Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10196611" target="_blank" >RIV/00216208:11230/13:10196611 - isvavai.cz</a>

Result on the web

<a href="http://search.proquest.com/docview/1354042005?accountid=15618" target="_blank" >http://search.proquest.com/docview/1354042005?accountid=15618</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia

Original language description

The recent financial crisis emphasized the need for effective financial stability analyses and tools for detecting systemic risk. This paper looks at the assessment of banking sector resilience through stress testing. We argue such analyses are valuableeven in emerging economies, which suffer from limited data availability, short time series, and structural breaks. We propose a top-down stress test methodology that employs relatively limited information to overcome this data problem. Moreover, as credit growth in emerging economies tends to be rather volatile, we rely on a dynamic approach projecting key balance sheet items. The application of our proposed stress test framework to the Russian banking sector reveals high sensitivity of the capital adequacy ratio to the economic cycle. This shows up in both of the two-year macroeconomic scenarios considered: a baseline and an adverse one. Both scenarios indicate a need to increase the capital of the Russian banking sector. Furthermore,

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Finance a úvěr

ISSN

0015-1920

e-ISSN

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Volume of the periodical

63

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

18

Pages from-to

87-105

UT code for WoS article

000316376500006

EID of the result in the Scopus database

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