Russian Federation: Technical Note on Stress Testing of the Banking Sector
November 29, 2011
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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.
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
Keywords: bank assets, banks Rub, Capital adequacy requirements, capital base, central bank, Correspondent banking, CR, Credit, credit risk, foreign exchange, interest rate, ISCR, liquidity risk, Loans, mark-to-market loss, non-resident bank, restructured loan, Stress testing
Pages:
44
Volume:
2011
DOI:
Issue:
334
Series:
Country Report No. 2011/334
Stock No:
1RUSEA2011005
ISBN:
9781463925901
ISSN:
1934-7685
