Finance and Credit

A scenario analysis of stress testing in the assessment of the main risks of a credit institution

Vol. 24, Iss. 7, JULY 2018

Received: 28 March 2018

Received in revised form: 5 June 2018

Accepted: 21 June 2018

Available online: 27 July 2018

Subject Heading: Banking

JEL Classification: G17, G20, G21

Pages: 1736–1750

Shamrina S.Yu. Stavropol State Agrarian University, Stavropol, Russian Federation

ORCID id: not available

Lomakina A.N. Nevinnomyssk Technological Institute (Branch) North-Caucasian Federal University, Nevinnomyssk, Russian Federation
not available

Importance The paper considers the theoretical and methodological foundations determining the stress testing as a way to manage risks in a commercial bank.
Objectives The aim of the article is to systematize and theoretically substantiate approaches to the formation of effective stress testing in a commercial bank and develop recommendations for their practical implementation.
Methods Fundamental and applied researches of domestic and foreign authors in the field of finance are the theoretical and methodological basis of the work. The study uses the methods of logical analysis, synthesis, induction and deduction, observation, etc.
Results The paper proposes a technique of carrying out stress testing in a commercial bank. It allows to assess and minimize risks, in order to preserve the bank's capital. The research develops an algorithm for stress testing of credit risk. The paper analyzes the key concepts of stress testing of the main types of risk, which form organizing and implementing stress testing in the banks activities.
Conclusions and Relevance The application of the proposed method of stress testing will help assess the possible synchronous influence of risk factors on the activity of financial organizations.

Keywords: stress testing, scenario analysis, commercial bank, banking risks, financial stability


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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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Vol. 24, Iss. 7
July 2018