Stress Testing in Banking as a Risk Minimization and Management Method

This paper is devoted to the issues of stress testing in domestic and foreign practices. The first chapter includes theoretical aspects of stress testing: the concept and structure of stress testing; the peculiarities of its organization in Russia; the role of the mega-regulator in integrating this tool into the banks risk management system. As for the practical part of the work: a comparison of different operational risk stress testing models, recommended by the BCBS, was conducted; the features of formalizing the task of stress testing of operational risk were highlighted. Also, a stress testing model based on expert self-assessments was developed. Investigation included construction of OR factors model, a model of the probability of stressful events during the implementation of OR, stress scenarios, interpretation of results and stress resistance determination.