Stress Test Methodology for Household and Firms

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Stress tests permit a forward-looking analysis and a uniform approach to identifying potential risks to the banking system as a whole, but also to individual institutions;

A stress test covering households and firms exposures could offer important indications on their capacity to withstand macroeconomic shocks (such as sharp movements in interest rates, exchange rates, GDP, employment) and how their reaction to these shocks affects the banking sector.

Impact Drivers


  • Public: To improve risk management by developing reliable models, able to signal potential threats generated by households and corporate sectors; to strengthen evidence supporting loan loss, general reserve provisioning and credit risk strategies to reduce credit risk cost
  • Private: To improve the tools for monitoring financial stability


At present, the central bank and the banks do not have comprehensive models to stress test the households and corporate sectors credit exposures.

SPI Committee Involvement

To build up a common understanding on the use of stress tests in the process of monitoring financial stability at the banking system and individual banks level.Additional Information on SPI Committee.


Ion Dragulin

Project Owner (PO), Director National Bank of Romania

Florian Neagu

Project Manager (PM) , Head of Department National Bank of Romania

Viorel Hodoiu

Deputy Project Manager (DPM) , Casa de Economiisi Consemnatiuni



Mihai Stoica

Project Manager , Bancpost

Romulus Mircea

Expert , National Bank of Romania

Terms of Reference

Regulatory Impact Assessment

SPI Committee Documents

Technical Documents

Project Working Group Minutes