Stress Test of the Russian Banking System: The Case of an Increase in Overdue Debt

Стресс-тест российской банковской системы: случай роста просроченной задолженности

Andrey V. Zubarev and Kirill Shilov
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Andrey V. Zubarev: Russian Presidential Academy of National Economy and Public Administration

Russian Economic Development, 2022, issue 12, 52-62

Abstract: The study presents the results of a stress test of the Russian banking system. The main assumption of this test is an increase in the risk of overdue debts for various categories of loans. The assumptions for the stress test are formulated based on changes in the balance sheets of Russian banks during previous crises, as well as based on a rather rigid, but still relatively realistic scenario for the development of the situation on the corporate and retail lending market in the current economic conditions. The results of the stress test demonstrate that the balance sheet capital of 36 banks may fall below zero, and the capital of another 43 banks may fall below the acceptable level. To recapitalise all those banks that are not undergoing the financial recovery procedure, additional capitalisation in the amount of 3.2 trillion rubles may be needed. The article was written on the basis of the RANEPA state assignment research programme.

Keywords: Russian banking system; Bank of Russia; sanctions; stress test (search for similar items in EconPapers)
JEL-codes: E58 G17 G21 M41 (search for similar items in EconPapers)
Date: 2022
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