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Russian Federation; Technical Note on Stress Testing of the Banking Sector

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  • International Monetary Fund

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.

Suggested Citation

  • International Monetary Fund, 2011. "Russian Federation; Technical Note on Stress Testing of the Banking Sector," IMF Staff Country Reports 11/334, International Monetary Fund.
  • Handle: RePEc:imf:imfscr:11/334
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    Keywords

    Russian Federation; capital adequacy; banking; capital ratio; banking sector; foreign exchange;

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