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August 21, 2026
Social Integration: At the Crossroads of Knowledge and Values
The International Laboratory for Social Integration Research (ILSIR) at HSE University studies the challenges faced by vulnerable groups and explores ways to help them participate fully in everyday life. To develop effective solutions, the laboratory’s researchers combine cutting-edge methods with practical fieldwork. In this interview with the HSE News Service, Laboratory Head Elena Iarskaia-Smirnova discusses the laboratory’s work.
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Stress-testing of retail and corporate segments of Russian credit market

P. 19–34.
Karminsky A. M., Kozlov O.
The objective of the paper is to investigate and compare risk patterns in ret ail and corporate segments and assess the potential impact of macroeconomic shocks on loan quality. Banks’ monthly financial statements data for the period 2004 – 2012 are used. Firstly, we develop an indicator to measure institution’s credit risk that reflects variance and average value of NPL corrected for loan loss reserves. It is used to compare the risk - return patterns of largest state - owned banks, and under our framework we identify how the strategies of various banks differ in retail and corporate loans, identifying ‘safest’ and ‘riskiest’ institutions. Secondly, l oan growth and credit risk sensitivity to macroeconomic shocks is analyzed using vector auto regression. M acroeco nomic shocks do not significantly increase NPL growth in corporate segment. However, inflation and investment growth have considerable impact on NPL growth in retail segment (which is however almost three times less than the corporate). Based on these find ings we conclude that there is no reason to expect rampant rise in corporate loan defaults in response to exceptional sudden changes in macroeconomic environment in Russia, though further growth of corporate loan segment increases credit risk, while the op posite is true about the retail sector.
Language: English
Text on another site
Keywords: РоссияRussiaгосударственные банкистресс-тестированиекредитный рынокState BanksStress Testing Credit MarketNon-Performing Loanпросроченный кредит

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11th EBES Conference Proceedings
Istanbul: EBES, 2013.
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