Indicator of the Proximity of Russian Banking Sector Systemic Crisis

Student: Mariia Guseva

Supervisor: Mikhail Vyacheslavovich Pomazanov

Educational Programme: Strategic Corporate Finance (Master)

Final Grade: 8

Year of Graduation: 2023

Elaborating on the idea of reverse stress testing technique for estimation risks of banking sector, this paper develops the formalized stress-index that measures distance of Russian banking sector to system crisis at each point of time over the period of 2012-2022. The VAR model is used to estimate the time interdependencies between macroeconomic factors and banks' reserves change, and stress-index is obtained from constraint optimization problem. Key words: system crisis, stress-index, VAR model, credit risk, Mahalanobis distance.

Full text (added May 17, 2023)

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