Стресс-тестирование кредитного риска кластера российских коммерческих банков

Бизнес-информатика. 2019. Т. 13. № 3. С. 35–51.

Биджоян Д. С., Bogdanova T., Neklyudov D.

Stress testing as an instrument of risk evaluating is actively used in many international organizations, as well as by Central banks in many countries. Some organizations (including the Bank of Russia) conducting stress testing do not public results of tests, which are interesting to the business society. They do so to avoid some panic moods on markets which could lead to massive outflow of deposits from banking sector as a whole or from some individual banks. As a rule, stress testing is conducted relying on huge number of unpublished reporting forms, but business society has no access to them. Only four reporting forms are presented in the Bank of Russia’s website.

In this paper we propose a simplified algorithm of credit risk stress testing of a banking cluster, based on the four officially published reporting forms. The algorithm provides modelling of median values of banking variables depending on macroeconomic indicators, and subsequent retranslation of the received values for assessing financial position of each bank included in the cluster. It is assumed that growth rates of banking indicators obtained from the econometrics models relying on median values are the same for each bank in the cluster.

As of 1 January 2018, credit risk stress testing was conducted for 26 banks, nine of which are system-significant credit institutions. Within the stress-testing eight econometric time series models were developed. As a result, it was discovered that 11 out of 26 banks in the cluster will face with certain difficulties regarding statutory requirements related with capital ratios or buffers.

Keywords: кредитный риск, стресс-тестирование, credit risk, econometric model, эконометрическая модель, stress-testing, медиана, macroeconomic factors, median, макроэкономические переменные