Stress testing of banks: a review of methodologies.

Abstract

In the article there are methodologies for conducting stress tests. The main group of stress-tests used to identify the main types of risk assessment of possible gaps, provided their implementation capacity and determination to opposite shock as a whole banking system and some individual bank. The main objects of stress tests related to the implementation of interest rate, credit, market and liquidity risks, and summarized the major risk factors that are used during macro stress tests by central banks around the world. Analyzed the implementation of the main approaches to stress testing by national regulators. Determined that the main tasks of developing methodological approaches to stress testing can be solved by grouping congeneric profile risk bank's and research relevant characteristics of the probability of extreme events and management capabilities in the relevant stress conditions. Approach to stress testing should be determined structural characteristics of the bank and its specialization in the banking market and the corresponding risk profile. Indicated that an express need to build effective types of stress testing should be a combination of macro and micro budget forecasting changes and consideration of substitution effects and concentration of all financial flows of banks, and especially - in their advances portfolios.