摘要：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.
Published in Financial Stability Report 15.
