Methods of stress-testing of risks of the commercial bank in anticrism management program
Journal Title: Економіка. Фінанси. Право - Year 2018, Vol 9, Issue
Abstract
The article describes the features of the method of stress testing of the risks of a commercial bank within the framework of the program of crisis management. The concept of "crisis management" and "stress-testing", their main characteristics and general features are considered. The nature of the crisis process determines the purpose and objectives of the crisis management. Within the framework of the crisis management program, the bank carries out stress testing for the following types of risks: credit, liquidity risk, market (interest rate risk, currency risk) and operational. The methodology of stress testing of commercial bank risks performed to determine losses in one or another critical situation, to assess the adequacy of financial assets and forecast potential risks in the event of falling prices in the market, changes in government policy or other reasons that negatively affect the quality of the bank's loan portfolio. The key stages of stress-testing methods was investigated, which include actualization of parameters for stress testing, development of a stress-testing model and implementation of its parameters in the bank's industrial environment. It was establish that the critical analysis of methods of conducting stress testing of risks of a commercial bank within the framework of crisis management program determines the following directions of its research, such as scenario analysis and analysis of sensitivity depending on strategic guidelines of the bank. It was reveal that the analysis of the results of stress testing determines the stock of financial stability of the bank, but also from the practical value, it should be noted monitoring and controlling at the level of risk of the bank, exposing the commercial bank to the danger, and minimizes the most serious threats.
Authors and Affiliations
Bohdan Vasylovych Serotiuk
Keywords
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