METHODS OF STRESS-TESTS SCENARIOS CONSTRUCTION AND FINANCIAL PARAMETERS EVALUATION
Journal Title: The Institute of Accounting, Control, and Analysis in the Globalization Circumstances - Year 2016, Vol 4, Issue 4
Abstract
Introduction. The importance of improving risk assessment tools at the macro and micro level increases a lot in the conditions of financial markets instability. Stress tests are an effective tool for estimation of financial stability of bank institutions, which require assessing the financial reserves of banks in terms of negative global economic scenario and identifying "weaknesses" of financial institutions and the economy as a whole. Methods. An overview of methods of stress testing of institutions for financial sector in Europe and the world. Results. We should choose a set of "shock" consistent values of macroeconomic indicators and assess financial ratiosin resulting stress scenario for the conducting of stress test. The structure of the stress test was reviewed in this article, and the basic methods for creating "shock" scenarios and estimation of financial ratios as a result of the stress test was studied. Structural econometric models, vector autoregressive methods and statistical approaches were highlighted among these methods. Finally, the main methods and approaches to credit risk assessing are presented. You can highlight the models based on the logistic function and factor-models among them. Discussion. The additional economic relations between global financial markets should be included into macroeconomic models to improve the reliability of the results of the stress test. Stress testing is not widespread in Ukraine, thus adaptation of known models to local realities is a future problem.
Authors and Affiliations
Yevheniia Linder
Keywords
Related Articles
- EP ID EP185815
- DOI -
- Views 132
- Downloads 0
INFORMATION SUPPORT OF ANALYTICAL ACTIVITY IN THE COMPANY MANAGEMENT
In modern conditions of the activity of business entities, the management process requires integrated solutions using new approaches to management. For the development of the enterprise in a constantly changing economic...
ACCOUNTING LOGISTICS COSTS LIABILITY FOR TANKS
Introduction. The formation of an effective management system at the enterprise is directly related to the organization of logistics activities, which should take into account the development tendencies of the market env...
RESEARCH ON ACTUALITY OF UP-TO-DATE ACCOUNTING PARADIGM
Introduction. Society and business can’t exist without accounting system, which contains the information about financial and business activities at the microeconomic level and transforms it into useful knowledge in enter...
ECONOMIC ACCOUNTING MODEL OF VALUE ADDED
Introduction. From the point of view of the new institutional theory, the company is a broader concept than economic entity earns income for owners: it is viewed as a social and economic institution whose primary purpose...
INTERNAL CONTROL IN MANAGEMENT INFORMATION SYSTEM OF BUILDING COMPANY
Introduction. The process of reforming Ukraine's economy, did not go round building industry, that influenced considerably on the change of the system of the informative providing top-managers of building companies. A ne...