黑山：技术援助报告对中央银行资产负债表进行压力测试

MONTENEGRO StressTestingthe CentralBankBalanceSheet April2026 Prepared By Yuji Sakurai(MCMCO), Meryem Rhouzlane (MCMCO),Daniel van Schoot (MCMCO),andRobin Darbyshire (STX) AuthoringDepartments/Institutions The contents of this document constitute technical advice provided by the staff of the InternationalMonetary Fund to the authorities ofMontenegro(the "CD recipient") in response to their request fortechnical assistance. Unless the CD recipient specifically objects to such disclosure, this document (inwhole or in part),or summaries thereof,may be disclosed by the IMF to the IMF Executive Director forMontenegro;to other IMF Executive Directors and members of their staff;as well as to other agencies or The analysis and policy considerations expressed in this publication are those ofthe IMF’s Monetary and International Monetary Fund, IMF PublicationsP.O. Box 92780, Washington, DC 20090, U.S.A.T. +(1) 202.623.7430 • F. +(1) 202.623.7201publications@IMF.orgIMF.org/pubs Contents Glossary..........................................................................................................................................5Preface............................................................................................................................................6Executive Summary.......................................................................................................................7 I. CBSTFramework......................................................................................................................12 A.Policy Solvency..........................................................................................................................12B.Overview of Central Bank Balance Sheet Model.......................................................................14C.Core Equations for Central Bank Balance Sheet Model............................................................14D.Satellite Models for Central Bank Balance Sheet Model...........................................................16 A. Status Quo Scenario..................................................................................................................20B. Base Scenario............................................................................................................................21C.Macroeconomic AdverseScenarios..........................................................................................22D.Non-macro Adverse Scenarios..................................................................................................26E.Revenue Loss Mitigation Scenarios...........................................................................................31F.Summary of All Scenarios..........................................................................................................31G.Quantifying Buffer Against Fair Value Losses...........................................................................32 Figures 1.Assessing Policy Solvency..........................................................................................................132.Modeling Central Bank Balance Sheet........................................................................................143.Reserves for FV of Financial Assets at Fair Value Through OCI.................................................184.Base Scenario.............................................................................................................................205.Projecting CBCG’s Balance Sheet under Status Quo Scenario..................................................216.Projection of CBCG’s Balance Sheet Under Base Scenario.......................................................227.Macroeconomic Adverse Scenarios............................................................................................238.Adverse Inflation Scenario..........................................................................................................249.Adverse Real GDP Growth Scenario..........................................................................................2410.Low-interest Rate Scenario.....................................................................................................2511.High-interest Rate Scenario......................................................................................................2612.World Bank Loan Interest Expenses.........................................................................................27 15.Increase in Salary to the Competitive Level..............................................................................3016.Combining All Four Non-macro Scenarios................................................................................3117.Mitigating Impact of SEPA on the Payment Service Fee from Banks........................................3118.Simulated Paths of the Equity with Fair Value Losses..............................................................3319.Cr