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Stress Test of the Russian Banking System: The Case of an Increase in Overdue Debt
[Стресс-Тест Российской Банковской Системы: Случай Роста Просроченной Задолженности]

Author

Listed:
  • Andrey V. Zubarev

    (Russian Presidential Academy of National Economy and Public Administration)

  • Kirill D. Shilov

    (Russian Presidential Academy of National Economy and Public Administration)

Abstract

The study presents the results of a stress test of the Russian banking system. The main assumption of this test is an increase in the risk of overdue debts for various categories of loans. The assumptions for the stress test are formulated based on changes in the balance sheets of Russian banks during previous crises, as well as based on a rather rigid, but still relatively realistic scenario for the development of the situation on the corporate and retail lending market in the current economic conditions. The results of the stress test demonstrate that the balance sheet capital of 36 banks may fall below zero, and the capital of another 43 banks may fall below the acceptable level. To recapitalise all those banks that are not undergoing the financial recovery procedure, additional capitalisation in the amount of 3.2 trillion rubles may be needed. The article was written on the basis of the RANEPA state assignment research programme.

Suggested Citation

  • Andrey V. Zubarev & Kirill D. Shilov, 2022. "Stress Test of the Russian Banking System: The Case of an Increase in Overdue Debt [Стресс-Тест Российской Банковской Системы: Случай Роста Просроченной Задолженности]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 12, pages 52-62, December.
    • Handle: RePEc:gai:recdev:r22106
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    References listed on IDEAS

    as
    1. Berger, Allen N. & Bouwman, Christa H.S., 2013. "How does capital affect bank performance during financial crises?," Journal of Financial Economics, Elsevier, vol. 109(1), pages 146-176.
    2. Anginer, Deniz & Demirguc-Kunt, Asli & Huizinga, Harry & Ma, Kebin, 2013. "How does corporate governance affect bank capitalization strategies ?," Policy Research Working Paper Series 6636, The World Bank.
    3. Sergey A. Zubov, 2022. "Corporate Lending in January-May 2022 [Корпоративное Кредитование В Январе-Мае 2022 Г]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 8, pages 46-49, August.
    4. Sergey A. Zubov, 2022. "Corporate Lending in January-August 2022 [Корпоративное Кредитование В Январе-Августе 2022 Г]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 12, pages 49-51, December.
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    More about this item

    Keywords

    Russian banking system; Bank of Russia; sanctions; stress test;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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