcr:9034de9e-2878-46ab-9c54-eeaf0a6bacd0/fsr_12_special_topics_01_tcm16-49853.pdf File-Format: application/pdf File-Size: 192 kb Handle: RePEc:onb:oenbfs:y:2006:i:12:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Evgenia Glogova Author-Name-First: Evgenia Author-Name-Last: Glogova Author-Email: evgenia.glogova@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Richard Warnung Author-Name-First: Richard Author-Name-Last: Warnung Author-Email: rwarnung@fam.tuwien.ac.at Author-Workplace-Name: Institute of Mathematical Methods in Economics, Research Unit Financial and Actuarial Mathematics, Vienna University of Technology Title: Modeling Dependent Credit Risks for Application to Off-Site Banking Supervision Abstract: During the past five years the Oesterreichische Nationalbank (OeNB), together with the Austrian Financial Market Authority (FMA) and university experts, has developed and implemented several modern tools for the purposes of off-site banking analysis and supervision. One of these tools is the Value-at-Risk (VaR) model, which allows for the standardized quantification of every single bank’s economic capital. Within this portfolio model framework, a total VaR is calculated as an aggregation of credit, market and operational VaR, assuming perfect correlation between the risk categories. The methodology for measuring the credit risk of a bank’s portfolio is currently based on the standard CreditRisk+ model, an actuarial model for aggregating risks in a credit portfolio with a single risk factor. In 2005 the OeNB and the Vienna University of Technology launched a research project with the aim of developing an extended version of the credit risk model that is able to account better for portfolio diversification effects. As the background risk factors in the standard CreditRisk model have to be orthogonal, resemblance to real-world industrial sectors or other macroeconomic factors, which often appear to be strongly correlated, is not possible. This paper gives an overview of our approach to modeling correlations among systematic risk factors. Other extensions of the model, like the ability to calculate a single obligor’s risk contribution and the incorporation of stochastic loss given default, are touched upon. Classification-JEL: C16, C65, G38 Keywords: Financial Stability Pages: 79-91 Year: 2006 Issue: 12 File-URL: https://www.oenb.at/dam/jcr:93fdbe86-e41a-477e-84f5-242c79df855b/fsr_12_special_topics_02_tcm16-49854.pdf File-Format: application/pdf File-Size: 353 kb Handle: RePEc:onb:oenbfs:y:2006:i:12:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Johannes Jäger Author-Name-First: Johannes Author-Name-Last: Jäger Author-Email: Johannes.jaeger@fh-vie.ac.at Author-Workplace-Name: Fachhochschule des bfi Wien Author-Name: Vanessa Redak Author-Name-First: Vanessa Author-Name-Last: Redak Author-Email: vanessa.redak@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Austrian Banks’ Lending and Loan Pricing Strategies against the Background of Basel II Abstract: Although the New Basel Capital Accord (Basel II) makes no direct reference to loan pricing and lending terms, it is widely held that Basel II does, in fact, impact on loan pricing. A survey among Austrian banks on loan pricing strategies after Basel II aimed to identify the potential effects of Basel II on loan pricing. This article summarizes and analyzes the results of this survey and their implications for the Austrian lending business. The survey found a significant trend toward risk-adequate pricing. While it is impossible to predict at this point whether banks will eventually successfully implement this strategy, given the competitive environment, it seems that they are in fact resolved to do. Banks’loan pricing and portfolio streamlining plans concern mostly lending to small and medium-sized enterprises (SMEs), which in credit institutions’ view offers the largest room for maneuver to adjust lending volumes and prices. Classification-JEL: G21, L22, D4 Keywords: Banks, Basel II Pages: 92-103 Year: 2006 Issue: 12 File-URL: https://www.oenb.at/dam/jcr:a5853711-d1e3-4f72-9e87-ec4e817d39c7/fsr_12_special_topics_03_tcm16-49855.pdf File-Format: application/pdf File-Size: 170 kb Handle: RePEc:onb:oenbfs:y:2006:i:12:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: David Liebeg Author-Name-First: David Author-Name-Last: Liebeg Author-Email: david.liebeg@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Title: Determinants of the Interest Rate Margins of Austrian Banks Abstract: Bank interest rate margins have been declining in most EU Member States over the last decade. Drawing on a unique sample of supervisory data for the Austrian banking system from 1996 to 2005, this paper investigates the determinants of bank interest rate margins. The main factors driving the reduction of Austrian banks’ interest rate margins are decreasing operating costs, the growing importance of foreign currency lending combined with a rising share of non interest revenues as well as increasing competition. In contrast to findings in the literature we document a positive effect of relationship banking on margins, with the erosion of relationship banking being another reason for the decline in interest margins. Classification-JEL: G21, E40, C33 Keywords: Banks Pages: 104-116 Year: 2006 Issue: 12 File-URL: https://www.oenb.at/dam/jcr:f4bc3d82-f544-4dce-bea2-882e022bfc3d/fsr_12_special_topics_04_tcm16-49856.pdf File-Format: application/pdf File-Size: 278 kb Handle: RePEc:onb:oenbfs:y:2006:i:12:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Peter Backé Author-Name-First: Peter Author-Name-Last: Backé Author-Email: peter.backe@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5212 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Thomas Reininger Author-Name-First: Thomas Author-Name-Last: Reininger Author-Email: Thomas.Reininger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5234 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Walko Zoltan Author-Name-First: Walko Author-Name-Last: Zoltan Author-Email: zoltan.walko@oenb.at Author-Workplace-Name: Oesterreicische Nationalbank Title: Main Features of Recent Banking Sector Developments in Selected Southeastern European Countries Abstract: 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. Classification-JEL: G21, P34 Keywords: Banks Pages: 66-82 Year: 2006 Issue: 11 File-URL: https://www.oenb.at/dam/jcr:faf144ff-81bd-445c-9e73-e4030db9de88/fsr_11_special_topics_01_tcm16-43719.pdf File-Format: application/pdf File-Size: 316 kb Handle: RePEc:onb:oenbfs:y:2006:i:11:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Boss Author-Name-First: Michael Author-Name-Last: Boss Author-Email: michael.boss@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Martin Summer Author-Name-First: Martin Author-Name-Last: Summer Author-Email: martin.summer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7212 Author-Workplace-Fax: +43-1-40420-7299 Title: Systemic Risk Monitor: A Model for Systemic Risk Analysis and Stress Testing of Banking Systems Abstract: 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. Classification-JEL: G24 Keywords: Stress Testing, Banks, Financial Stability Pages: 83-95 Year: 2006 Issue: 11 File-URL: https://www.oenb.at/dam/jcr:e3849a11-ca00-4060-ae0c-cf5e873824b7/fsr_11_special_topics_02_tcm16-43720.pdf File-Format: application/pdf File-Size: 1512 kb Handle: RePEc:onb:oenbfs:y:2006:i:11:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Ulrike Elsenhuber Author-Name-First: Ulrike Author-Name-Last: Elsenhuber Author-Email: Ulrike.elsenhuber@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Claus Puhr Author-Name-First: Claus Author-Name-Last: Puhr Author-Email: Claus.Puhr@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Operational Risk and Contagion in the Austrian Large-Value Payment System ARTIS Abstract: 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. Classification-JEL: E50, G10 Keywords: Payment Systems, Operational Risk, Financial Stability Pages: 96-113 Year: 2006 Issue: 11 File-URL: https://www.oenb.at/dam/jcr:4ff95b94-2761-4383-a738-ea9356ccb913/fsr_11_special_topics_03_tcm16-43721.pdf File-Format: application/pdf File-Size: 323 kb Handle: RePEc:onb:oenbfs:y:2006:i:11:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Ulrike Elsenhuber Author-Name-First: Ulrike Author-Name-Last: Elsenhuber Author-Email: Ulrike.elsenhuber@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Benedict Schimka Author-Name-First: Benedict Author-Name-Last: Schimka Author-Email: benedict.schimka@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Payment Institutions – Potential Implications of the New Category of Payment Service Providers for the Austrian Financial Market Abstract: Unlike in other areas of the financial market, progress toward the integration of payments markets has not yet been satisfactory. While the introduction of the euro was an important step in this direction, a single European payment area for cashless payments still does not exist. Current initiatives thus aim to lay the groundwork for integrated cross-border payment transactions, in particular by harmonizing the applicable legal framework. The European Commission’s New Legal Framework for Payments in the Internal Market initiative is of special importance here. It proposes, inter alia, the introduction of a new category of payment service providers (payment institutions) in addition to credit and e-money institutions that would perform payment services under comparatively less stringent licensing and supervision regulations. Against this background, the Oesterreichische Nationalbank conducted an empirical survey among Austrian market participants (banks and nonbanks) in the summer of 2005 to assess possible competition and risk-related implications of the introduction of payment institutions on the Austrian financial market. The survey showed that most of the Austrian market participants questioned were critical of the current draft Directive and that respondents shared the European Commission’s primary expectations - for example, that it will create a level playing field - only partly or not at all. On the contrary, they fear distortions of competition, increased risks and, over the long term, a loss of confidence in the stability of the payments market among end users. There is unanimous agreement among respondents that both payment and credit institutions should be subject to the same capital and supervision requirements in order to head off these risks. Furthermore, the survey shows that none of the Austrian market participants questioned is currently considering transformation into a payment institution. Classification-JEL: G29 Keywords: Payment Institutions, Pages: 64-73 Year: 2005 Issue: 10 File-URL: https://www.oenb.at/dam/jcr:a37f198d-9385-4b3b-b4c6-10abb3b49f8f/fsr_10_special_01_tcm16-36856.pdf File-Format: application/pdf File-Size: 221 kb Handle: RePEc:onb:oenbfs:y:2005:i:10:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Eleonora Endlich Author-Name-First: Eleonora Author-Name-Last: Endlich Author-Email: eleonora.endlich@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Gabriele Stöffler Author-Name-First: Gabriele Author-Name-Last: Stöffler Author-Email: Gabriele.stoeffler@oenb.at Author-Workplace-Name: Oesterreichsche Nationalbank Title: The Exposure of Austrian Banks to Hedge Funds: Survey Results and Regulatory Aspects Abstract: Due to the expansive growth of the hedge fund industry and the accompanying political discussions about creating a legal framework for this practically nonregulated asset class, the Banking Supervision Committee of the European System of Central Banks decided to conduct an EU-wide survey on banks’ hedge fund exposure. This paper presents the survey results for Austria and takes a critical look at possible measures for regulating the hedge fund industry. Classification-JEL: G24 Keywords: Hedge Funds Pages: 74-82 Year: 2005 Issue: 10 File-URL: https://www.oenb.at/dam/jcr:ff450156-cdaf-4ddd-9db5-466b4d5ae44c/fsr_10_special_02_tcm16-36857.pdf File-Format: application/pdf File-Size: 264 kb Handle: RePEc:onb:oenbfs:y:2005:i:10:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Halling Author-Name-First: Michael Author-Name-Last: Halling Author-Workplace-Name: University of Vienna Author-Name: Josef Zechner Author-Name-First: Josef Author-Name-Last: Zechner Author-Workplace-Name: University of Vienna Title: Capital Market-Oriented Financing Prospects for Austrian SMEs Abstract: The performance and growth of the Austrian economy largely depend on small and medium-sized enterprises (SMEs). Despite their diminutive size, SMEs offer attractive investment opportunities that are, however, financed primarily by debt for a variety of reasons. The financing concept presented in this study adopts an innovative approach to provide access to quasi-equity forms of financing to Austrian SMEs, which have successfully and responsibly generated business in recent years and which currently enjoy attractive growth potential. At the same time, it aims to strengthen the Austrian capital market by increasing the investment opportunities of the broad mass of both private and institutional investors. Classification-JEL: G32 Keywords: Financing Policy Pages: 83-94 Year: 2005 Issue: 10 File-URL: https://www.oenb.at/dam/jcr:c070e457-5cff-4f50-8b9c-938a2868e06c/fsr_10_special_03_tcm16-36858.pdf File-Format: application/pdf File-Size: 252 kb Handle: RePEc:onb:oenbfs:y:2005:i:10:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Ramin Baghai-Wadj Author-Name-First: Ramin Author-Name-Last: Baghai-Wadj Author-Email: ramin.baghai@wu-wien.ac.at Author-Workplace-Name: Institute of Finance and Financial Markets, Vienna University of Economics and Business Administration, Vienna, Austria Author-Name: Rami El-Berry Author-Name-First: Rami Author-Name-Last: El-Berry Author-Email: rami.el-berry@ec3.at Author-Workplace-Name: E-Commerce Competence Center Vienna Author-Name: Stefan Klocker Author-Name-First: Stefan Author-Name-Last: Klocker Author-Email: stefan.klocker@wu-wien.ac.at Author-Workplace-Name: Institute of Finance and Financial Markets, Vienna University of Economics and Business Administration, Vienna, Austria Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Title: The Consistency of Self-Declared Hedge Fund Styles — A Return-Based Analysis with Self-Organizing Maps Abstract: While hedge funds have common features, they remain an extremely diverse asset class. Despite this diversity, a consistent classification system is important for numerous purposes such as portfolio construction, performance attribution as well as risk management. This topic is also connected to the financial stability debate, which has recently dealt intensively with the issue of hedge funds. Diversified (fund) portfolios with an appropriate risk monitoring system in place will e.g. enhance risk-sharing among financial market participants. As fund self-declaration is prone to strategic misclassification, return-based taxonomies grouping funds along similarities in realized returns can be used to avoid this pitfall. In this paper we use Self-Organizing Maps (SOM) to find homogeneous groups of hedge funds based on similar (return) characteristics. Based on this technique, we can identify nine hedge fund classes. Whereas managed futures, sector financial and short-sell hedge funds are largely consistent in their self-declared strategies, we detect a number of declared hedge fund styles displaying no or very limited return similarities. Especially the so-called _equity hedge_ style encompasses too many different substyles with different return characteristics. Another important aspect that our paper addresses is the tendency of fund managers to perform undisclosed changes of their trading style or to strategically misdeclare their funds. Our results show that so called _style creep_ is an issue in the hedge fund business, with funds which misclassified themselves once being very likely to change their trading style again. Classification-JEL: G24 Keywords: Hedge Funds Pages: 64-76 Year: 2005 Issue: 9 File-URL: https://www.oenb.at/dam/jcr:9f249dc3-9d4e-434d-9982-0cf21429eaf4/fsr_09_special_01_tcm16-29255.pdf File-Format: application/pdf File-Size: 177 kb Handle: RePEc:onb:oenbfs:y:2005:i:9:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Werner Dirschmid Author-Name-First: Werner Author-Name-Last: Dirschmid Author-Email: werner.dirschmid@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Walter Waschiczek Author-Name-First: Walter Author-Name-Last: Waschiczek Author-Email: walter.waschiczek@oenb.at. Author-Workplace-Name: Oesterreichische Nationalbank, Economic Analysis Division Title: Institutional Determinants of Equity Financing in Austria Abstract: This study examines which institutional determinants are chiefly responsible for the fact that the capital structure of Austrian companies is dominated by debt. An international comparison shows that company taxation is generally not financing-neutral and, given the observed differences in equity ratios between countries, cannot be the primary factor influencing capital structure choice. Instead, the nature of creditor protections, which determine the position of investors and lenders in the event of bankruptcy, is probably a far more decisive factor. Equity ratios decline in parallel with creditor-friendly provisions across countries. Because of the predominance of small and medium-sized enterprises (SMEs) in Austria, the Hausbank principle plays an important role in determining capital structure. The associated intensive exchange of information between banks and companies allows borrowings to take on the functions usually performed by equity. In the future, financial market innovations and the transfer of severance pay and pension entitlements to outside institutions could have an influence on capital structure. Classification-JEL: G32, G33 Keywords: Financing Policy, Bankruptcy Pages: 77-92 Year: 2005 Issue: 9 File-URL: https://www.oenb.at/dam/jcr:48894130-af10-43cc-b594-b423d1d5a144/fsr_09_special_02_tcm16-29256.pdf File-Format: application/pdf File-Size: 169 kb Handle: RePEc:onb:oenbfs:y:2005:i:9:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Stefan W. Schmitz Author-Name-First: Stefan W. Author-Name-Last: Schmitz Author-Email: stefan.schmitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Demographic Developments, Funded Pension Provision and Financial Stability Abstract: The following study analyzes the impact of demographic developments in Austria on the long-term average real interest rate, funded pension provision and the implications of demographic developments for the stability of the financial system. The key results of this study are twofold: (1) Households_ net supply of savings and the demand for capital by the corporate sector both need to be integrated into the empirical and theoretical analysis of the impact of demographic developments on financial markets. (2) In addition, funded pension provision is exposed to demographic risks. Classification-JEL: G23, J10 Keywords: Financial Stability, Pension Funds, Demographics, Ageing Pages: 93-109 Year: 2005 Issue: 9 File-URL: https://www.oenb.at/dam/jcr:92cab867-9ca4-4995-9d4b-b617861f804a/fsr_09_special_03_tcm16-29257.pdf File-Format: application/pdf File-Size: 172 kb Handle: RePEc:onb:oenbfs:y:2005:i:9:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Thomas Reininger Author-Name-First: Thomas Author-Name-Last: Reininger Author-Email: Thomas.Reininger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5234 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Zoltan Walko Author-Name-First: Zoltan Author-Name-Last: Walko Author-Email: zoltan.walko@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Workplace-Homepage: http://www.oenb.at Title: The Croatian Banking System Abstract: This paper provides an analysis of the stability of the Croatian banking sector. After the banking crisis of 1998, the Croatian banking system underwent a deep transformation process; foreign investors gained a dominating market share of more than 90% of total assets, with Austrian banks holding 43% thereof. Compared to other Central and Eastern European countries (CEECs), the degree of banking intermediation is relatively high in Croatia. In recent years, lending to the private sector and in particular to households has risen whereas lending to the general government has declined. Foreign currencies continue to play an important role in the Croatian banking sector, in particular on the liabilities side of banks balance sheets. While maintaining a large negative net foreign currency position on their balance sheets (with an increasing portion of net liabilities to nonresidents), Croatian banks overall net foreign currency position seems to be marginally positive. Still, foreign currency(-indexed) lending represents a credit risk as it entails an indirect exchange rate risk. Asset quality, by contrast, has improved significantly over the past five years, the capital adequacy ratio is on a relatively high — albeit declining — level, and real return on equity (ROE) is now as high as the profitability levels observed in other CEECs. Classification-JEL: G21, P34 Keywords: Banks Pages: 110-126 Year: 2005 Issue: 9 File-URL: https://www.oenb.at/dam/jcr:e70b6f1b-7a65-4170-be7c-013e658f78fa/fsr_09_special_04_tcm16-29258.pdf File-Format: application/pdf File-Size: 153 kb Handle: RePEc:onb:oenbfs:y:2005:i:9:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Thomas Reininger Author-Name-First: Thomas Author-Name-Last: Reininger Author-Email: Thomas.Reininger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-5234 Author-Workplace-Fax: +43-1-40420-5299 Author-Name: Walko Zoltan Author-Name-First: Walko Author-Name-Last: Zoltan Author-Email: zoltan.walko@oenb.at Author-Workplace-Name: Oesterreicische Nationalbank Title: Credit and Deposit Interest Rate Margins in Four New EU Member States Pages: 60-76 Year: 2004 Issue: 8 File-URL: https://www.oenb.at/dam/jcr:c6c16313-e58e-4845-a2f0-36539ad53eab/fsr_08_special_01_tcm16-23536.pdf File-Format: application/pdf File-Size: 130 kb Handle: RePEc:onb:oenbfs:y:2004:i:8:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Stefania P.S. Rossi Author-Name-First: Stefania P.S. Author-Name-Last: Rossi Author-Workplace-Name: Economics at the Faculty of Economics, University of Cagliari Author-Workplace-Homepage: http://economia.uninav.it Author-Name: Markus Schwaiger Author-Name-First: Markus Author-Name-Last: Schwaiger Author-Email: markus.schwaiger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Workplace-Homepage: http://www.oenb.at Author-Name: Gerhard Winkler Author-Name-First: Gerhard Author-Name-Last: Winkler Author-Email: gerhard.winkler@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Credit Division Author-Workplace-Homepage: http://www.oenb.at Title: Banking Efficiency in Central and Eastern Europe Pages: 77-91 Year: 2004 Issue: 8 File-URL: https://www.oenb.at/dam/jcr:168b65f2-34f5-49ab-85bf-d5df6f8fc777/fsr_08_special_02_tcm16-23539.pdf File-Format: application/pdf File-Size: 137 kb Handle: RePEc:onb:oenbfs:y:2004:i:8:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Walko Zoltan Author-Name-First: Walko Author-Name-Last: Zoltan Author-Email: zoltan.walko@oenb.at Author-Workplace-Name: Oesterreicische Nationalbank Title: The Bulgarian Financial Sector Pages: 92-106 Year: 2004 Issue: 8 File-URL: https://www.oenb.at/dam/jcr:990e8f7b-fbc3-4f52-abeb-8ca8f1b5fb6e/fsr_08_special_03_tcm16-23540.pdf File-Format: application/pdf File-Size: 117 kb Handle: RePEc:onb:oenbfs:y:2004:i:8:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Gabriele Stöffler Author-Name-First: Gabriele Author-Name-Last: Stöffler Author-Email: Gabriele.stoeffler@oenb.at Author-Workplace-Name: Oesterreichsche Nationalbank Title: Supervision of Financial Conglomerates Pages: 107-113 Year: 2004 Issue: 8 File-URL: https://www.oenb.at/dam/jcr:f1981deb-0f83-45e6-a03d-9c75539e8d22/fsr_08_special_04_tcm16-23541.pdf File-Format: application/pdf File-Size: 78 kb Handle: RePEc:onb:oenbfs:y:2004:i:8:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Jürgen Bauer Author-Name-First: Jürgen Author-Name-Last: Bauer Author-Workplace-Name: FMA (Austrian Financial Market Authority) Author-Name: Evelyn Hayden Author-Name-First: Evelyn Author-Name-Last: Hayden Author-Email: Evelyn.Hayden@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Banking Analysis and Inspections Division Title: New Approaches to Banking Analysis in Austria Pages: 56-63 Year: 2004 Issue: 7 File-URL: https://www.oenb.at/dam/jcr:2e76b853-5b6b-467c-8eff-dc3b36949638/fsr7_bankinganalysis_tcm16-9502.pdf File-Format: application/pdf File-Size: 121 kb Handle: RePEc:onb:oenbfs:y:2004:i:7:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Vanessa Redak Author-Name-First: Vanessa Author-Name-Last: Redak Author-Email: vanessa.redak@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Eleonora Weiss Author-Name-First: Eleonora Author-Name-Last: Weiss Title: Innovative Credit Risk Transfer Instruments and Financial Stability in Austria Pages: 64-76 Year: 2004 Issue: 7 File-URL: https://www.oenb.at/dam/jcr:5550c9f3-424d-4cba-b17c-bf0833285875/fsr7_creditrisktransfer_tcm16-9503.pdf File-Format: application/pdf File-Size: 135 kb Handle: RePEc:onb:oenbfs:y:2004:i:7:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Boss Author-Name-First: Michael Author-Name-Last: Boss Author-Email: michael.boss@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Helmut Elsinger Author-Name-First: Helmut Author-Name-Last: Elsinger Author-Email: helmut.elsinger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://finance2.bwl.univie.ac.at/members/elsinger/elsinger.htm Author-Workplace-Phone: +43-1-4277 38057 Author-Workplace-Fax: +43-1-4277 38054 Author-Name: Martin Summer Author-Name-First: Martin Author-Name-Last: Summer Author-Email: martin.summer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7212 Author-Workplace-Fax: +43-1-40420-7299 Author-Name: Stefan Thurner Author-Name-First: Stefan Author-Name-Last: Thurner Title: An Empirical Analysis of the Network Structure of the Austrian Interbank Market Pages: 77-87 Year: 2004 Issue: 7 File-URL: https://www.oenb.at/dam/jcr:ed5fe12d-942b-4a55-821b-c84f851c390a/fsr7_networkinterbankmarket_tcm16-9507.pdf File-Format: application/pdf File-Size: 723 kb Handle: RePEc:onb:oenbfs:y:2004:i:7:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Stephan Barisitz Author-Name-First: Stephan Author-Name-Last: Barisitz Author-Email: stephan.barisitz@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Foreign Research Division Author-Workplace-Homepage: http://www.oenb.at Title: The Transformation of the Romanian Financial and Banking Sector Pages: 88-100 Year: 2004 Issue: 7 File-URL: https://www.oenb.at/dam/jcr:0af7df97-4ea3-4324-976d-10b5e1514298/fsr7_transformationromania_tcm16-9508.pdf File-Format: application/pdf File-Size: 164 kb Handle: RePEc:onb:oenbfs:y:2004:i:7:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Gerald Krenn Author-Name-First: Gerald Author-Name-Last: Krenn Author-Email: gerald.krenn@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division Author-Name: Mario Oschischnig Author-Name-First: Mario Author-Name-Last: Oschischnig Title: Systemic Risk Factors in the Insurance Industry and Methods for Risk Assessment Pages: 62-74 Year: 2003 Issue: 6 File-URL: https://www.oenb.at/dam/jcr:889754c6-5cb2-4f90-b931-1f4b81175a08/fsr_06_risk_factors_tcm16-9500.pdf File-Format: application/pdf File-Size: 120 kb Handle: RePEc:onb:oenbfs:y:2003:i:6:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Alexander Tscherteu Author-Name-First: Alexander Author-Name-Last: Tscherteu Title: The Third Quantitative Impact Study (Basel II) Pages: 74-85 Year: 2003 Issue: 6 File-URL: https://www.oenb.at/dam/jcr:8cc4f56c-c066-4ce6-a2b6-58782c5bd40f/fsr_06_basel_ii_tcm16-9498.pdf File-Format: application/pdf File-Size: 135 kb Handle: RePEc:onb:oenbfs:y:2003:i:6:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Roman Buchelt Author-Name-First: Roman Author-Name-Last: Buchelt Author-Name: Stefan Unteregger Author-Name-First: Stefan Author-Name-Last: Unteregger Title: Cultural Risk and Risk Culture: Operational Risk after Basel I Pages: 86-97 Year: 2003 Issue: 6 File-URL: https://www.oenb.at/dam/jcr:2bba77b7-09bc-441d-801c-13fcf44773ea/fsr_06_cultural_risk_tcm16-9495.pdf File-Format: application/pdf File-Size: 155 kb Handle: RePEc:onb:oenbfs:y:2003:i:6:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Vanessa Redak Author-Name-First: Vanessa Author-Name-Last: Redak Author-Email: vanessa.redak@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Alexander Tscherteu Author-Name-First: Alexander Author-Name-Last: Tscherteu Title: Basel II, Procyclicality and Credit Growth - First Conclusions from QIS 3 Pages: 56-69 Year: 2003 Issue: 5 File-URL: https://www.oenb.at/dam/jcr:1b0e692b-b28e-4658-ab40-8278d83aca7b/fsr5_baselii_tcm16-9486.pdf File-Format: application/pdf File-Size: 179 kb Handle: RePEc:onb:oenbfs:y:2003:i:5:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Luise Breinlinger Author-Name-First: Luise Author-Name-Last: Breinlinger Author-Name: Evgenia Glogova Author-Name-First: Evgenia Author-Name-Last: Glogova Author-Email: evgenia.glogova@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Author-Name: Andreas Höger Author-Name-First: Andreas Author-Name-Last: Höger Title: Calibration of Rating Systems - A First Analysis Pages: 70-81 Year: 2003 Issue: 5 File-URL: https://www.oenb.at/dam/jcr:1bb02e2c-dfd8-4453-9eb1-d0b50d85fc65/fsr5_calibration_tcm16-9487.pdf File-Format: application/pdf File-Size: 167 kb Handle: RePEc:onb:oenbfs:y:2003:i:5:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Doris Datschetzky Author-Name-First: Doris Author-Name-Last: Datschetzky Author-Name: Dagmar Straka Author-Name-First: Dagmar Author-Name-Last: Straka Author-Name: Sabine Wukovits Author-Name-First: Sabine Author-Name-Last: Wukovits Title: Overview of Austrian Banks Internal Credit Rating Systems Pages: 82-95 Year: 2003 Issue: 5 File-URL: https://www.oenb.at/dam/jcr:ca49931c-3fd9-448b-afac-47f9e3fb45d7/fsr5_overviewofbanks_tcm16-9492.pdf File-Format: application/pdf File-Size: 159 kb Handle: RePEc:onb:oenbfs:y:2003:i:5:b:3 Template-Type: ReDIF-Article 1.0 Author-Name: Martin Scheicher Author-Name-First: Martin Author-Name-Last: Scheicher Author-Email: martin.scheicher@ecb.int Author-Workplace-Name: European Central Bank, Kaiserstrasse 29, D – 60311, Frankfurt am Main, Germany, Title: Credit Derivatives - Overview and Implications for Monetary Policy and Financial Stability Pages: 96-111 Year: 2003 Issue: 5 File-URL: https://www.oenb.at/dam/jcr:8769ddb2-7d82-4703-99a5-0c9e170f52c5/fsr5_creditderiv_tcm16-9488.pdf File-Format: application/pdf File-Size: 178 kb Handle: RePEc:onb:oenbfs:y:2003:i:5:b:4 Template-Type: ReDIF-Article 1.0 Author-Name: Helmut Elsinger Author-Name-First: Helmut Author-Name-Last: Elsinger Author-Email: helmut.elsinger@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://finance2.bwl.univie.ac.at/members/elsinger/elsinger.htm Author-Workplace-Phone: +43-1-4277 38057 Author-Workplace-Fax: +43-1-4277 38054 Author-Name: Alfred Lehar Author-Name-First: Alfred Author-Name-Last: Lehar Author-Email: alfred.lehar@commerce.ubc.ca Author-Workplace-Name: University of British Columbia, Faculty of Commerce Author-Workplace-Phone: (604) 822 8344 Author-Workplace-Fax: (604) 822 4695 Author-Name: Martin Summer Author-Name-First: Martin Author-Name-Last: Summer Author-Email: martin.summer@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank, Economic Studies Division Author-Workplace-Homepage: http://www.oenb.at Author-Workplace-Phone: +43-1-40420-7212 Author-Workplace-Fax: +43-1-40420-7299 Title: A New Approach to Assessing the Risk of Interbank Loans Pages: 75-86 Year: 2002 Issue: 3 File-URL: https://www.oenb.at/dam/jcr:1b0c3195-c547-4035-85da-ad0b5bb5dbcd/fsr3_anewapproach_tcm16-9476.pdf File-Format: application/pdf File-Size: 642 kb Handle: RePEc:onb:oenbfs:y:2002:i:3:b:1 Template-Type: ReDIF-Article 1.0 Author-Name: Luise Breinlinger Author-Name-First: Luise Author-Name-Last: Breinlinger Author-Name: Evgenia Glogova Author-Name-First: Evgenia Author-Name-Last: Glogova Author-Email: evgenia.glogova@oenb.at Author-Workplace-Name: Oesterreichische Nationalbank Title: Determinants of Initial Public Offerings - A European Time-Series Cross-Section Analysis Pages: 87-106 Year: 2002 Issue: 3 File-URL: https://www.oenb.at/dam/jcr:ddcd05e5-51cd-47a6-be65-0c2c9c544bca/fsr3_determinants_tcm16-9477.pdf File-Format: application/pdf File-Size: 596 kb Handle: RePEc:onb:oenbfs:y:2002:i:3:b:2 Template-Type: ReDIF-Article 1.0 Author-Name: Harvir Kalirai Author-Name-First: Harvir Author-Name-Last: Kalirai Author-Name: Martin Scheicher Author-Name-First: Martin Author-Name-Last: Scheicher Author-Email: martin.scheicher@ecb.int Author-Workplace-Name: European Central Bank, Kaiserstrasse 29, D – 60311, Frankfurt am Main, Germany, Title: Macroeconomic Stress Testing: Preliminary Evidence for Austria Pages: 58-74 Year: 2002 Issue: 3 File-URL: https://www.oenb.at/dam/jcr:5d76b96b-579e-4764-9241-f357b5e88eee/fsr3_macroeconomicst_tcm16-9484.pdf File-Format: application/pdf File-Size: 574 kb Handle: RePEc:onb:oenbfs:y:2002:i:3:b:3