IMF Staff Country Reports

Russian Federation: Technical Note on Stress Testing of the Banking Sector

Publication Date:

November 29, 2011

Electronic Access:

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Summary:

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.

Series:

Country Report No. 2011/334

Subject:

Banking Capital adequacy requirements Correspondent banking Credit Financial institutions Financial regulation and supervision Financial sector policy and analysis Financial services Loans Money Stress testing