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Regular version of the site

Book chapter

Russian banks credit risk stress-testing based on the publicly available data

P. 262-271.
Bogdanova T., Davit Bidzhoyan.

This paper suggests an algorithm for stress testing of the credit risk of a Russian commercial bank, intended for use by investors and bank customers to assess the bank’s financial stability under stressful scenarios. Indicator of bank losses in this work is the indicator “loan loss provision”. An algorithm is proposed that describes the bank’s cash flows in stressful situations, taking into account the demand function for the loans of the analyzed bank, the bank’s availability of the necessary capital to increase the loan portfolio, and the availability of a sufficient amount of liquid to cover losses.

In book

Russian banks credit risk stress-testing based on the publicly available data
Tatyana Bogdanova, Davit Bidzhoyan. Vol. 850: Advances in Intelligent Systems and Computing. Springer, 2019.