Stress-Testing of the Bank's Capital Adequacy Based on the Example of Clusters of the Russian Banking Sector

Stress testing is an effective tool for assessing bank risks, which allows to respond to potential threats in a timely manner, which is very important in conditions of economic instability. The experience of the largest banks has shown that the weakest point is bank capital, so stress testing of capital adequacy is the most significant indicator of the stability of the banking system. Due to the variety of approaches to conducting stress tests, it is necessary to take into account the peculiarities of the banking system. The Russian banking sector is extremely heterogeneous, so this study will use cluster analysis, which will group banks based on the similarity of their parameters. During the stress testing, an econometric analysis will be used to identify the relationship between external factors and the level of capital adequacy. The resulting regression model will allow us to predict the level of capital adequacy of banking clusters under the influence of stressful scenarios. It is expected that banking clusters will react differently to the implementation of stressful factors, which will allow to assess their potential losses. The results of stress testing are of great importance for the entire financial system. Based on the results obtained, recommendations will be developed to improve the stability of the weakest clusters.