Belianko L. Stress-testing of credit risk of banks

The theoretical model of stress-testing of credit risk with the definition of its necessity, essence, features, purpose, principles and tasks is formed. The classification of stress-testing tools for credit risk has been improved by distinguishing such features as the level of conduct and the extent of coverage of factors of influence, which will further develop the theoretical foundations and formulate practical recommendations for stress-testing of credit risk of banks. The methodology for analyzing credit risk of banks by constructing a matrix of influence of external factors on its level, which defines zones of insignificant, medium and high degree of influence of variable parameters, which allows to predict the change in the level of credit risk due to the volatility of macroeconomic and monetary factors, has been improved. The stages of development of the practice of stress-testing in banks are singled out. The sequence of conducting stress-testing of credit risk of banks is determined. The methodical principles of assessing the impact of macroeconomic factors on credit risk of banks on the basis of constructing economic and mathematical models, which will allow the most significant indicators of long-term influence to be identified and taken into account in the process of making managerial decisions, have been improved. Improved informational and methodological support for stress-testing of credit risk, in particular, it is recommended to introduce a new note to the annual financial statements «Stress-testing of credit risk», as well as new forms of statistical and managerial reporting based on its results. The methodical recommendations concerning the order of conducting stress-testing of credit risk in banks are offered, which will promote improvement of the quality of its organization and monitoring.