阿尔巴尼亚银行业的压力测试：FSAP后的十年

Stress Testing theAlbanian Banking Sector:A Decade Post-FSAP Jakree Koosakul and Eugena Topi SIP/2025/039 IMF Selected Issues Papers are prepared by IMF staff asbackground documentation for periodic consultations withmember countries.It is based on the information available atthe time it was completed on December 17, 2024. This paper isalso published separately as IMF Country Report No 25/21. 2025APR IMF Selected Issues PaperEuropean Department Stress Testing the Albanian Banking Sector: A Decade Post-FSAPPrepared by Jakree Koosakul and Eugena Topi Authorized for distribution by Anke WeberApril 2025 IMF Selected Issues Papersare prepared by IMF staff as background documentation for periodicconsultations with member countries.It is based on the information available at the time it wascompleted on December 17, 2024. This paper is also published separately as IMF Country Report No25/21. ABSTRACT:Over the past decade, the Albanian banking sector has undergone a remarkable transformationamid strong macroeconomic performance and sound financial reforms. Nevertheless, pockets of vulnerabilityremain, including some that were identified during the IMF’s 2014 Financial Sector Assessment Program(FSAP). To assess the resilience of the Albanian banking sector, this paper conducts capital adequacy andliquidity stress testing exercises using supervisory bank-level data. The results indicate banks’ broad resilienceto shocks arising from non-performing loans and interest rates. On the other hand, vulnerabilities owing tolarge-borrower and sovereign exposures are found to be material in some cases. Relatedly, while banks arefound to have adequate high-quality liquid assets under liquidity stress scenarios, such resilience hingesimportantly on their access to the Bank of Albania’s liquidity facility. Such results call for further strengthening ofthe macroprudential toolkit and continued efforts to deepen financial markets. RECOMMENDED CITATION:Jakree Koosakul and Eugena Topi. 2025. “Stress Testing the Albanian BankingSector: A Decade Post-FSAP” IMF Selected Issues Paper (SIP/2025/039) Washington D.C.: InternationalMonetary Fund. Stress Testing the AlbanianBanking Sector A Decade Post-FSAP Albania Prepared by Jakree Koosakul and Eugena Topi1 STRESS TESTING THE ALBANIAN BANKING SECTOR:A DECADE POST-FSAP A.Introduction 1.Over the past decade, the Albanian banking sector has undergone a remarkabletransformation.From a peak of almost 25 percent in 2014—amid lackluster macroeconomicperformance, sizable government arrears, and weak underwriting standards (see the 2014 Financial Sector Assessment Program (FSAP)Report)—non-performing loans (NPLs) declined to just under 5percent of total loans in Q1 2024, thanks tofinancial reformsand a strong macroeconomy.The degree of foreign ownership has declinedsignificantly, with the share of assets owned byforeign banks falling from 90 percent in 2013 to65 percent in Q1 2024, reducing the system’svulnerability to contagion risks from externalshocks. Banking supervision has also beencontinually strengthened, with the aim to betteralign microprudential regulations with international standards and enhance macroprudential tools to safeguard financial stability.2 2.The sector has weathered a series of recent shocks well.Despite being confronted withmultiple domestic and global shocks in recent years (the 2019 earthquake, pandemic, Russia’s war inUkraine), the banking sector has remained resilient. Banking sector profitability has been sound andstable with an average return-on-assets of around 1 percent between 2019 and 2022, which rose toan average of 1.7 percent in 2023 and 2024 on the back of higher interest income amid highermonetary policy rates. While heterogeneity exists, banks have remained well-capitalized and liquid,with an average capital adequacy ratio of 19.3 percent in July 2024 (compared to the minimumregulatory requirement of 12 percent) and liquidity ratios above regulatory requirements. 3.Nevertheless, pockets of vulnerability remain, including some that were identified inthe 2014 FSAP Report.Albania continues to rank among the top in Europe in terms of banks’sovereign securities holdings, posing risks stemming from the sovereign-bank nexus.3Local-currency government bond and money markets remain illiquid, which could complicate banks’ability to generate liquidity during stress episodes. The economy remains highly euroized, and whileunhedged FX lending has declined as a share of total FX loans, two-thirds of unhedged FX loans areconcentrated in the real estate sector, which has recently seen rapid credit growth in 2024 andcontinued price increases. 4.Against this backdrop, this paper conducts two sets of stress testing exercises to assessthe resilience of the Albanian banking sector to shocks.First, based on the methodologydeveloped by Cihak (2014), banks’capital adequacyis examined under stress scenarios covering twobroad categories of risks, namely: credit (NP