Методологічні та методичні аспекти застосування стрес-тестування у банківській системі України

Abstract

A specific feature of banks activities in the financial services market is a permanent solution to the contradiction, which is to make a profit at a certain, acceptable level of risk. At the same time, a significant variety of different types of risks leads to the fact that it is impossible to reach their zero level. Thus, one of the cornerstones of the bank activities is to minimize the risks of its activities. One such tool, which has become popular and relevant in recent decades, has been stress testing. In Ukraine, under the influence of international credit and financial institutions, and with the change of the National Bank of Ukraine, conceptual and methodological approaches to minimizing the risks of banks, in 2009 the National Bank of Ukraine approved Guidelines on stress testing in Ukrainian banks, in which the purpose of stress testing, and tasks, individual factors that provoke risks, methods and general mechanism of stress testing are determined. On October 1, 2020, the National Bank of Ukraine began to apply a single procedure and methodology of the process of supervisory inspections and assessment of banks SREP (Supervisory Review and Evaluation Process), the gradual transition to which was provided by the Comprehensive Program for Financial Sector Development until 2020. Stress testing of banks using this model should be continuous, carried out simultaneously for all banks by assessing the size of risks and the quality of their management based on information obtained from the NBU, analysis of existing trends in banks and more. Today, both in Ukraine and in the world, the process of improving the mechanism of stress testing continues, as there are no uniform detailed methods and algorithms for stress testing in banks, which would cover the maximum possible risks inherent in the activities of banks, and could be applied both to individual banks or their groups and to the banking system of Ukraine as a whole.