ecr-journalЭкономическая наука современной РоссииEconomics of Contemporary Russia1609-14422618-8996Regional Public Organization for Assistance to the Development of Institutions of the Department of Economics of the Russian Academy of Sciences10.33293/1609-1442-2020-4(91)-99-117ecr-journal-579Research ArticleЭКОНОМИЧЕСКАЯ ПОЛИТИКА И ХОЗЯЙСТВЕННАЯ ПРАКТИКАECONOMICAL POLICY AND ECONOMICAL PRACTICEСтресс-тестирование как инструмент оценки рисков банков: обзор международной практики, методов и методологииStress Testing as a Banking Risk Assessment Tool: A Review of International Practice, Methods and Methodologyhttps://orcid.org/0000-0002-3668-1691БиджоянДавит СааковичBidzhoyanDavit S.

к. э. н., преподаватель

bidzhoyan_david@mail.ruНациональный исследовательский университет «Высшая школа экономики», МоскваРоссияNational Research University “Higher School of Economics”, MoscowRussian Federation2020311220200499117Copyright © Биджоян Д.С., 20202020Биджоян Д.С.Bidzhoyan D.S.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.ecr-journal.ru/jour/article/view/579

Стресс-тестирование представляет собой достаточно обширную область исследования, находящуюся на стыке множества дисциплин (финансы, банковское дело, эконометрика, макроэкономика, микроэкономика, математический анализ и др.), и представляет интерес как для ученых-теоретиков, так и практиков. Полезность данного подхода, ставшая очевидной после финансового кризиса 2007–2009 гг., побудила многих исследователей разрабатывать и постоянно совершенствовать методологии стресс-тестирования, с помощью которых можно достаточно точно прогнозировать поведение банков и финансового сектора в кризисные периоды, что позволит банкам оценивать масштаб потерь и свое­временно предпринимать необходимые меры, направленные на укрепление финансового состояния. На сегодняшний день экономическая наука обладает большим арсеналом методов стресс-тестирования, позволяющих оценить потенциальные потери банков при заданных изменениях в риск-факторах в кризисные периоды, которые соответствуют исключительным, но вероятным событиям. Методологии стресс-тестирования охватывает все важные виды рисков (кредитный, процентный риски, риск ликвидности и др.), а также риски спе­цифические. Наличие огромного числа методов стресс-тестирования подтверждает их многогранность. Эти методы вызваны попыткой создать поведенческую модель банков, а структура и функционал этих методов остаются сложными. Цель данного исследования – предложить сжатую и вместе с тем исчерпывающую классификацию методов стресс-тестирования, а также дать обзор существующих на сегодняшний день подходов к стресс-тестированию и его различных аспектов (например, разработке стрессовых сценариев), представленных учеными, международными организациями, центральными банками и другими заинтересованными лицами.Данная работа является введением в огромную область аналитики – стресс-тестирование. Она ориентирована на банковских и финансовых аналитиков, макроэкономистов, желающих либо ознакомиться со стресс-тестированием как инструментом оценки банковских рисков, либо систематизировать все накопленные знания в данной области с целью более глубокого понимания экономических процессов.

 

Stress testing is a broad research area, at the interference of many disciplines (finance, banking, econometrics, macroeconomics, microeconomics, mathematical analysis etc.), and is of interest to both theoretical scientists and practitioners. The usefulness of this approach became evident after the financial crisis of 2007–2009, which prompted many researchers to develop and constantly improve stress-testing methodologies, using which it is possible to accurately forecast the behavior of banks and the financial sector in crisis periods. It allows banks to assess the scale of losses and timely take the necessary measures to strengthen the financial condition. Today, economic science has the biggest arsenal of stress testing methods that allow us to assess potential losses in crisis periods that correspond to extreme but plausible events. The stress testing methodologies cover all-important types of risks (credit, interest rate risk, liquidity risk etc.), as well as specific risks. The presence of a huge number of stress testing methods guarantees its versatility and depth, which could be explained by the attempt using this methods to create a behavior model of banks, which are quite complex in structure and functionality. The purpose of this study is to provide a concise, but at the same time comprehensive classification of stress testing methods, as well as a review of the current approaches to stress testing or to solving its various aspects (for example, developing stress scenarios) presented by scientists, international organizations, central banks and other interested parties. This paper is an introduction to the vast field of analytics – stress testing, and is oriented to banking and financial analysts, macroeconomists who want either to familiarize themselves with stress testing as a tool for assessing banking risks, or to systematize all the accumulated knowledge in this area in order to better understand economic processes.

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The authors declare that there are no conflicts of interest present.