Stress testing as a perspective direction of banking risks regulation in the Republic of Kazakhstan

Abstract

Trends in the development of the modern banking system in the context of the globalization of the financial market and the stagnation of the world economy require consideration in determining the prospects for the development of the credit institution. This article describes the main issues and theoretical aspects of stress testing in banking. The most commonly used method is the scenario analysis. Stress test scenarios containing synchronous changes in a number of risk factors (for example, ordinary share prices, exchange rates, interest rates) reflecting an event that may occur in the future are considered. The models and indicators of stress testing are considered in the course of the research based on the analysis. In particular, a conditional example analyzes the execution of the stress test model based on the factor associated with the growth of the currency exchange rate on the example of the us dollar. Stress testing for stability through the implementation of sensitivity analysis, which calculates the impact of adverse factors that affect commercial banks as much as possible, is carried out on the example of a conditional Bank. It is concluded that stress testing in modern conditions can be one of the perspective instruments of Bank risk management and prevent the emergence of problematic situations in the activities of second – tier banks, regulate the risk operations of banks.