IMF-阿尔巴尼亚银行业的压力测试：FSAP后的十年（英）

Stress Testing the Albanian Banking Sector: A Decade Post-FSAP Jakree Koosakul and Eugena Topi SIP/2025/039 IMF Selected Issues Papers are prepared by IMF staff as background documentation for periodic consultations with member countries. It is based on the information available at the time it was completed on December 17, 2024. This paper is also published separately as IMF Country Report No 25/21. 2025 APR © 2025 International Monetary Fund SIP/2025/039 IMF Selected Issues Paper European Department Stress Testing the Albanian Banking Sector: A Decade Post-FSAP Prepared by Jakree Koosakul and Eugena Topi Authorized for distribution by Anke Weber April 2025 IMF Selected Issues Papers are prepared by IMF staff as background documentation for periodic consultations with member countries. It is based on the information available at the time it was completed on December 17, 2024. This paper is also published separately as IMF Country Report No 25/21. ABSTRACT: Over the past decade, the Albanian banking sector has undergone a remarkable transformation amid strong macroeconomic performance and sound financial reforms. Nevertheless, pockets of vulnerability remain, 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 and liquidity stress testing exercises using supervisory bank-level data. The results indicate banks’ broad resilience to shocks arising from non-performing loans and interest rates. On the other hand, vulnerabilities owing to large-borrower and sovereign exposures are found to be material in some cases. Relatedly, while banks are found to have adequate high-quality liquid assets under liquidity stress scenarios, such resilience hinges importantly on their access to the Bank of Albania’s liquidity facility. Such results call for further strengthening of the macroprudential toolkit and continued efforts to deepen financial markets. RECOMMENDED CITATION: Jakree Koosakul and Eugena Topi. 2025. “Stress Testing the Albanian Banking Sector: A Decade Post-FSAP” IMF Selected Issues Paper (SIP/2025/039) Washington D.C.: International Monetary Fund. JEL Classification Numbers: E44, G21, G28 Keywords: Albania, banking sector, stress testing, capital adequacy, liquidity, large exposure, sovereign-bank nexus Author’s E-Mail Addresses: JKoosakul@imf.org, ETopi@imf.org SELECTED ISSUES PAPERS Stress Testing the Albanian Banking Sector A Decade Post-FSAP Albania Prepared by Jakree Koosakul and Eugena Topi1 1 The authors are grateful to Anke Weber for providing overall guidance and feedback on the project and to the Bank of Albania for providing granular bank-level data used in the analysis. We would also like to thank David Bartolini, Piyabha Kongsamut, Ying Xu and seminar participants at the Bank of Albania for helpful comments, and Zeju Zhu for excellent research assistance. ALBANIA 4 INTERNATIONAL MONETARY FUND S