乌兹别克斯坦共和国：技术援助报告——乌兹别克银行业宏观压力测试

TECHNICAL ASSISTANCEREPORT REPUBLIC OFUZBEKISTAN Macro Stress Testing of the Uzbek Banking Sector May 2024 Prepared ByStéphane Riederer (External Expert,Swiss National Bank) Authoring Departments/InstitutionsMonetary and CapitalMarketsDepartment DISCLAIMER The contents of this report constitute technical advice provided by the staff of the InternationalMonetary Fund (IMF) to the authorities of Uzbekistan (the “TA recipient”) in response to their requestfor technical assistance. This report (in whole or inpart) or summaries thereof may be disclosed bythe IMF to IMF Executive Directors and members of their staff, as well as to other agencies orinstrumentalities of the TA recipient, and upon their request, to World Bank staff, and other technicalassistanceproviders and donors with legitimate interest, including members of the SteeringCommittee of CCAMTAC, unless the TA recipient specifically objects to such disclosure (seeOperational Guidelines for the Dissemination of Technical Assistance Information). Publication orDisclosure of this report (in whole or in part) or summaries thereof to parties outside the IMF otherthan agencies or instrumentalities of the TA recipient, World Bank staff, other technical assistanceproviders and donors with legitimate interest, including members of the Steering Committee ofCCAMTAC, shall require the explicit consent of the TA recipient and the IMF’s Monetary and CapitalMarkets Department. Acknowledgments DONORS/THEMATIC FUND This technical assistance mission was made possible thanks to the financialsupport ofFinancial Sector Stability Fund(FSSF), which is funded byrespectivedonorpartners(Germany, Sweden, Switzerland, Italy, China, United Kingdom,Luxembourg, Saudi Arabia, European Investment Bank). Contents Acknowledgments....................................................................................................................................3Glossary....................................................................................................................................................5Preface.......................................................................................................................................................6Executive Summary.................................................................................................................................7Recommendations...................................................................................................................................8Introduction............................................................................................................................................10I.Macroand Financial Sector Background.........................................................................................11II.CBU’sStress Testing Framework....................................................................................................12III.Review of theStress-Testing Frameworkand Adaptations.........................................................13A. General................................................................................................................................................13B. Credit Risk: Satellite Models...............................................................................................................13C. Credit Risk: Scaling Approach............................................................................................................15D. Net Interest Income: Satellite Model...................................................................................................16E. Net Non-Interest Income: Satellite Model...........................................................................................17F. Operating Expenses............................................................................................................................18G. Reviewof Other Parameters..............................................................................................................19H. Integrationof Real Estate Price Shock...............................................................................................20I. Contagionand Concentration Risks.....................................................................................................21IV.Procedure forDesigning anAdverseMacroScenario.................................................................22V.IllustrativeStress-testRun..............................................................................................................24Conclusion.............................................................................................................................................28 Figures Figure 1. NPL Ratios for Households and Corporates............................................................................15Figure 2. NPL Ratios and Exposures for Sub-credit Segments..............................................