Ключевые риски и потенциал роста стабильности российского банковского сектора
This article presents a two-tier system for the comprehensive risk assessment and applies it to the Russian banking sector. First level of the system focuses on current analysis of banks in terms of their sensitivity to credit risk as well as to other types of risks (ex-ante risk assessment). Second level of the system deals with different measures of the overall banking sta-bility (ex-post risk assessment) such as widely used Z-score indicator and it introduces an empir-ical bank-level model for estimation of the elasticity of Z-score with respect to all types of risks considered at the first level of the system. Our analysis reveals that systemic risks of the Russian banking sector are moderately high while its ability to recapitalize profits is extremely limited under the existing model of the banking business.