希腊：金融部门评估计划系统风险分析技术说明

GREECE FINANCIALSECTOR ASSESSMENT PROGRAM TECHNICAL NOTE ONSYSTEMIC RISK ANALYSIS ThisTechnical Note onSystemic Risk Analysisfor theGreeceFSAPwas prepared by astaff team of the International Monetary Fund as background documentation for theperiodic consultation with the member country. It is based on the information availableat the time it was completed onMay 21, 2026. Copies of this report are available to the public from International Monetary Fund•Publication ServicesPO Box 92780•Washington, D.C. 20090Telephone: (202) 623-7430•Fax: (202) 623-7201E-mail:publications@imf.org Web:http://www.imf.orgPrice: $18.00per printed copy International Monetary FundWashington, D.C. GREECE FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE SYSTEMIC RISK ANALYSIS This Technical Note was prepared by IMF staff in thecontext of the Financial Sector Assessment Programin Country. It contains technical analysis and detailedinformation underpinning the FSAP’s findings andrecommendations. Further information on the FSAPcan be found athttp://www.imf.org/external/np/fsap/fssa.aspx Prepared ByMonetary and Capital MarketsDepartment CONTENTS Glossary __________________________________________________________________________________________5 EXECUTIVE SUMMARY __________________________________________________________________________7 INTRODUCTION ________________________________________________________________________________11 A.Macroeconomic Landscape and Trends_______________________________________________________11B.Financial Sector Structure and Vulnerabilities _________________________________________________16C.Interconnectedness ___________________________________________________________________________24 MACROECONOMIC SCENARIOS _______________________________________________________________28 CORPORATE AND HOUSEHOLD ANALYSES___________________________________________________30 A.Corporate Analysis ____________________________________________________________________________30B.Household Analysis ___________________________________________________________________________34 BANK SOLVENCY STRESS TEST ________________________________________________________________37 A.Credit Risk Modeling and RWAs ______________________________________________________________38B.Interest Rate Risk______________________________________________________________________________41C.Modeling Net Fees and Commissions Income ________________________________________________43D.Market Risk Approach ________________________________________________________________________43E. DTC Amortization _____________________________________________________________________________45F.Results ________________________________________________________________________________________45 A.Overview and Methodology __________________________________________________________________51B.Results ________________________________________________________________________________________55C.Liquidity to Solvency Interaction: Assessing Stressed “Hidden” Valuation Losses UnderCombined Market and Liquidity Stress __________________________________________________________57 LSI ANALYSIS ___________________________________________________________________________________58 BOXES 1. Household Probability of Default _____________________________________________________________392. LSI Euro Medium Term Program 2025 Issues__________________________________________________63 FIGURES 1. Recent Economic Developments ______________________________________________________________11 2. Corporate and Household Balance Sheets ____________________________________________________143. Credit Trends__________________________________________________________________________________154. Financial Sector Structure _____________________________________________________________________185. Profitability and Capital _______________________________________________________________________206. Liquidity Indicators and Sovereign Exposures _________________________________________________217. Sovereign-Bank Nexus ________________________________________________________________________238. Banking Sector Cross-Border Exposures_______________________________________________________259. Non-Bank Financial Institutions _______________________________________________________________2710. Macroeconomic Scenarios ___________________________________________________________________2911. Historical Trend of Non-Financial Corporates ________________________________________________3112. Non-Financial Corporate Sector Vulnerability Analysis_______________________________________3313. Distribution of Household Expense and Debt Service ________________________________________3614. Household Vulnerability Analysis ____________________________________________________________3715. Solvency Stress Test: A Block Diagram _______________________________________________________3816. Model and Projected Paths for C