Stress Testing as a Tool for Assessing Systemic Risk of Organizations of the Russian Banking Sector

Abstract

Under the conditions of competition improvement in banking sector, i.a. -on the part of international financial institutions, sophistication of operations and simultaneous access of banks to the instruments of risk hedging the task of building of risk

Bank Financial Risk Assessment in the Digital Background

“…Assesses the impact of market risk on the profitability and capital of the bank Source: Compiled based on [24][25][26] The authors believe that most indicators reflecting the quality level of financial risk management are optimal if their absolute value is assigned 2 points; 1 point corresponds when most indicators of this level belong to the average category and 0 pointsto the marginal category. At the same time, the change in the absolute indicator can be determined by a threepoint scale: 0 points -deterioration in the absolute indicator; 1 pointretention at the same level; 2 pointsan improvement in the absolute indicator.…”

A new macro stress testing approach for financial realignment in the Eurozone

“…12 In particular, Kupiec (1998) examines cross-market effects resulting from a market shock, while Alexander and Sheedy (2008) argue that due to this approach, promising nonetheless is being vulnerable to a considerable degree of model risks and back-testing methodologies should be performed in order to tackle the issues of misspecification. Moreover, Zayernyuk et al (2015) argue that the macroeconomic models used for stress testing barely take into account the full spectrum of shocks and risk factors and require satellite models, rather than focusing on specific financial variables. Foglia (2009) defines macro stress tests as the method that links macroeconomic drivers of stress with bank-specific measures of the credit risk.…”