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Stress Testing of the Russian Banking System: an Assessment of Macroeconomic Shock

Student: Masterovenko Ksenia

Supervisor: Ekaterina O. Suchkova

Faculty: Faculty of Economics

Educational Programme: Finance (Master)

Year of Graduation: 2017

The crisis of 2014 - 2016 years showed that the Russian banking system is largely vulnerable to macroeconomic shocks: the current economic situation has led to an increase in the risks of the banking sector, the key role of which is played by credit risk. Accordingly, instruments designed to assess and predict the risks of the banking system should be the subject of special attention, both from commercial banks and from the supervisory authority. In recent years, numerous studies have been devoted to the issue of macroprudential stress testing, as well as the study of modern approaches to the analysis of the influence of macroeconomic factors on the stability of the banking system. At the same time, this issue is considered mainly in the context of developed countries. Nevertheless, this topic has a great importance for the Russian economy, especially during the period of macroeconomic instability. Therefore, the analysis of international approaches to stress testing, as well as the work of leading foreign experts form a promising research direction. The scientific novelty of the work is that the author provide a critical examination of the methodological aspects of stress testing, make the review of approaches to implementation of stress testing in foreign countries and Russia, analyze the researches of the leading foreign and domestic experts and construct own model of stress testing of the Russian banking sector.

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