Stress analysis of the bank of Russia

In 2016, the Russian banking system has stabilized, but, according to forecasts, in the near future, the growth of banks' debts is expected. The scientific work carried out is to test the Russian banking system for strength through stress testing. The test is to assess the potential impact on the Bank of Russia of changes in risk factors that correspond to exceptional but probable events. The model of stress testing used in the work is based on the scenario of the "foray of investors", covering the entire banking sector. For the Central Bank this will be expressed in the form of the need to sanitize the banking system in a certain amount in each of the intervals of the stress test interval. Thus, the values of the groups of assets spent will be calculated, which will allow us to calculate the adequacy ratio of the bank's own funds (capital) and the instantaneous liquidity ratio of the bank. To implement the model, the Microsoft Excel development tools were used. The Bank of Russia balance sheet was published as the initial data at the time of the work, as well as the Central Bank's key rate of 10.5 % and the maturity of the banking system equal to one year. In the course of the calculations, the Central Bank's ability to sanitize the banking system in a certain amount within a period determined by the test conditions is considered. The model can be used to assess certain stability parameters of the Bank of Russia and will be useful to a user who does not have access to the insider information of the Central Bank. In the future, it can be improved provided that more detailed data on the balance of the Central Bank will be used.