Analysis of the systemic credit risk component in the banking sector of the Republic of Serbia

Naučna monografija na engleskom jeziku “Analysis of the systemic credit risk component in the banking sector of the Republic of Serbia”pruža metodološki i empirijski okvir za modeliranje i analizu sistemskog kreditnog rizika u kontekstu savremenih regulatornih zahteva, donetih kao odgovor na svetsku ekonomsku krizu iz 2008. godine.

U svetlu stroge primene MSFI 9 standarda u Evropskoj uniji, ali i u više od 140 zemalja sveta koje su ga usvojile – među kojima je i Srbija, ova monografija dobija esencijalan značaj jer nudi superiorno metodološko rešenje za PD makroekonomske modele. Ključna prednost ponuđenih ARDL-ECM modela u odnosu na tradicionalne logit i probit modele, koji u potpunosti otkazuju pred novom regulativom, ogleda se u preciznom razdvajanju kratkoročnih šokova od dugoročnih trendova, uspešnom rešavanju problema nestacionarnosti makroekonomskih podataka (kointegracija) i automatskom obuhvatanju vremenskog pomaka (time-lag efekta) ekonomskih potresa.

Tema kojom se bavi ova naučna monografija postaje posebno aktuelna u svetlu niza propisa koje je Narodna banka Srbije donela u periodu 2025–2026. godine jer nudi metodološki pristup koji u potpunosti može da odgovori na sve novousvojene zahteve supervizora.

U užem smislu, monografija je nezamenljiv praktični vodič za risk menadžere u finansijskom sektoru, stručnjake za razvoj i nezavisnu validaciju modela, kao i regulatore i supervizore, dok u širem smislu predstavlja fundamentalnu literaturu za akademsku zajednicu,  finansijske analitičare i investitore jer daje detaljan naučni opis i uvid u to kako globalni i domaći makroekonomski faktori generišu i transformišu nivo sistemskog kreditnog rizika u celokupnom bankarskom sektoru.

The scientific monograph “Analysis of the systemic credit risk component in the banking sector of the Republic of Serbia” provides a comprehensive methodological and empirical framework for modeling and analyzing systemic credit risk within the context of modern regulatory requirements introduced in response to the 2008 global economic crisis.

In light of the strict implementation of the IFRS 9 standard across the European Union and in over 140 countries worldwide that have adopted it—including Serbia—this monograph gains essential significance by offering a superior methodological solution for macroeconomic PD models. The key advantage of the proposed ARDL-ECM models compared to traditional logit and probit models, which fail completely under the new regulatory framework, lies in their ability to precisely disentangle short-term shocks from long-term trends, successfully address the issue of non-stationary macroeconomic data (cointegration), and automatically capture the time-lag effects of economic disturbances.

The core theme of this scientific monograph becomes exceptionally relevant given the series of regulations enacted by the National Bank of Serbia during the 2025–2026 period as it delivers a methodological approach capable of fully meeting all newly adopted supervisory requirements.

In a narrow sense, the monograph serves as an indispensable practical guide for risk managers in the financial sector, model development and independent validation experts, as well as regulators and supervisors. In a broader sense, it constitutes foundational literature for the academic community, financial analysts and investors, offering a detailed scientific exposition and profound insight into how global and domestic macroeconomic factors generate and transform the level of systemic credit risk across the entire banking sector.