Evolution of stress testing of financial institutions
https://doi.org/10.26425/2309-3633-2023-11-4-45-54
Abstract
The article raises the issues of developing a relevant tool for financial regulation and supervision – stress testing. Regulatory authorities use different types of testing to assess possible problems, as well as to model the response of supervised institutions to changes in system parameters. At present, the issues of ensuring financial stability are quite acute, and the search for effective analytical tools is an important managerial task, the solution of which is the focus of this study. The purpose of the article is to substantiate the advantages and limitations of this tool and to identify areas for its improvement. The evolution of the tool has been analyzed, and microprudential, macroprudential, and crisis stress tests investigated. The work is based on the data of the International Monetary Fund, as well as the Central Bank of the Russian Federation, the methods of analyzing regulatory documents and comparative economic analysis have been used. Types of stress tests and main stages of stress testing have been systematized. The authors, considering cross-border nature of financial institutions’ activities, conclude that transformation of supervisory tools is desirable and recommend the inclusion of non-banking financial organizations in stress testing, as well as network interactions between financial institutions as the main areas of improvement.
About the Authors
V. V. Kuznetsova
Lomonosov Moscow State University
Russian Federation
Russian Federation
Valentina V. Kuznetsova - Cand. Sci. (Hist.), Assoc. Prof. at the World Economy and Management of Foreign Economic Activity Department
1, Leninskie gory, Moscow 119991
O. I. Larina
State University of Management
Russian Federation
Russian Federation
Olga I. Larina - Cand. Sci. (Econ.), Assoc. Prof. at the Marketing Department
99, Ryazansky prospekt, Moscow 109542
References
1. Adrian T., Morsink J., Schumacher L. Stress Testing at the IMF. International Monetary Fund: Monetary and Capital Markets Department (Series); 2020. 72 p.
2. Anderson R., Danielsson J., Baba C., Das U.S., Kang H., Segoviano M. Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks. International Monetary Fund; 2018. 79 р.
3. Andrievskaya I.K. Stress-testing: a review of methodologies. In: Modernization of Economy and Social Development. Moscow: Higher School of Economics Publ. House; 2007. Pp. 34–43. (In Russian).
4. Bank for International Settlements. International Convergence of Capital Measurement and Capital Standards: A Revised Framework. BIS; 2005. 284 p.
5. Blanschke W., Jones M.T., Majnoni G., Peria S.M. Stress Testing of Financial Systems: An Overview of Issues, Methodologies and FSAP Experiences. International Monetary Fund; 2001. 57 p.
6. Brown C.O., Dinç I.S. Too Many to Fail? Evidence of Regulatory Forbearance When the Banking Sector Is Weak. The Review of Financial Studies. 2011;4(24):1378–1405.
7. Danilova Ye.O., Markov K.V. Macroprudential stress-testing of the financial sector: International experience and the bank of Russia’s approaches. Money and Credit. 2017;10:3–15. (In Russian).
8. Ekimova K.V., Kuznetsov N.V., Larina O.I. Systemic analysis of the consequences of the financial market digitization. In: Socio-Economic Systems: Paradigms for the Future. Springer International Publishing; 2021. Рp. 377–386. https://doi.org/10.1007/978-3-030-56433-9_40
9. Gospodarchuk G.G., Zeleneva E.S. Effectiveness of Macroprudential Policy: Problems of Measurement and Evaluation. Finance: Theory and Practice. 2023;27(1):32–41. https://doi.org/10.26794/2587-5671-2023-27-1-32-41 (In Russian).
10. Holton G.A. History of Value-at-Risk: 1922–1998. Boston, United States; 2002. 27 р.
11. Kuznetsov N.V., Ekimova K.V., Polyakova E.V. The use of mathematical apparatus data envelopment analysis of companies in a digital economy. In: Socio-Economic Systems: Paradigms for the Future. Springer International Publishing; 2021. Pp. 1543– 1552. https://doi.org/10.1007/978-3-030-56433-9_160
12. Larina O.I., Moryzhenkova N.V., Kukanova N.S. The Prospects for Using Distributed Ledger Technology in the Russian Insurance Sector. In: Lecture Notes in Networks and Systems. 2021. Pp. 1461–1470. https://doi.org/10.1007/978-3-030-59126-7_160
13. Larina O.I., Moryzhenkova N.V. Development of Risk Passport for Digital Financial Product. In: Smart Nations: Lecture Notes in Networks and Systems. Springer Nature Switzerland AG; 2022. Р. 415–421. https://doi.org/10.1007/978-3-030-94873-3_52
14. Ong L.L., Jobst A.A. Stress testing: principles, concepts, and frameworks. Washington, United States; 2020. 544 p.
15. Popova K.A. Stress-testing instruments and their practical use. Chronoeconomics. 2019;5(18):91–97. (In Russian).
16. Ramadiah А., Caccioli F., Fricke D. Reconstructing and Stress Testing Credit Networks. ESRB; 2018. 47 р.
17. Zeissler A.G., Metrick A. JP Morgan Chase London Whale C: Risk Limits, Metrics, and Models. Journal of Financial Crises. 2019;2(1):75–91.
Review
For citations:
Kuznetsova V.V., Larina O.I. Evolution of stress testing of financial institutions. UPRAVLENIE / MANAGEMENT (Russia). 2023;11(4):45-54. (In Russ.) https://doi.org/10.26425/2309-3633-2023-11-4-45-54
Views:
254
Email this article 