Subject. Designated to measure the resilience of a financial system to stress in the real economy, spillover effects within the system and their induction, macroprudential stress testing is essential to the systemic risk assessment. Objectives. We examine the foreign expertise in stress testing of the banking sector and the possibility to adapt it to the Russian practice. Methods. The study is based on methods of analysis, comparison and systematization of the data collected. Results. We conducted a comparative analysis of the best foreign practices of stress testing in banking and evaluated whether it could be adapted to the Russian practice. Conclusions. Foreign stress testing practices are distinctive as the development level of financial markets and methodology of stress testing are different. The Basel Committee is a pivot in the development of principal approaches, which subnationally sets up the way the mechanism evolves. It is generalizing and analyzing regulators' practices in the leading countries. The stress testing methodology of the Central Bank of Russia is compliant with the Basel recommendations, with its quality being highly recognized under part of the IMF FSAP. The approach will help the Central Bank make stress testing more precise. It is reasonable to adapt some foreign practices, such as a stress testing horizon to be extended from a year up to 3–5 years; the use of dynamic balance sheets of banks to predict knock-on effects and an inverse reaction; the preparation of research and cyclical scenarios; the Central Bank's disclosure practice to be applicable to a greater audience; stress testing of the mala fide behavior risk.
Kapinos P., Martin Ch., Mitnik O. Stress Testing Banks: Whence and Whither? The Journal of Financial Perspectives, 2015, 20 p. URL: Link
Schuermann T. Stress Testing for Strategic Planning. In: Stress Testing and Macroprudential Regulation: A Trans-Atlantic Assessment. Edited by R.W. Anderson. CEPR eBook, 2016. URL: Link
Danilova E.O., Markov K.V. [Macroprudential stress testing of the financial sector: The international experience and the Bank of Russia's approaches]. Den'gi i kredit =Money and Credit, 2017, no. 10, pp. 3–15. (In Russ.)
Tarullo D.K. Lessons from the Crisis Stress Test. BIS Review, 2010, no. 38. URL: Link
Suchkova E.O., Masterovenko K.V. [Methodology and practical implementation of macroprudential stress testing of the banking system]. Vestnik Moskovskogo universiteta, Ser. 6 Ekonomika = Moscow University Economics Bulletin, 2017, no. 1, pp. 123–146. URL: Link (In Russ.)
Baudino P., Goetschmann R., Henry J. et al. Stress-Testing Banks – A Comparative Analysis. FSI Insights on Policy Implementation, no. 12. Financial Stability Institute, 2018. URL: Link