Credit Risk Stress Testing of Russian Systemically Important Banks

In modern conditions, when the global economy is in a state of uncertainty and instability, stress testing of credit risk is becoming an indispensable tool for assessing the financial condition of banks, which makes the need for it even more urgent. Moreover, disruptions in the economy have the most acute impact on the share of overdue debts, as a result of which the need for a detailed analysis of credit risks increases every year. The practical significance of the research lies in the development of the author's model of stress testing of credit risk, with the help of which it is possible to predict the onset of financial decline. For the best result, the key features of stress tests were first studied, then the focus was on reviewing existing methodologies. The indicator of the share of overdue loans acts as a dependent variable, and H1, H2, ROA, ROE, NIM, INFL, KR, GDP act as regressors. Also, based on the interrelation of indicators, a vector autoregression model was built, and then a forecast for 2024-2025 was carried out, taking into account various scenarios for each systemically important bank of Russia. The results showed that the share of overdue loans by the end of 2025 will in most cases increase, which means that banks should continue to increase their loan-loss provision in order to avoid the negative consequences that can be faced with the onset of one of the scenarios.