Стресс-тестирование кредитного риска кластера российских коммерческих банков
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 As a rule, stress testing is conducted relying on huge number of unpublished reporting forms, but business society has no access to them.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.
The paper presents a review of stochastic framework for term structure modeling and shows comparative advantages of commonly used techniques. The main application of the research is coherent modeling of credit and interest rate risk for Euro zone issuers.
In textbook the main issues connected with organization of credit analysis in a commercial bank were considered. The role of credit analysis in risk management system is shown. The methodology and specific methods for assessing the creditworthiness of borrowers used by banks are set out by complex approach. The textbook includes international recommendations for introduction of internal credit risk assessment systems in banks. With the aim at presenting the material examples from the practice of commercial banks, analytical tables, diagrams and figures were used.
This article evaluates the peculiarities of current corporate ratings systems and addresses specific issues of the development of econometrical rating models for emerging market enterprises. Financial indicators, market-value appraisals, industrial as well as macroeconomic factors of different countries were used as explanatory variables. Ratings of the Standard & Poor's, Moody's Investors Service and Fitch Ratings agencies were considered and used for modelling. The predictive power of the econometrical models was examined. A comparison of the methodologies of the three leading agencies was discussed.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.