Selyutin V.V.Institute of Mathematics, Mechanics and Computer Science of Southern Federal University, Rostov-on-Don, Russian Federation vvs1812@gmail.com
Mesropyan K.E.Southern Scientific Center of Russian Academy of Sciences, Rostov-on-Don, Russian Federation carine@list.ru
Subject The article addresses stress testing of banks and the banking system as a risk management tool. Objectives The aim of the study is to review the existing practices and achievements in the field of stress testing models. Methods The study draws on literature review, comparative analysis, differential equations. Results Approaches to stress testing are considered in the context of different aspects, like scenarios, objects (levels), consistency, direction of stress testing, forecast horizon, KPIs in model, size of financial institutions, types of simulated risks. Conclusion and Relevance In the world practice, the liquidity risk modeling is rather neglected. In particular, the disadvantage of existing models is insufficient consideration of effects related to term structure of assets and liabilities. This paper offers an original approach to building a dynamic model of a bank in continuous time, which takes into account the term structure and can be used for enhancing the assets and liabilities management and for stress testing purposes.
Keywords: stress testing, risk management, mathematical modeling, bank, Basel III
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