In this study, a system-wide financial stress index (SWFSI) for the Hungarian financial system is developed. The indicator measures the joint stress level of the Hungarian financial systems main segments: the spot foreign exchange market, the foreign exchange swap market, the secondary market of...

In this study, a system-wide financial stress index (SWFSI) for the Hungarian financial system is developed. The indicator measures the joint stress level of the Hungarian financial system’s main segments: the spot foreign exchange market, the foreign exchange swap market, the secondary market...

This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the...

In this study, using three commercial banks’ retail mortgage loan portfolios (consisting of approximately 200,000 clients with housing and home equity loans), we analyse the risk characteristics of the portfolio, identify customer-specific and product-specific factors, and market and...

The dynamic increase in household indebtedness seen in Hungary in recent years has raised a number of questions relating to the risks of this growth and the long-term sustainability of banking portfolio quality. The continuous monitoring of risks is a task of the MNB, which stems from its...

In addition to aspects related to financial stability, the cost efficiency gap observed between the banking systems of the old and the new EU member states is also unfavourable from a welfare point of view. In the majority of new member states, banks are likely to price the relatively high rate...