Perimeter of supervisory stress testing

The article is devoted to determining the composition of criteria for forming the perimeter of supervisory stress testing, i.e. such objective criteria that will allow selecting the largest banks (banking groups) that have the greatest impact on the banking sector during supervisory stress testing, as well as considering the feasibility of conducting stress testing at the solo level or switching to conducting stress testing on a consolidated basis for banking groups. The analysis of international and Russian regulatory documents allowed us to suggest using the size of the bank’s assets (the parent organization of the banking group) as the final quantitative criterion for determining the perimeter of supervisory stress testing measures. It is this quantitative criterion that will allow the inclusion of large banks (banking groups) that bear most of the risks to the banking sector in the perimeter of supervisory stress testing, the Russian regulator, using this criterion, will be able to develop individual risk assessment models for each bank (banking group) and effectively interact with each of them, and the perimeter of supervisory stress testing will be synchronized with the list of banks performing scenario analysis within the framework of internal capital adequacy assessment procedures. In addition, the article concludes that it is advisable to conduct supervisory stress testing at the level of the banking group, but this will require the development of a methodology and tools for supervisory stress testing that allow taking into account foreign banks and organizations that are not banks in the perimeter of the banking group, as well as taking into account the risk of forced support.