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Stress-testing Russian Banking System: Will Banks Need Government Assistance Again?

Author

Listed:
  • O. SOLNTSEV
  • A. PESTOVA
  • M. MAMONOV.

Abstract

The article analyzes factors that affect growth of the share of non-performing loans in the loan portfolio of Russian banks and proposes approaches for this share forecasting on the basis of dynamics of macroeconomic indicators. It also deals with methodological issues of remote stress-test of lending agencies. Using the results of conducted stress-test of Russian banks the authors assess their perspective capital needs in 2010 and estimate the share of government assistance in capital injections. Furthermore, the authors define the scale of vulnerable banks groups in the Russian banking sector.

Suggested Citation

  • O. Solntsev & A. Pestova & M. Mamonov., 2010. "Stress-testing Russian Banking System: Will Banks Need Government Assistance Again?," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 4.
  • Handle: RePEc:nos:voprec:2010-04-4
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    Cited by:

    1. Mikhail Mamonov, 2013. "Bad management, skimping, or both? The relationship between cost efficiency and loan quality in Russian banks," HSE Working papers WP BRP 19/FE/2013, National Research University Higher School of Economics.
    2. Mamonov, Mikhail, 2012. "The impact of market power of Russian banks on their credit risk tolerance: A panel study," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 28(4), pages 85-112.

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