Seryakova E.V.Moscow State Institute of International Relations (University) of Ministry of Foreign Affairs of Russian Federation, Moscow, Russian Federation email@example.com ORCID id: not available
Importance This paper considers the concepts, stages and tools of macro-prudential regulation. As well, it assesses the contribution of the Top 10 Russian banks to systemic risk of liquidity. Objectives The purpose of the paper is to develop an aggregate index of the largest banks' contribution to systemic liquidity risk. Methods The research involves the methods of econometric and logical analyses. Results I constructed an aggregate weighted index of the contribution of the Top 10 Russian banks to systemic risk of domestic banking sector liquidity. The work reveals the statistical significance of system importance factors for each bank. Conclusions The developed index advances the RF industrial production and nominal GDP indicators. The increase of the largest banks' contribution to the systemic liquidity risk reduces the economic growth and industrial production rates.
Keywords: systemic risk, macro-prudential regulation, banking sector, systemically significant bank, system importance criterion
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