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Journal: Herald of Kyiv National University of Trade and Economics (Vol.97, No. 5)

Publication Date:

Authors : ;

Page : 78-88

Keywords : stress-testing; credit risk; risk factor; banking system; scenario.;

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Background. The proposed scientific article is devoted to the theoretical foundations of stress testing tool of credit risk and systematization of the main methods of its use. Because of the crisis in the domestic banking system topic of the research is of particular importance, as it will allow banks to develop and apply their own objective model to predict the level of potential losses from credit risk. The review of scientific sources on this trend suggests that quite a lot of domestic and foreign scholars study methodological principles of stress testing of the banking risks, including credit. However, they do not study in a complex way issues of features and practical application of stress tests of credit risk at the macro and micro levels to assess potential losses upon the occurrence of the credit risk, that has formed the aim of the study. Results. The general definition of stress testing of credit risk group combines methods of impact assessment on credit activities of banks adverse events, defined as exceptional but possible. Stress tests are used to analyze the vulnerability of banks own credit portfolio can be divided into two groups ? single factor and multifactor. Single factor stress tests or sensitivity analysis consider the impact of change in one of the risk factors on the value of the loan portfolio. To ensure the validity of results of the stress testing of credit risk one should take into account the simultaneous change of all risk factors. Multifactor stress tests or scenario analysis are used. Macro stress-testing or aggregate stress testing is usually divided into three types: a sensitivity analysis; scenario analysis; analysis of "contamination effect". Conclusion. Given the analysis of the nature and characteristics of the stress testing of credit risk it can be concluded that the application of stress tests is important to give priority to scenario analysis, which will provide the most correct results due consideration of the entire set of defined risk factors.

Last modified: 2016-10-26 23:07:01