Capital Stress Testing of Russian Systemically Important Banks

The study aims to develop a model of capital stress testing of Russian systemically important banks and its testing on the parameters specified in the scenario of the Russian economy development. To achieve this goal, the objectives are defined, the main of which are: to build a model of the influence of micro- and macroeconomic variables on the capital adequacy ratio of systemically important banks and to assess the significance of the proposed factors; to simulate the value of the capital adequacy ratio within the given stress conditions. In the framework of econometric modeling quarterly microeconomic and macroeconomic data for the period from 01.01.2010 to 01.01.2018 are tested. The empirical analysis of credit institutions is carried out using a linear model. The group of independent variables is represented by such macroeconomic variables as inflation rate, GDP, MICEX index, key rate and the price of Brent crude oil. The micro-variable group includes the share of reserves for possible losses on loans in the bank's loan portfolio, the share of highly liquid assets in the bank's total assets, the average interest rate on retail deposits, and return on assets (ROA) and capital (ROE). The results showed that all previously listed indicators, with the exception of the return on assets and the share of highly liquid assets in the bank's total assets, significantly affect the capital adequacy ratio of a systemically important bank. As a result of the modeling of the stressful economic situation, the capital adequacy ratio of the largest credit institutions will be at the level of 10.47%, while the required amount of additional capitalization to reach the average value of H1.0, observed in the 4th quarter of 2017, is 703.7 billion rubles.