Maximova A. Macroeconomic stress-testing of banks in the banking regulative system

In the thesis theoretical and methodical foundations of macroeconomic stress-testing of banks in the banking regulative system are investigated. The structural analysis and systematization of banking macroeconomic stress-testing process are conducted. The main stress-testing goals, its components, techniques of banks risks identification and measurement are reviewed. Based on the analysis of the methods, mechanisms of the implementation and results of the foreign stress testing programs, the basic problems of the modern macroeconomic stress testing programs have been developed. According to the results of the analysis of the national macroeconomic stress testing practices, the recommendations on improvement of the banks' stress testing system in Ukraine have been given. Particularly, the author has developed the multifactor model of a macroeconomic credit risk stress testing, which is appropriate to be used in the banking regulatory practice.