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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

В работе представлены результаты проведенного стресс-теста российской банковской системы, основной предпосылкой которого является рост риска просроченной задолженности по различным категориям кредитов. Предположения стресс-теста сформулированы на основе изменений балансов российских банков в периоды предыдущих кризисов, а также исходя из достаточно жесткого, но все же относительно реалистичного сценария развития ситуации на рынке корпоративного и розничного кредитования в текущих экономических условиях. Результаты стресс-теста демонстрируют, что балансовый капитал 36 банков может опуститься ниже нуля, а капитал еще 43 банков – ниже допустимого уровня. Для докапитализации всех этих банков, не проходящих процедуру финансового оздоровления, могут понадобиться средства в размере 3,2 трлн руб. Статья подготовлена в рамках выполнения научно-исследовательской работы государственного задания РАНХиГС при Президенте Российской Федерации.

Suggested Citation

  • Andrey V. Zubarev & Kirill D. Shilov, 2022. "Стресс-Тест Российской Банковской Системы: Случай Роста Просроченной Задолженности," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 12, pages 52-62, December.
    • Handle: RePEc:gai:ruserr: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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    российская банковская система; Банк России; санкции; стресс-тест;
    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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