Basel Committee on Banking Supervision notes work of Georgia's National Bank
The Basel Committee on Banking Supervision (BCBS) recognized the achievements of the National Bank of Georgia in stress testing practices in its document 'Supervisory and bank stress testing: range of practices'.
The report says that the National Bank of Georgia has adopted a supervisory approach, called General Risk Assessment Process (GRAPE), which integrates microprudential and macroprudential supervision in one process. This makes stress tests more forward-looking and less demanding of historical financial-sector data, captures the nonlinearity of results, reduces modelling errors, and increases comparability across banks.
The document says that the NBG’s approach could be of interest to other jurisdictions, where model risk is an issue or frequent structural changes occur in financial-sector data, making historical parameter estimates unreliable.
The BCBS is a committee of banking supervisory authorities that was established by the central bank governors of the Group of Ten countries in 1974.