Impakti i Ekspozimit në Rrezik i Industrisë Bankare në Shqipëri
The Impact of ‘Impairment Test’ as per IFRS and Basel II approaches on the Magnitude and Quality of Portfolio at Risk and the Capital Adequacy Exposure – Convergences and Divergences

Summary/Abstract: Basel II framework requires banks to conduct stress tests on their potential future minimum capital requirements. The implementation of International Financial Reporting Standards from all commercial banks residents in Albania has become a mandatory concern since January 1st 2009. This study starts up with the asymmetric information risk going through all systemic ingredients within banking industry in Albania. A diagnostic examination covers the discrepancies between Basel II, IFRS and the Regulations of Bank of Albania on loans portfolio’s impairment risk identification, measurement and management. In addition we have developed a model on stress testing measurement and impact of IFRS 39 implementation on loans portfolio quality at least on monthly basis. The stress testing framework for minimum capital requirements is based on mild recession scenarios and considers all the interrelated components of risk exposure comparatively between Basel II and IFRS approaches. It includes the ad hoc paradoxes coming out from credit risk developments and the consequent effects in minimum capital requirements. The paper provides some similar viewpoints compatible on Albanian Banking System data and underlines the importance of such joint modeling.

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