Russian Federation: Technical Note on Stress Testing of the Banking Sector
IMF Staff Country Reports, November 29, 2011
Source details
- Canonical URL
- Russian Federation: Technical Note on Stress Testing of the Banking Sector
Other formats
Bibliographic details
- Published: November 29, 2011
- Series: IMF Staff Country Reports
- DOI: https://doi.org/10.5089/9781463925901.002
Overview of the exercise
- Focus: stress testing exercise in 2010 for the financial sector assessment program based on existing approaches of the Central Bank of Russia, and a separate bottom-up exercise.
- Scope: tests covered broad ranges of risk factors.
- Single-factor tests examined instantaneous impact of: credit, concentration, market, liquidity, and interbank contagion risks.
- Core conclusion: 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.
Key findings and analytical points
- The technical note documents both top-down (Central Bank of Russia approaches) and bottom-up stress testing methodologies applied in 2010.
- Single-factor stress tests were used to isolate instantaneous impacts from specific risk types: credit risk; concentration risk; market risk; liquidity risk; interbank contagion risk.
- Overall system resilience was observed across the range of macroeconomic and financial shocks considered in the exercise.
Risk factors and metrics emphasized
- Credit risk (including restructured loan considerations).
- Concentration risk (bank asset and capital-base concentration).
- Market risk (foreign exchange, interest rate, mark-to-market loss).
- Liquidity risk (liquidity stress channels and funding conditions).
- Interbank contagion risk (counterparty exposures and non-resident bank linkages).
- Other technical terms and metrics referenced: bank assets, banks Rub, Capital adequacy requirements, capital base, central bank, Correspondent banking, CR, ISCR, Loans, Stress testing.
Publication and document identifiers
- Publication date: November 29, 2011
- Pages: 44
- Volume: 2011
- Issue: 334
- Series: Country Report No. 2011/334
- DOI: https://doi.org/10.5089/9781463925901.002
- ISBN: 9781463925901
- ISSN: 1934-7685
- Stock No: 1RUSEA2011005
International Monetary Fund. "Russian Federation: Technical Note on Stress Testing of the Banking Sector", IMF Staff Country Reports 2011, 334 (2011).