Stress testing in the system of bank risk-management

Lyudmyla Ivanivna Danilova, Vitalii Victorovych Savochka


The basic methodological approaches to stress testing of banks at the macro and micro levels are considered. The features and also  advantages and disadvantages of the two types of stress tests "bottom-up” (bottom-up approach) and “top-down” (top-down approach) are determined. The mechanisms of stress testing of banks according to four main methods are analysed. Among them we can distinguish such methods as  method ofelasticity, test of extreme values, scenic and index methods. The organizational, economic and financial aspects of stress testing as an integral part of the financial management of the bank are revealed. The main risks which conducted stress tests of banks are determined. Internal portals where all information would be published on the activity 's risk management and other information that may be used in the process of  stress testingare proposed to use in order to improve the efficiency. It is emphasized the priority of testing credit risk. The sequence of tasks of stress -testing of the bank is determined and necessary data sources are offered. The need to identify early warning signals within the portfolio and individual approaches and the creation of the necessary watchlist is pointed out. It has been proposed the structure of the report on the results of the stress tests, which should include a detailed description of the scenarios and the possible consequences if implemented. The problems of stress-testing banks in Ukraine are defined. A number of recommendations for improvement is offered. It is marked the necessity for stress-testing to assess the level of stress of an individual customer based on modeling and forecasting the balance sheet and income statement in subsequent periods. It is proposed to use processes BI tools including OLAP- cubes for stress- testing of the banks. The need to develop effective tools to respond to the deteriorating creditworthiness of customers on early stages is emphasized. Principles of operation of Banking Supervision in the process of implementing a mechanism for stress testing are offered.


banks; stress testing; stress events; risk management; business intelligence; individual stress

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Science Works Journal "Ekonomichnyy analiz"

ISSN 1993-0259 (Print)  ISSN 2219-4649 (Online) DOI: 10.35774/econa

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