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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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,

Název v anglickém jazyce

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

Popis výsledku anglicky

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,

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

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Svazek periodika

63

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

18

Strana od-do

87-105

Kód UT WoS článku

000316376500006

EID výsledku v databázi Scopus

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