METHODS OF STRESS-TESTS SCENARIOS CONSTRUCTION AND FINANCIAL PARAMETERS EVALUATION
Journal Title: The Institute of Accounting, Control, and Analysis in the Globalization Circumstances - Year 2016, Vol 4, Issue 4
Abstract
Introduction. The importance of improving risk assessment tools at the macro and micro level increases a lot in the conditions of financial markets instability. Stress tests are an effective tool for estimation of financial stability of bank institutions, which require assessing the financial reserves of banks in terms of negative global economic scenario and identifying "weaknesses" of financial institutions and the economy as a whole. Methods. An overview of methods of stress testing of institutions for financial sector in Europe and the world. Results. We should choose a set of "shock" consistent values of macroeconomic indicators and assess financial ratiosin resulting stress scenario for the conducting of stress test. The structure of the stress test was reviewed in this article, and the basic methods for creating "shock" scenarios and estimation of financial ratios as a result of the stress test was studied. Structural econometric models, vector autoregressive methods and statistical approaches were highlighted among these methods. Finally, the main methods and approaches to credit risk assessing are presented. You can highlight the models based on the logistic function and factor-models among them. Discussion. The additional economic relations between global financial markets should be included into macroeconomic models to improve the reliability of the results of the stress test. Stress testing is not widespread in Ukraine, thus adaptation of known models to local realities is a future problem.
Authors and Affiliations
Yevheniia Linder
Keywords
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