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  • International Monetary Fund
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    Abstract

    This technical note focuses on the stress testing exercise in 2010 for the financial sector assessment program based on the existing approaches of the Central Bank of Russia, as well as a separate bottom-up exercise. The tests covered broad ranges of risk factors. The single factor tests examined instantaneous impact of credit, concentration, market, liquidity, and interbank contagion risks. The results of the stress tests suggested that the Russian banking system is, on the whole, resilient to a variety of macroeconomic and financial shocks.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=25385
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Staff Country Reports with number 11/334.

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    Length: 44
    Date of creation: 29 Nov 2011
    Date of revision:
    Handle: RePEc:imf:imfscr:11/334

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    Postal: International Monetary Fund, Washington, DC USA
    Phone: (202) 623-7000
    Fax: (202) 623-4661
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    Web page: http://www.imf.org/external/pubind.htm
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    Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

    Related research

    Keywords: Bank supervision; Banking sector; Credit risk; Financial soundness indicators; Risk management; capital adequacy; banking; capital ratio; foreign exchange; capital adequacy ratio; banking system; interbank market; recapitalization; liquid asset; capital position; regulatory forbearance; capital requirement; capital base; bank ? defaults; deposit insurance; bank assets; corporate loans; return on equity; moral hazard; equity prices; bank profitability; capital losses; shock absorbers; excess liquidity; consumer price index; bank balance sheet; probability of default; capital markets; capital market; loan classification; weak capital; credit risk management; minimum capital requirement; banking authority; bank capital; liquidity ratio; capital market funding; discount rates; return on assets; corporate bonds; net interest margin; bank data; bankers; bank recapitalization; bank liquidity; private capital; deposit insurance coverage; government bonds; bank groups; bank group; bank deposits; bank failures; bank portfolio;

    This paper has been announced in the following NEP Reports:

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