Russian Federation: Technical Note on Stress Testing of the Banking Sector
International Monetary Fund
No 2011/334, IMF Staff Country Reports from International Monetary Fund
Abstract:
This technical note focuses on the stress testing exercise in 2010 for the financial sector assessment program based on the existing approaches of the Central Bank of Russia, as well as a separate bottom-up exercise. The tests covered broad ranges of risk factors. The single factor tests examined instantaneous impact of credit, concentration, market, liquidity, and interbank contagion risks. The results of the stress tests suggested that the Russian banking system is, on the whole, resilient to a variety of macroeconomic and financial shocks.
Keywords: ISCR; CR; bank assets; central bank; interest rate; capital base; restructured loan; liquidity risk; foreign exchange; mark-to-market loss; credit risk; banks Rub; non-resident bank; Loans; Stress testing; Correspondent banking; Capital adequacy requirements; Credit (search for similar items in EconPapers)
Pages: 44
Date: 2011-11-29
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