Comparative analysis of stress testing methods of equity capital

The article provides a comparative description of basic stress testing techniques. A regression econometric model has been built for assessing bank risks, based on taking into account factors specific to the domestic economy (in particular, the price of Brent oil, the ruble exchange rate, consumer price index). In the course of applying this model for stress testing the equity capital of a particular credit institution (UniCredit Bank), using three methods chosen by the authors, problematic issues of their application were identified and directions of work were proposed to improve the methodology of stress tests.