Стресс-тестирование нефинансовых организаций: подход к обратной задаче на основе аналитического решения

Проблемы управления. 2021. № 6. С. 15–29.

Богомолов А. С., Dvoryashina M. M., Дранко О. И., Кушников В. А., Резчиков А. Ф.

This paper considers an approach to stress testing of nonfinancial organizations. It includes the problem statement and a methodology for solving the reverse problem. The mathematical model is based on open-source data (the financial statements of companies). The relevance of this approach is increasing due to different-nature crises (economic crisis, the COVID-19 pandemic, etc.). The resilience of companies (especially “backbone” ones) to shock situations is tested, and preventive management measures are developed. The direct problem statement involves determining the company’s financial model parameters that ensure a nonnegative level of cash balance in the forecast period. The reverse problem is to find the characteristics of the financial and economic state of the enterprise that correspond to different critical combinations of its financial result parameters. We develop an original stress-testing methodology that significantly reduces the labor intensity and computational complexity compared to stress-testing technologies for financial institutions. A new analytical model is used. The model results are illustrated by an example: stress testing of a backbone enterprise in the real economy sector, which was significantly affected by restrictive measures in the COVID-19 pandemic. Model calculations employ open data from the organization’s financial statements.

Keywords: стресс-тестирование, business modeling, Stress-testing, 28.17.31 Моделирование процессов управления, методы риск-менеджмента, analysis and risk management, operational efficiency, планирование и операционная эффективность