The Impact of the Global Financial Crisis on [601133]

The Impact of the Global Financial Crisis on
the Management of Banking RisksAlina Manta, Roxana Nanu Eq u i l i b r i u m
2 (5) 2010
iSSN 1689-765X
Key words: model, banking risk, global financial crisis, trend analysis

Abstract: The international macroeconomic and financial environment has undergone major negative
changes since the global financial crisis. The magnitude and intensity of the economic and financial crisis
have been underestimated by authorities worldwide. The uncertainties surrounding future developments
remain high. In Romania, the main challenges posed by the external sector refer to the worsening percep –
tion of risks, including contagion effects from the adverse regional developments, the contraction of ex –
ternal markets, the less readily available external financing and the replacement of global liquidity risk by
solvency risk. In spite of this, the banking sector continued to report positive financial soundness indica –
tors, displaying noticeable financial results. Stress testing analyses indicate a solid absorption capacity of
moderate shocks. on the other hand, we proposed ourselves to quantify the degree of correlation between
the european and romanian banking systems through the solvency indicator using the trend analysis.
In t r o d u c t Io n
The globalized economic and financial system has changed to such an extent that
central banks are on their way to becoming irrelevant. We are a long way from
the supply-and-demand fundamentals of a merchandising economy, which char –
acterized the multinationals in the 1960s and 1970s. As the credit crisis of July/
August 2007 demonstrated, rather than central bankers and regulatory author –
ities, it is the global financial industry that holds the upper ground.
After the crisis of the subprimes, it started to spread to other mortgages, sev –
eral experts (Chorafas 2009, pp. 61) expressed the opinion that the globalization
of credit risk, and most particularly of credit derivatives, holds many surpris –
es beyond what is already known. This has proved to be one of globalization’s
negatives, as money centre banks and other financial entities have been making

34 Alina Manta, Roxana Nanu
loans at any level of creditworthiness because that’s simply raw material for se –
curitizing and selling structured products world-wide. On the other hand, the
bank activity involves risks which are manifested at the level of each bank en –
tity, but which can be transmitted in the entire bank system or, in the case of
the international banks, in more bank systems. The banks pursue the reaching of
some objectives that are many times divergent, in that they use specific instru –
ments both in order to raise its quota on the market, and also to attract available
capitals necessary to the performance of some speculative transactions.
Therefore, the changing environment the banks operate in, marked by the in –
crease of the volatility, the internationalisation and the liberalization of the fi –
nancial markets increased the effect of contagion, as it was proven by the prop –
agation of the effects of the financial crisis on the entire world bank system.
Consequently, the aim of this paper is to demonstrate if there is any correlation
between the European and Romanian banking systems through the solvency in –
dicator and to analyse the changes induced by the global financial crisis on the
management of the banking risks.
mo dEr n ap p r o a c h Es oF t hE gl o b a l rIs k
The supervising authorities, and also the theoreticians pay nowadays a special at –
tention to the macro prudential analysis in order to evaluate the vulnerability of the
bank systems to shocks. The novelty of this recent approach, consecrated at the end
of the 90’s, of the last century consists in the fact that the systemic risk is analysed
from the perspective of its interaction to the real economy, the focus of the supervis –
ing activity being on the contamination risk and the mutual exposure of the banks to
macroeconomic shocks. We assist thus, to the minimisation of the factors specific to
each bank that can have an adverse evolution and can amplify the exposure to risk.
Practically, this approach uses aggregated macro prudential quantitative indica –
tors at the level of the bank sector (liquidity, adequate capital, the quality of the as –
sets) and macroeconomic indicators (the GDP level and dynamics, the evolution of
the inflationist process, the policy of the incomes, etc.) which concur to the estab –
lishment of the interaction between the real sector of the economy and the health of
the bank system. The macro prudential analysis frame is complete when in the mod –
el are used data regarding the entire financial system and there are used techniques
of the stress tests type.
We consider that the efforts of applying are considerable and the success of
this type of analysis depends on the degree of integration of the financial system
in every country and on the creation of some international standards so that this
demarche is unitarily implemented .
The decision of the Administration Council of BNR from October 2004
through which the Direction of Financial Stability is created, having a role in the

35 The Impact of the Global Financial Crisis…
elaboration of some representative financial stability indicators for the supervi –
sion of the national financial system and to assure their international comparabil –
ity, denotes the fact that the macro prudential analysis is agreeable by the mon –
etary authority from our country too. The problem will be difficult, considering
the structure of the Romanian financial system, and also the total liberalisation
of the capital account, which will impose the Central Bank the enforcement of
the supervision process for the assurance of the stability of the bank system.
Usually, the authorities use more warning in time systems, precisely to assure
a high efficiency of the supervision. The Committee from Basel through the New
Basel II Agreement set the basis of the consolidated supervision , considering the
transnational character of the banks. Thus, the authority from the origin coun –
try must supervise, on a consolidated basis, the banks form the host countries,
which does not exclude the compulsoriness of the banks from the host country
in respecting the prudential norms specific to the banking market where they op –
erate. The banks reciprocally supply themselves information regarding the man –
agement and the stock holding of these credit institutions, especially as far as the
liquidity, the solvability the scheme of guarantying the deposits, the limitation of
the great exposures, the accounting procedures and the internal control mecha –
nisms are concerned.
Therefore, at the same time with the exposure of our country to the European
Union, the National Bank of Romania became a member of the European Sys –
tem of the Central Banks, quality in which it is represented in all its work struc –
tures. This representation means the participation of the regulation process at the
level of the European Union which is developed on four work levels.
Among the main benefits of this process we can find the increase of the
speed of adopting the decisions by delegating the components of technical reg –
ulation to the Specialty committees and the possibility of reaching in time the
convergence in the plan of the supervision practices at the competent authorities
from the E.U. Among the actions taken by BNR in order to reach the convergence
in the plan of the practices of supervision of the banking activities we can find:
The adapting of the reporting system of the credit institutions at the COREP
requirements – Common Reporting – standardised frame of prudential reporting
in the EU – and FINREP – Financial Reporting – standardised frame of financial
reporting used by the prudential supervision authorities from the EU – through
the configuration of their reporting forms and their integration in the reporting
electronic system of NBR (National Bank of Romania 2008, pp. 45) ;
The use of the recommendations elaborated by the Committee of the Euro –
pean Bank Supervisors (CEBS);
The signing of ten bilateral memorandums with supervision institutions from
the original country of the financial groups present on the Romanian market for
the flexibility of the exchange of information necessary in the achievement of an
efficient supervision;

36 Alina Manta, Roxana Nanu
The participation to the information exchange with the supervisors from
South-Eastern Europe by constructing a regional platform, as a consequence of
the dominant role the subsidiaries of some foreign banks play in the financial in –
termediation of this region;
The promotion of a mutual supervision through the participation to twinning
programs, professional training seminaries, bilateral meeting between BNR as
supervision authority from the host country and those from the origin country,
such as Banca d’Italia, Austrian Financial Market Authority and Austrian Na –
tional Bank, Hungarian Financial Supervisory Authority and Bank of Greece.
ch a n g Es In d u c Ed b y t hE g l o b a l c rIsIs t o t hE m a n a g EmEn t
oF b a n k In g rIs k s
International financial turbulences which started in 2007 translated into a full-
fledged crisis one year later. Starting September 2008, this crisis has intensified,
affecting seriously world economic growth. The 3.2 percent international econo –
mic advance forecasted for 2008 is expected to be followed by a 1.3 percent dec –
line in 2009 (IMF, WEO – April 2009).
In the beginning, the crisis impacted predominantly developed economies.
However, the risk aversion in these countries showed rapidly through into emer –
ging economies. The Central and Eastern Europe (CEE) region was also affec –
ted. Market sentiment began to weigh increasingly on the dynamics of spreads
and of exchange rates in the CEE countries. The region was classified as a high-
risk area, within which Romania is not immune and the contagion has spread
from one country to another. Forecasts for the region are pessimistic: economic
declines are broad-based, companies disinvest, unemployment is on the rise, cur –
rent account deficits undergo adjustments and fiscal deficits widen significantly
(See table 1).
Under the circumstances, restoring confidence in the favourable outlook for
the region is essential. Economic activity in Romania’s main trading partners
(Germany, Italy and France) is expected to witness some of the largest contrac –
tions in the euro area (between -5.4 percent and -3.0 percent, EC, May 2009).
Consumer confidence in these countries has seen a sharp decline, with a bearing
on the demand for imports as well.
Consequently, given that Romania’s export markets are adversely affected,
domestic firms engaged in foreign trade activities might encounter problems.
The significant depreciation of the leu starting with the autumn of 2008 has hel –
ped alleviate difficulties somehow. Exporting companies contributed by almost
16 percent to value added creation (June 2008), holding about 10 percent of lo –
ans granted (December 2008), which explains their importance to the Romanian

37 The Impact of the Global Financial Crisis…
economy and the banking sector. Until 2009 Q1, Romania counted among the le –
ast affected CEE countries in terms of export activity.
Table 1. Main macroeconomic indicators of countries in the area
2008 (estimates) 2009 (forecasts)Bulgaria
Latvia
Hungary
Poland
Romania
Bulgaria
Latvia
Hungary
Poland
Romania
GDP 6 -4.6 0.5 4.8 7.1 -1.6 -13.1 -6.3 -1.4 -4
Gross fixed capital
formation20.4 -13.2 -2.6 7.9 19.3 -12.7 -24 -10.6 -6.2 -6.5
Unemployment 5.6 7.5 7.8 7.1 5.8 7.3 15.7 9.5 9.9 8
Inflation 12 15.3 6 4.2 7.9 3.9 4.6 4.4 2.6 5.8
Current account
deficit/GDP-24.8 -13.6 -8.4 -5.3 -12.3 -18.8 -1.5 -5 -4.7 -7.4
Public debt/GDP 14.1 19.5 73 47.1 13.6 16 34.1 80.8 53.6 18.2
Fiscal deficit/GDP 1.5 -4 -3.4 -3.9 -5.4 -0.5 -11.1 -3.4 -6.6 -5.1
Source: Central Bank Websites, NBR calculations, Financial Stability Report (2009).
Access to financing has become more difficult and more expensive given
that (i) international creditors are reluctant to providing further liquidity, (ii) go –
vernments all over the world have started to compete strongly with the private
sector for resources, and (iii) some rating agencies downgraded Romania’s ra –
ting to below ‘investment grade’, thereby worsening the perception of sovereign
risk. In 2008, Romanian companies and financial institutions resorted heavily to
foreign loans, which totalled EUR 13.7 billion (thereby fuelling external debt),
a volume roughly equal to the volume of new domestic bank loans granted to
companies and households in 2008.
Market sentiment is weighing increasingly heavily on the setting of the fi –
nancing cost for the European emerging countries. As a matter of fact, the larger
resort to CDS when assessing sovereign risk (in spite of the low level of liquidi –
ty and transparency of these instruments), heightens the role played by sentiment
changes while determining loan costs. The financing provided on an increasingly
larger scale by the IMF to emerging countries is aimed at alleviating the pressu –
res on the costs of and access to financing.
Financial turbulences sparked concerns over the liquidity risk management.
Nevertheless, the emergence of the economic crisis enhances the probability that
the solvency risk across companies might take precedence over the liquidity risk.
Romania’s financial stability may be affected by contagion from both directions.

38 Alina Manta, Roxana Nanu
Liquidity risk: Central banks in the countries of origin of the Romanian ban –
king capital pumped considerable amounts into their financial systems with
a view to resuming lending and restoring smooth money market functioning.
Solvency risk: The economic and financial crisis is expected to generate sig –
nificant losses worldwide. According to the IMF estimates (Global Financial Sta –
bility Report, April 2009), they might total almost USD 4,000 billion, of which
two thirds would be incurred by banks. The decline in global economic activity
and the materialisation of losses will generate contagious effects also on (I) the
domestic banking sector and (II) Romania’s real economy (Table 2).
Table 2. Contagion channels of the global crisis (December 2008)
(I) via the Romanian banking sector (II) via Romania's economyHome country
of shareholders
GDP
estimate
for 2009
Share in the Romanian
banking sector's capital
Home country
of shareholders
GDP
estimate
for 2009Share inDomestic
bank
loans
GV A
Greece -0.9 30 The Netherlands -3.5 2.2 6.8
Austria -4.0 24 Italy -4.4 1.3 1.5
The Netherlands -3.5 12 France -3.0 1.2 3.0
Italy -4.4 6 Germany -5.4 1.2 3.7
Hungary -6.,3 6 Austria -4.0 0.9 3.6
France -3.0 6 Turkey -3.7 0.6 0.5
Source: European Commission, National Bank of Romania calculations, Financial Stability
Report (2009).
Thus, the economic downturn in the countries of origin of Romanian ban –
king capital (Table 2) will make it harder for debtors in these countries to service
their debts. The solvency of parent banks will be damaged, adding to the already
existing liquidity problems. Consequently, the need to recapitalise parent banks
will diminish the resources they might channel towards their subsidiaries abroad.
Against this background, the main foreign banks’ commitment to maintaining
their exposure to Romania might lessen this risk somehow.
Non-resident shareholders of companies operating in Romania may encoun –
ter difficulties in preserving their cross-border investment at the same level. As
a result, foreign-owned local companies might witness a drop in the financing
via this channel, which may dampen their activity. These companies hold a rela –
tively significant share of total domestic bank loans (almost 15 percent) in value

39 The Impact of the Global Financial Crisis…
added formation across the economy and in Romania’s external debt (more than
40 percent of both short-term debt and medium- and long-term debt, March
2009).
In 2008 and 2009 Q1, the structure of the Romanian banking sector witnes –
sed no notable changes (Table 3). The tendency regarding territorial expansion
and the rise in staff numbers was alleviated in the final part of the year amid the
global financial crisis. The concentration degree which was moderate stuck to
the downward path.
In 2008 and 2009 Q1, the structure of the Romanian banking sector saw no
significant changes. The licensing of a foreign capital bank (BCR Banca Pen –
tru Locuinte), the establishment of a new Bucharest-based branch (DEPFA Bank
Plc. Dublin), after another bank’s discontinuing activity as a result of a merger
(Banca di Roma) or the changes in a bank’s shareholding (ABN AMRO Bank,
currently RBS Bank Romania S.A., following its being taken over by Royal
Bank of Scotland) did not alter the structure of the banking sector. Starting with
January 2009, CitiBank Romania S.A. changed its bank status – from Romanian
legal entity with foreign capital into the Romania-based branch of Dublin-based
CitiBank Europe.
At end-2008, in Romania, there were 43 credit institutions compared to 42 at
end-2007, out of which 32 were licensed by the NBR to operate as Romanian le –
gal entities, 10 branches of EU banking groups and a credit cooperative network.
At end-March 2009, the number of credit institutions was unchanged, the only
modification, at structure level, being the shift in status of CitiBank.
Moreover, mention should be made about the notifications regarding the in –
tention expressed by 174 foreign institutions to provide financial services on the
territory of Romania. Some of the applicants were trying to gain access to the
Romanian financial market, in an attempt to receive a favourable endorsement
from the supervision authorities based on the European single passport, given
that cross-border operations proved to be an opportunity, especially on the cor –
porate financing segment.
On the other hand, credit institutions in Romania, in their pursuit to gain
a larger market share, further showed the tendency to expand their territorial ac –
tivity by establishing 1,067 new outlets. In December 2008, 88 new outlets were
registered, 6 units less than in November 2008, while in the first three months of
2009 they totalled only 65, 26 and 23 respectively.
The slowdown in hiring or even the staff cuts did not have a strong impact
on the number of employees in the system, which stood at 71,622 at end-Decem –
ber 2008 and 70,458 at end-March 2009 respectively. The two said tendencies
caused the drop in the value of the indicator ‘number of employees per outlet’
from 12 in 2007 to 11 in December 2008 and 10.8 in March 2009.
From the viewpoint of the homeland of capital of credit institutions opera –
ting in Romania at end-March 2009, the novelty was the switch between the two

Table 3. Structural indicators of the Romanian banking system
1999 2000 2001 2002 2003 2004 2005 2006 2007 20082009
Q1
Number of credit
Institutions (including CREDITCOOP)41 41 41 39 39 40 40 39 42 43 43
Number of banks with
majority private capital37 37 38 36 36 38 38 37 40 41 41
Number of banks with majority foreign
capital, of which:26 29 32 32 29 30 30 33 36 37 37
– Branches of foreign banks 7 8 8 8 8 7 6 7 10 10 11
Number of banks per 100,000
inhabitants0.18 0.18 0.18 0.18 0.18 0.18 0.19 0.18 0.19 0.2 0.2
Assets of banks with majority private
capital/Total assets (%)53.2 53.9 58.2 59.6 62.5 93.1 94.0 94.5 94.7 94.7 93.6
Assets of banks with majority foreign
capital/Total assets (%)47.5 50.9 55.,2 56.4 58.2 62.1 62.2 88.6 88.0 88.3 86.7
Assets of top five banks/Total assets (%) 66.7 65.5 66.1 62.8 63.9 59.2 58.8 60.3 56.3 54.4 54.3
Herfindahl-Hirschmann index 1296 1375 1427 1381 1264 1120 1124 1171 1046 926 906
Source: National Bank of Romania, Financial Stability Report 2009, p.18 .

41 The Impact of the Global Financial Crisis…
top positions. Thus, in terms of capital contribution, Greece came in the lead,
holding 30.7 percent of aggregate foreign capital reported at end-March 2009
by domestic banks, Austria came in second with 23.5 percent and third came the
Netherlands with 11.9 percent.
The Degree of Correlation between the European Management of Banking
Risks and the Romanian Management of Banking Risks through the Solvency
Indicator
We proposed ourselves to identify any correlation between the development
of the indicators of solvency (IS) for Great Britain, Italy, France and Romania.
To this end, we introduce sets of data recorded during 1998 – 2007 using the sta –
tistical analysis program MINITAB. We first determine the trend recorded by the
indicator for the period specified and based on the deviations from trend obtai –
ned we will identify the existing correlations. Values for the solvency are presen –
ted in the following table:
Table 4. The evolution of the solvency indicators
Year Great Britain Italy France Romania
1998 13.20% 11.30% 10.70% 10.25%
1999 14.00% 10.60% 12.70% 17.90%
2000 13.00% 10.10% 11.90% 23.80%
2001 13.20% 10.40% 12.10% 28.80%
2002 12.20% 11.20% 12.30% 25.00%
2003 13.00% 11.40% 11.90% 21.10%
2004 12.70% 11.60% 11.50% 20.60%
2005 12.80% 10.60% 11.40% 21.10%
2006 12.90% 10.70% 10.90% 18.10%
2007 12.60% 10.40% 10.10% 13.80%
Source: Global Financial Stability Report, October 2008.
To estimate the trend indicator of solvency, we use the square function at the
expense of the linear function because it confers a high degree of accuracy. The
results obtained are presented in the following figure.

42 Alina Manta, Roxana Nanu
Figure 1. Trend Analysis for Great Britain, Italy, France and Romania (results obtained from
Minitab)
Source: own study.
Based on the results obtained, we identify correlations between deviations
indicator of solvency and trend approximated by a square function in the UK,
France and Italy and Romania using Pearson correlations.
Correlation coefficient varies between – 1 and 1, this meaning that:
When approaching – 1, the modification of a variable is strongly associated
with the inverse linear change of the other variables;
When the correlation coefficient is equal to 0, this means there is no associa –
tion between changes of the two variables;
When the correlation coefficient approaching 1, this means that the modifi –
cation of a variable is very strongly associated with linear direct modification of
the other variables.
Pearson correlation reveals the following results:
Correlations: RESI_UK, RESI_RO: Pearson correlation of RESI3 and
RESI10 = 0.098, P-Value = 0.787
Correlations: RESI_IT, RESI_RO: Pearson correlation of RESI5 and RESI10
= -0.879, P-Value = 0.001
Correlations: RESI_FR, RESI_RO: Pearson correlation of RESI8 and
RESI10 = 0.264, P-Value = 0.461
Therefore, one can observe a high degree of inverse correlation between risk
management for solvency in the Italian banking system and the risk management
10 9 8 7 6 5 4 3 2 10,140
0,135
0,130
0,125
0,120
IndexMarea BritanieMAPE2,09743
MAD 0,00273
MSD 0,00001Accuracy MeasuresActual
FitsVariableTrend Analysis Plot for Great Britain
Quadratic Trend Model
Yt = 0.13812 – 0.00269*t + 0.000163*t**2
10 9 8 7 6 5 4 3 2 10,116
0,114
0,112
0,110
0,108
0,106
0,104
0,102
0,100
IndexItaliaMAPE3,68375
MAD 0,00399
MSD 0,00002Accuracy MeasuresActual
FitsVariableTrend Analysis Plot for Italy
Quadratic Trend Model
Yt = 0.10508 + 0.00173*t – 0.000163*t**2
10 9 8 7 6 5 4 3 2 10,30
0,25
0,20
0,15
0,10
IndexRomâniaMAPE10,0906
MAD 0,0191
MSD 0,0006Accuracy MeasuresActual
FitsVariableTrend Analysis Plot for Romania
Quadratic Trend Model
Yt = 0.0690 + 0.0666*t – 0.00611*t**2
10 9 8 7 6 5 4 3 2 10,130
0,125
0,120
0,115
0,110
0,105
0,100
IndexFrantaMAPE2,14385
MAD 0,00252
MSD 0,00001Accuracy MeasuresActual
FitsVariableTrend Analysis Plot for France
Quadratic Trend Model
Yt = 0.10732 + 0.00650*t – 0.000716*t**2

43 The Impact of the Global Financial Crisis…
for solvency in the Romanian banking system, and direct correlation, but low in –
tensity between the risk of solvency of related systems French and British banks
and that for the Romanian banking system. However, since the p – value <0.05
only for the correlation Italy–Romania, and for the correlations France–Roma –
nia, p – value is 0,461 and for UK–Romania, p – value is 0,787, the value of p is
very large, it should lead us to the conclusion that there is no reason to reject the
null, that there are significant differences between the risk of solvency managed
by British and French banks and managed by Romanian banks. In this context,
the differences are due to random events.
In conclusion, we cannot make any remarks about the correlations between
the management of solvency in the French and British banking system versus
the Romanian banking system because the p-value is not significant. Instead, we
could observe the inverse correlation between risk management for solvency in
the Italian banking system and the risk management for solvency in the Romani –
an banking system, which emphasizes that the two approaches for solvency risk
management are very different.
co n c l u s Io n s
Clearly, there is cost and benefit with global financial integration, as with any
other enterprise. Worldwide access to capital is likely to bring both advantag –
es and drawbacks. Seeking the benefits of financial integration while suffering
limited costs is an impossible task – because there exist plenty of tradeoffs (and
many ironies) which make the choice of a strategy complex and uncertain.
One of the ironies is that while the global market has lots of freedom, central
banks lack the freedom to take necessary measures in a timely manner. Were the
West’s central banks to tighten monetary policy aggressively, they would bring
this process of money supply expansion ism under control. But aggressive tight –
ening is not feasible at the time of a major crisis (like the subprimes) because it
could bring the financial edifice down single-handed.
Knowledgeable people also say that while Western central banks lose au –
thority, other entities are not ready to take their place. For instance, in 2006 and
2007 credit rating agencies did not act swiftly to downgrade debt. Had they done
so, they would have constrained households and companies from borrowing too
much, as well as having discouraged banks from buying the upper tranche of
junk mortgages as Tier-1 Capital.
As for Romania, we can conclude that the banking sector continued to report
positive financial soundness indicators, displaying noticeable financial results.
Stress testing analyses indicate a solid absorption capacity of moderate shocks.
Two vulnerabilities are more prominent, being fuelled by the global economic
and financial crisis, namely credit risk and liquidity risk. Starting with the latter

44 Alina Manta, Roxana Nanu
part of 2008, the quality of loan portfolio has seen a sharper deterioration, indi –
cating particularly the slower economic activity and the weaker domestic cur –
rency. The deterioration is not even across banks, the largest ones posting high –
er levels of overdue and doubtful loans. In spite of the faster worsening of loan
portfolios of late, the quality of these portfolios overall is in line with the EU re –
quirements. Likewise, the coverage by provisions of non-performing loans in the
balance sheets of credit institutions in Romania is higher than that reported by
several EU Member States.
Capital adequacy is satisfactory both at aggregate and individual level. How –
ever, the persistent effects of the global economic and financial crisis call for
the consolidation of banks with a view to withstanding potential strong shocks.
To this end, the National Bank of Romania decided that banks should ensure
and maintain, at least during 2009–2010, a solvency level of 10 percent at least,
a prudential measure recommended by the IMF as well. Furthermore, in or –
der to assess ex ante the need for additional capital, so as to meet the solven –
cy threshold set forth amid a possible worsening of the economic environment,
the National Bank of Romania and the IMF agreed upon carrying out some bank
stress testing scenarios. The outcomes of these scenarios pinpoint the level of
own funds subsequent to applying the set of shocks and, implicitly, the funds re –
quired for attaining the 10 percent solvency ratio. All banks underwent the stress
testing exercise, based on stress factors included in the Government’s econom –
ic programme. According to the baseline scenario used during the testing, own
funds drop by about 21 percent, while in order for the solvency threshold to be
attained, an additional capital contribution in amount of EUR 1 billion is still
needed. Banks facing the need to bring in additional funds confirmed the inten –
tion of their shareholders to comply with the minimum 10 percent solvency re –
quirement for 2009 and 2010.
rE F ErEn cEs
Bessis j., (2007), Risk Management in Banking , 2nd edition, john Wiley and Sons, Ltd, pp.
460–472.
Chorafas d., (2009), Financial Boom and Gloom – The Credit and Banking Crisis of 2007–
–2009 and Beyond , palgrave Macmillan, Hampshire, pp. 61–70.
oprițescu M. – coordinator, (2006), Management of Banking Risks and Performances , Uni –
versitaria publishing House, Craiova, pp. 152–163.
National Bank of romania, (2007), Annual Reports, 2004–2008 .
international Monetary Fund, (2009), Global Financial Stability Report .

45 The Impact of the Global Financial Crisis…
Wp ł yW g l o b a l n Eg o k r y z y s u F In a n s o W Eg o
n a z a r z ą d z EnI E r y z y k I Em b a n k o Wy m
Słowa kluczowe: model, ryzyko bankowe, globalny kryzys finansowy, analiza trendu
Abstrakt: od czasu światowego kryzysu finansowego w środowisku międzynarodowym, makroekono –
micznym i finansowym zaszły zasadnicze, negatywne zmiany. Skala i intensywność kryzysu gospodar –
czego zostały zaniżone przez władze na całym świecie. Niepewność co do przyszłego rozwoju wydarzeń
pozostaje wciąż wysoka. W rumunii główne wyzwania, jakie stoją przed sektorem zagranicznym, odno –
szą się do pogorszenia percepcji ryzyka, w tym skutków niekorzystnego rozwoju regionalnego, kurcze –
nia się rynków zewnętrznych, mniejszej dostępności do źródeł finansowania oraz zmiany globalnego ry –
zyka płynności na ryzyko niewypłacalności. pomimo tego sektor bankowy nadal wykazywał pozytywne
wskaźniki stabilności finansowej, dobrą kapitalizację oraz pokaźne wyniki finansowe. analiza „stress te –
stu” wykazała trwałą zdolność absorpcji umiarkowanych wstrząsów. Z drugiej strony – zaproponowano
obliczenie stopnia korelacji europejskiego i rumuńskiego systemu bankowego za pomocą wskaźnika wy –
płacalności, używając analizy trendu.