Assessing the systemic risk of a country’s financial sector (In Ukrainian)

Assessment of systemic risk is a mandatory element of effective public regulation of the financial sector, which aims to ensure its financial stability. The quality of analytical work conducted, and analytical data generated based on its results, are the basis for the development and adoption of sound regulatory decisions that minimize the emergence of systemic risk of the financial sector and mitigate the negative consequences of its implementation. The article deals with current theoretical and methodological and applied issues of assessment of systemic risk of the financial sector, based in an integrative systems and processes approach. The paper singles out information and analytic, diagnostic, preventive, signaling and control functions of assessment of systemic risk of the financial sector. The structure of the institutional subsystem of assessment of systemic risk of the financial sector of Ukraine with the in-depth coverage of the role of the NBU has been considered in detail. To achieve the purpose of the study, we summarized approaches to the disclosure of the essence of the concept of «systemic risk», which made it possible to identify the characteristics of systemic risk of the financial sector as an object of assessment. The stochastic and non-linear nature of the systemic risk of the financial sector requires innovative tools to identify patterns of the financial sector of the economy as a complex dynamic system, the formation of a system of indicators, which can be combined into different consistent scenarios. In view of domestic and international experience, we have determined the key instruments that form an instrumental component of assessment of systemic risk of the financial sector, which should provide its structural and cyclical measurement. It was determined that the assessment of systemic risk of the financial sector can have a «horizontal» perspective, where the focus is on the financial sector, and a «vertical» perspective, which predominantly considers the bilateral interaction between the financial system and the economy. The main tool for assessing systemic risk of the financial sector is macro-prudential stress testing. It was determined that the instrumental component of assessment of systemic risk of the financial sector under the NBU approach includes monitoring of indicators; analysis of financial and industrial groups with emphasis on their solvency; stress testing and qualitative analysis of the obtained data.