Bank stress tests as an information device for emerging markets : The case of Russia

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dc.contributor Bank of Finland Fungáčová, Zuzana Jakubik, Petr 2012-09-22T08:00:09Z 2014-09-22T08:00:09Z 2012
dc.identifier.isbn 978-952-462-734-4
dc.identifier.issn 1456-5889
dc.description Ilmestynyt myös IES working papers 4/2012
dc.description.abstract The recent financial crisis emphasised the need for effective financial stability analyses and tools for detecting systemic risk. This paper looks at assessment of banking sector resilience through stress testing. We argue such analyses are valuable even in emerging economies that 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 dynamic approach projecting key balance sheet items. Application of our proposed stress test framework to the Russian banking sector reveals a high sensitivity of the capital adequacy ratio to the economic cycle that shows up in both of the two-year macroeconomic scenarios considered: a baseline and an adverse one. Both scenarios indicate the need for capital increase in the Russian banking sector. Furthermore, given that Russia's banking sector is small and fragmented relative to advanced economies, the loss of external financing can cause profound economic stress, especially for medium-sized and small enterprises. The Russian state has a low public debt-to-GDP ratio and plays decisive role in the banking sector. These factors allow sufficient fiscal space for recapitalisation of problematic banks under both of our proposed baseline and adverse scenarios. Keywords: stress testing, bank, Russia JEL Classification: G28, P34, G21
dc.format.extent 26 s.
dc.language.iso eng
dc.relation.ispartofseries BOFIT Discussion Papers
dc.subject pääoma
dc.subject luotot
dc.subject rahoitusmarkkinat
dc.subject Venäjä
dc.subject pankkitoiminta
dc.subject stressitestaus
dc.subject menetelmät
dc.subject riskit
dc.subject kehittyvät markkinat
dc.subject rahoituslaitokset
dc.subject mittaus
dc.subject SP
dc.subject RP
dc.subject RP ST
dc.subject Bofit-kokoelma
dc.title Bank stress tests as an information device for emerging markets : The case of Russia
dc.type Sarjajulkaisu
dc.identifier.urn URN:NBN:fi:bof-201408071912
dc.subject.jel G28
dc.subject.jel P34
dc.subject.jel G21 BOFIT Discussion Papers
dc.series.year 2012
dc.series.number 3/2012
dc.series.sortingnumber 3 10.2.2012
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)
dc.description.publication Published in Czech Journal of Economics and Finance, Volume 63, Issue 1, pages 87-105, 2013

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