Article name International Experience in Supervisory Stress Testing of the Banking Sector: Theoretical Aspects
Authors Gorodkovaova S.. ,
Nikolenko P.V. financial consultant,
Bibliographic description Gorodkova S. A., Nikolenko P. V. International experience in supervisory stress testing of the banking sector: theoretical aspects // Transbaikal State University Journal. 2023. Vol. 29, no. 3. P. 133–142. DOI: 10.2109/2227-9245-2023-29-3-133-142. 142 Вестник
Category Economy
DOI 336.71.078.3
DOI 10.2109/2227-9245-2023-29-3-133-142
Article type
Annotation In modern conditions, when a new banking crisis is growing at an increasing pace in the world, from which a number of large Western financial and credit organizations have already suffered, the study of supervisory stress testing is relevant, since this tool has been created to stop crises in the banking sector. Now, when the Russian economy is going through a stage of structural transformation and banks play an important role in it, this tool is widely used in domestic supervisory practice. The purpose of the study is to systematize the international experience of conducting supervisory stress testing. The research objectives are as follows: to clarify the category of “supervisory stress testing”; to analyze models and scenarios of supervisory stress tests conducted in different countries; to identify the nuances of supervisory stress testing; to study the specifics of taking into account climate risks. The object of the study is supervisory stress testing, the subject is the experience of their implementation in different countries. The methodological basis of the study is the theoretical methods of induction, generalization and systematization. The central banks of the UK, the European Union, Australia and Brazil are observed in the study. According to the results of the study, the concept of “supervisory stress testing” has been clarified, scenarios of stress tests conducted in different countries have been analyzed, and the peculiarities of their implementation at both national and supranational levels are revealed. In addition, the specifics of taking into account climate risks in thematic stress tests of the euro area have been studied. Drawing a conclusion from the completed review, we can say that the experience of conducting supervisory stress testing varies quite a lot in each country. At the same time, there is also the formation of a general trend in the field of banking regulation – an emphasis on environmental protection for the implementation of activities to combat climate change.
Key words stress testing, banking supervision, international experience, risk management, anti-crisis policy, risk management, international financial institutions, credit institutions, banks, climate risks
Article information
References 1. Danilova E. O., Elizarova N. B. Macroprudential policy: theoretical aspects and practical experience of the Bank of Russia. Money and credit, no. 6, pp. 5–17, 2017. EDN WFOYUR. (In Rus.). 2. Danilova E. O., Markov K. V. Macroprudential stress testing of the financial sector: international experience and approaches of the Bank of Russia. Money and Credit, no. 10, pp. 3–15, 2017. EDN ZIZVUP. (In Rus.). 3. Desyatnichenko D. Yu., Ryabov O. V., Desyatnichenko O. Yu. Effective practices of macroprudential stress testing as a tool to increase the stability of the financial system of Russia in the conditions of macroeconomical shocks. Administrative Consulting, no. 12, pp. 95–110, 2021. DOI: 10.22394/1726-1139-2021-12-95- 110. EDN MTLNST. (In Rus.). 4. Dolgova E. V. Systemic risk in the modern world: concept, assessment, management. News of the Ural State Mining University, no. 1, pp. 112–117, 2016. (In Rus.). 5. Emelyanova E. S. IMF macroprudential stress testing: evolution of development. Bulletin of the Academy of Knowledge, no. 38, pp. 105–111, 2020. (In Rus.). 6. Emelyanova E. S. Supervision of stress testing of financial intermediaries: using European experience to develop the tools used. RISK: Resources, Information, Supply, Competition, no. 4, pp. 254–258, 2019. EDN WZZLLI. (In Rus.). 7. Kostyanskaya M. R. Macroprudential regulation of the economy and its role in ensuring the stability of the banking system. FES: Finance. Economy. Strategy., vol. 19, no. 5, pp. 49–53, 2022. EDN YPLPRO. (In Rus.). 8. Malakhova T. A. Stress testing of banks: Russian and foreign practice. Money and credit, no. 11, pp. 26–33, 2016. EDN WYBMMX. (In Rus.). 9. Savelyeva V. R., Vishnever V. Ya. Some issues of macroprudential stress testing of Russian banks. Problems of enterprise development: theory and practice, no. 1–2, pp. 112–116, 2022. DOI: 10.46554/PETER- 21-2022-2-p.112. EDN VASIBV. (In Rus.). 10. Seryakova E. V. Global problems of the Russian banking system in the context of its systemic risk. Financial risk management, no. 1, pp. 18–30, 2017. EDN TJALDR. (In Rus.). 11. Sorokina M. M. The system of macroprudential regulation and supervision: features of its development in Russia. Banking systems and financial markets in the conditions of economic asymmetry of the economy. Materials of the IV Banking Forum. Novosibirsk, May 21–22, 2014. Edited by G. M. Tarasova. Novosibirsk: Novosibirsk State University of Economics and Management «NINH», 2014. EDN UZSNYT. (In Rus.). 12. Suchkova E. O., Masterovenko K. V. Stress testing credit risk of the Russian banking system in terms of macroeconomic shocks. Management of economic systems: electronic scientific journal, no. 12, pp. 29–34, 2016. EDN XUWQFN. (In Rus.). 13. Khutorova N. A., Miroshnikova V. V. Foreign Expertise in Stress Testing of the Banking Sector and the Possibility to Adapt It to the Russian Practice. Financial Analytics: Science and Experience, vol. 13, no. 3, pp. 343–358, 2020. (In Rus.). 14. Adrian T., Morsink J., Schumacher L. Stress testing at the IMF. Web. 13.11.2022. en/Publications/Departmental-Papers-Policy-Papers/Issues/2020/01/31/Stress-Testing-at-the-IMF-48825. (In Eng.). 15. Bouchetara M., Eyih S., Hadj Slimane Kheroua H. The microprudential stress testing for banking system. A study case on algerian private bank, using accounting approach. Financial Studies, no. 25, pp. 34–70, 2021. (In Eng.). 16. Garvin N, Kurian S., Major M., Norman D. Macrofinancial Stress Testing on Australian Banks. Research Discussion Paper. Web. 16.11.2022. (In Eng.). 17. Morris J., Bejarano Carbo P. Stress testing at the Bank of England. Perspectives on UK Economic Policy Institutions: A Learning Resource for Undergraduate Students in Political Science and Economics. Manchester: Manchester Metropolitan University, 2021. (In Eng.).
Full articleInternational Experience in Supervisory Stress Testing of the Banking Sector: Theoretical Aspects