METHODS OF STRESS-TESTS SCENARIOS CONSTRUCTION AND FINANCIAL PARAMETERS EVALUATION

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

Related Articles

LOGISTIC COSTS OF MANUFACTURING ENTERPRISES AS OBJECTS OF ACCOUNTING AND CONTROL

The article provides a scientific analysis of the recognition of the composition of logistics costs and their grouping. The relevance and the need to optimize the management of logistics costs as an object of the manufac...

PROVIDING AS A BUILDING ENTERPRISE RISK MANAGEMENT POLICY INSTRUMENT

Introduction. The management of the economical risks of economic entities is a system of purposeful influence on them, which avoids, reduces or minimizes the negative effects of high-income households. The construction i...

FORMATION OF EFFICIENT PARAMETERS OF MANAGEMENT APPARATUS’ AGRICULTURAL SERVICE COOPERATIVES ON THE CONTROLLING BASIS

Introduction. Agricultural service cooperatives, not like other organizational forms of management, have functions related to their specific field of activity-maintenance of cooperative-owned owners. Methods: analysis a...

CLASSIFICATION OF FOREST RESOURCES PARAMETERS FOR THE ACCOUNTING AND ANALYTICAL PROVISION FORMATION

Introduction. The forest resources value in life of the community is so important that their rational use and restoration, preservation and protection issues will always remain the focus of the Ukrainian people. Therefor...

PROCEDURE FOR THE FORMATION, ACCOUNTING AND INTERNAL INSURANCE RESERVE CONTROL

Introduction. Modern trends in the development of Ukrainian insurance market, new insurance risk formation, the disadvantages of formation, use and placement of insurance reserves, peculiarities of accounting and its int...

Download PDF file
  • EP ID EP185815
  • DOI -
  • Views 129
  • Downloads 0

How To Cite

Yevheniia Linder (2016). METHODS OF STRESS-TESTS SCENARIOS CONSTRUCTION AND FINANCIAL PARAMETERS EVALUATION. The Institute of Accounting, Control, and Analysis in the Globalization Circumstances, 4(4), 73-79. https://europub.co.uk/articles/-A-185815