Stress Testing as a Tool of Bank Risk Management

• Main Author: Antonyuk Oksana I.
• Format: Article
• Language: English
• Published: Research Centre of Industrial Problems of Development of NAS of Ukraine 2013-12-01
• Series: Bìznes Inform
• Subjects: commercial bank; National Bank of Ukraine; stress testing; banking system of Ukraine; risk assessment; bank risk management; econometric modelling
• Online Access: http://www.business-inform.net/pdf/2013/12_0/353_356.pdf

The goal of the article is development of theoretical, methodological and practical recommendations on the use of stress testing by Ukrainian commercial banks. Stress testing is defined as a part of bank risk management on the basis of scientific studies of domestic and foreign scientists. The article marks the essence of the bank stress testing and identifies its role in the structure of banks’ risk management in Ukraine. It considers goals of conducting stress testing in banking institutions. It identifies main aspects and specific features of conducting stress testing of bank risks. It characterises main advantages and shortcomings of use of stress testing in the modern bank risk management. It generalises the world and European approaches to the methods of conducting stress testing in commercial banks in comparison with the Ukrainian methodical recommendations. It shows that results of stress testing have practical value, since they help to preliminary assess influence of potentially negative events upon the state of the loan portfolio of the bank and make relevant managerial decisions.