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
QUESTIONS OF DEVELOPMENT OF DOCUMENTARY CONTROL
Introduction. The article thoroughly and comprehensively discusses the theoretical, organizational and methodological issues of the control of financial and economic activities of enterprises and organizations of various...
THE IMPACT OF GLOBALIZATION ON THE ACCOUNTING SYSTEM OF UKRAINE
Introduction. The globalization of the economy, a comprehensive deepening of international relations, the emergence and development of transnational corporations, holding companies, financial and industrial groups, etc.,...
MONETARY ACCOUNTING THEORY: PRACTICAL ASPECTS AND METHODOLOGICAL SUPPORT
Introduction. The article deals with practical aspects of the monetary theory of accounting, the basic content of which is in the system considering the issues of formation of the accounting and reporting information on...
ACCOUNTING POLICY CONCEPTION AND CLASSIFICATION
Introduction. The increasing role of the accounting system as one component of the general management system influences the formation of new tools to its provision. The last decade in Ukraine is characterized by the tran...
FORMATION OF INDICATORS PROFITS IN EVALUATING THE EFFECTIVENESS OF COMPANIES
Introduction. Currently, the accounting and analytical practice of the Republic of Belarus and other CIS states as well as countries with developed market economies, there is no scientifically based definition of "gross...