SHS Web Conf.
Volume 65, 2019The 8th International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2 2019)
|Number of page(s)||8|
|Section||Monitoring, Modeling, Forecasting and Preemption of Crisis in Socio-Economic Systems|
|Published online||29 May 2019|
Stress-testing as a method of macroprudential policy and information security in banking sector
Cherkasy State Technological University, Finance Department, 460, Schevchenko Blvd., Cherkasy, 18006, Ukraine
2 Cherkasy State Technological University, Computer Science, Information Security and Records Management Department, 460, Schevchenko Blvd., Cherkasy, 18006, Ukraine
* Corresponding author: email@example.com
The article contains an overview of the essence, history, components, scenarios, methodology and results of stress testing of the Ukrainian banking system. The purpose of this paper is to explore and analyze existing approaches to stress testing as a method of macro-prudential policy of the Central Bank, to determine the results of quantitative risk assessment and financial stability of banks and their readiness to have sufficient capital to cover losses in various macroeconomic scenarios, as well as to develop a model of integrated assessment and rating of banks based on the results of stress testing. In order to summarize the results of the study, a model of integrated assessment was developed and a rating of banks was built based on the analysis of their financial stability, capital adequacy and readiness to withstand the crisis. To solve the problem of qualitative analysis of the stress-testing results in terms of a significant number of indicators and calculations a simulation of the integral indicator is proposed which helps information users group the data, obtain a generalized assessment and form a rating of banks according to the financial stability reserve.
© The Authors, published by EDP Sciences, 2019
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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