Russian Banks Credit Risk Stress-Testing Based on the Publicly Available Data

被引：1
|
作者：
Bidzhoyan, Davit [1 ,2 ]
Bogdanova, Tatyana [1 ,2 ]
机构：
[1] Natl Res Univ, Higher Sch Econ, Myasnitskaya St 20, Moscow, Russia
[2] Springer Heidelberg, Tiergartenstr 17, D-69121 Heidelberg, Germany
来源：
DIGITAL SCIENCE | 2019年 / 850卷
关键词：
Stress-testing; Loan loss provision; Cash flow; Financial stability; Credit risk; Investors; CAPITAL REQUIREMENTS;
D O I：
10.1007/978-3-030-02351-5_31
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper suggests an algorithm for stress testing of the credit risk of a Russian commercial bank, intended for use by investors and bank customers to assess the bank's financial stability under stressful scenarios. Indicator of bank losses in this work is the indicator "loan loss provision". An algorithm is proposed that describes the bank's cash flows in stressful situations, taking into account the demand function for the loans of the analyzed bank, the bank's availability of the necessary capital to increase the loan portfolio, and the availability of a sufficient amount of liquid funds to cover losses.
引用
收藏
页码：262 / 271
页数：10
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