173247 arab monetary book 88 txt arabic it 2b.pdf 2 9/4/18 … · 2018-09-25 · 2018...

2018

المنهجيات الحديثة الختبارات ا�وضاع الضاغطةاختبارات التحمل)

88رقم

(

فريق عمل االستقرار المالي في الدول العربية

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2008

1.

(Risk Profile)

2.

ICAAP

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3.

4. :

)Value at Risk

5. :

6.

)Risk Governance

.

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.

Risk Appetite Statement

.

.

.

.

.

.

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:

1. MIS

2.

3.

. (Sensitivity Analysis): -

-

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Risk Drivers

PD

.

1-

2-

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-

-

-

-

-

-

1.

.

.

.

.

.

.

.

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2.

3.

-

-

-

-

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-

-

- )Risk Appetite

-

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173247_ARAB Monetary_BOOK_88_TXT_Arabic_IT_2B.pdf 15 9/4/18 12:29 AM

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)46/200930/9/2009

2016

.

1 1.

.

(Moderate) 50%

(Medium) 100%

(Severe) 150%

1 III

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(Moderate) 10%

(Medium) 25%

(Severe) 50%

.

(Moderate)

(Medium) 3

(Severe) 6

.

(Moderate) 10%

(Medium) 20% (Severe) 30%

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.

:

-

(Moderate)

15 %

(Medium)

20 %

(Severe)

25 %

(Moderate) 15 %

(Medium) 20 %

(Severe) 25 %

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- 2

(Moderate)

100

(Medium)

150

(Severe)

200

2

(Moderate) 10%

(Medium) 20% (Severe)

30%

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What if "

Outflows:(

- 3:

(Moderate) 5%

(Medium)

10%

(Severe)

20%

-

(Moderate)

10%

(Medium)

20%

(Severe)

40%

3 3

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-

(Moderate)

5%

(Medium)

10%

(Severe)

20%

-

(Moderate)

10%

(Medium)

20%

(Severe)

40%

-

(Moderate) 5%

(Medium) 10%

(Severe) 20%

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-

(Moderate) 10%

(Medium) 20%

(Severe) 40%

-

(Moderate) 40%

Medium) 80%

(Severe) 100%

-

(Moderate)

(Medium)

(Severe)

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-

(Moderate) 10%

(Medium) 20%

(Severe) 40%

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Multiple Regression Analysis

NPL=ß0+ß1NPL(-1)+ß2X1+ß3X2+…+ßn+1Xn+e

NPL

ß0

NPL(-1)

X1-Xn

ß1-ßn )Regression Coefficients.(

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- Baseline Scenario

- Medium Macro Stress Scenario :(1.1

20100

- Severe Macro Stress Scenario :(-1.1

30200

2017 1996-

2015.(

2017 1996- 2015.(

2016

17.9 16.8 15.3 20172018 2019

12 10.5 .

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1.–2002.

2.–2002.

3.–2003.

4.–2003.

5.–2003.

6.-2004.

7.II–2004.

8.-2004 .

9.–2004.

10.II (–2005.

11.–2005 .

12.–2005.

13.–2005.

14.––2005.

15.–2006 .

16.II–2006.

17.–2006.

18.II (–2006 .

19.PAYMENTS AND SECURITIES CLEARANCE AND SETTLEMENTSYSTEM IN EGYPT-2007

20.–2007.

21.–2007.

22.–2007.

23.II–2007.

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24.–2007.

25.–2007.

26.–2008.

27.–2008.

28.–2008.

29.-2008 .

30.–2008.

31.–2008.

32.Information Sharing and Credit Reporting System in Lebanon

33.–2009.

34.–2009.

35.–2009.

36.–2009.

37.2010.

38.Information Sharing and Credit Reporting System in Syria-2010

39.Information Sharing and Credit Reporting System in Yemen-

2010

40.Information Sharing and Credit Reporting System in Oman-2010

41.Information Sharing and Credit Reporting System in Tunisia-

2010

42.-2011.

43.-2011.

44.-2011.

45.-2011.

46.-2012.

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47.

-2012 .

48.

-2012.

49.

-2013.

50.-2013.

51.--2013.

52.-2013.

53.

54.–

55.

56.

57.

58.–2014.

59.–2014.

60.–2014.

61.–

–2014.

62.–2014.

63.–2014.

64.–2015.

65.–2015.

66.–2015.

67.–2015.

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68.–2015.

69.–2015.

70.–2015.

71.–

–2017.

72.–2017.

73.–2017.

74.Financial Inclusion Measurement in the Arab World.

75.–2017.

76.Financial Education Initiatives in the Arab Region.

77.–2017.

78.–2016.

79.–

–2017.

80.–2017.

81.–2017.

82.Payment and Securities Settlement Systems in Lebanon- 2017.

83.–2018.

84.–2018.

85.–2018.

86.Regulatory Developments and Basel II Implementation in theArab Region.

87.De-Risking and Financial Inclusion: Global trends and thoughts for policy debate for the Arab region – 2018.

88..2018

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89.––2018.

90.–2018.

91.–2018.

92.–

–2018.

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2818

-

6215000 )9712(+

6326454 )9712(+

publications@amfad.org.ae

http://www.amf.org.ae

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173247_ARAB Monetary_BOOK_88_TXT_Arabic_IT_2B.pdf 32 9/4/18 12:29 AM

2018

المنهجيات الحديثة الختبارات ا�وضاع الضاغطةاختبارات التحمل)

88رقم

(

فريق عمل االستقرار المالي في الدول العربية

173247_ARAB Monetary_BOOK_88_COV_Arabic_IT_2A_3MM SP.pdf 1 9/4/18 11:32 PM