Methodology and Practical Implementation of Macroprudential Stress Testing of the Banking System
https://doi.org/10.38050/01300105201717
Abstract
The article reviews the methodological basis of macroprudential stress-testing used as a quantitative tool to analyze and forecast financial stability. This tool has been actively used by regulators world wide especially after the 2007-2008 global financial crisis. We analyze the experience of macroprudential stress-testing of the US and EU banking sector with a particular focus on the Bank of Russia methodology. Using general scientific methods of analysis and synthesis of literature, the authors examine various aspects of macroprudential stress-testing. The result of this work is a review of empirical studies on macroprudential stress-testing and the analysis of its practical implementation in Russia and abroad.
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Review
For citations:
Suchkova E.O., Masterovenko K.V. Methodology and Practical Implementation of Macroprudential Stress Testing of the Banking System. Moscow University Economics Bulletin. 2017;(1):123-146. (In Russ.) https://doi.org/10.38050/01300105201717
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