Nije dostupno na hrvatskom jeziku.
Fleurilys Virel
- 10 March 2025
- MACROPRUDENTIAL BULLETIN - ARTICLE - No. 27Details
- Abstract
- Cyberattacks pose greater risk to financial stability than ever before as they have grown in both number and magnitude. A macroprudential perspective on cyber resilience stress testing is needed because cyber incidents can have a systemic impact as their effects spread across the financial sector via confidence, operational and financial mechanisms. While broader stress-testing principles also apply to cyber stress testing, stress testers need to focus in particular on clearly defining the overall objectives, determining the institutional perimeter, identifying material risk propagation channels, focusing on tail risks, considering relevant behavioural responses and combining the outcomes of bottom-up and top-down exercises. Based on these principles, cyber resilience stress tests can be executed following a bottom-up as well as a top-down approach. Top-down models can complement bottom-up results by providing harmonised modelling of system-wide financial interlinkages, behavioural responses and second-round effects.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
D81 : Microeconomics→Information, Knowledge, and Uncertainty→Criteria for Decision-Making under Risk and Uncertainty
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
C63 : Mathematical and Quantitative Methods→Mathematical Methods, Programming Models, Mathematical and Simulation Modeling→Computational Techniques, Simulation Modeling
- 27 June 2024
- OCCASIONAL PAPER SERIES - No. 352Details
- Abstract
- The 2019 revision to the Capital Requirements Directive allowed the systemic risk buffer to be applied on a sectoral basis in the European Union. Since then an increasing number of countries have implemented the new tool, primarily to address vulnerabilities in the residential real estate sector. To inform and foster a consistent understanding and application of the buffer, this paper proposes two specific methodologies. First, an indicator-based approach which provides an aggregate measure of cyclical vulnerabilities in the residential real estate sector and can signal a potential need to activate a sectoral buffer to address them. Second, a model-based approach following a stress test rationale simulating mortgage loan losses under adverse conditions, which can be used as a starting point for calibrating a sectoral buffer. Besides these methodological contributions, the paper conceptually discusses the interaction between the sectoral buffer and other prudential requirements and instruments, ex ante and ex post policy impact assessment, and factors guiding the possible release of the buffer. Finally, the paper considers possible future applications of sectoral buffer requirements for other types of sectoral vulnerabilities, for example in relation to commercial real estate, exposures to non-financial corporations or climate-related risks.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation