Stress-testing as a Preventive Method to Assess the Credit Risk of the Portfolio of Consumer Loans

The topic of research is «Stress-testing as a Preventive Method to Assess the Credit Risk of the Portfolio of Consumer Loans». This investigation is devoted to the development of stress-testing model, which describes the dependence of some indicators of banking activity on a number of financial and macroeconomic factors. Stress-testing model takes into account the structural features of the consumer lending and identifies current trends of the Russian banking sector development.Within the framework of this paper considered the definition and methodological basis of stress testing, modern trends of credit risk in the banking sector. Also this study includes a review of existing models of stress testing of credit risk evaluation.Hypotheses of this study are presented by the assumption of an association between certain indicators of banking activity and both macroeconomic and financial factors, as well as the growth of selected indicators of banking activities in the future period.The structure of diploma is determined by the introduction, three chapters, conclusion and bibliography. This study contains 4 tables, 5 figures and 49 pages.