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Macroprudential stress testing

Macroprudential stress testing is a key analytical tool to assess systemic risks. The analysis of systemic risks goes beyond the scope of the assessment of individual financial institutions’ risks and makes it possible to estimate systemic effects at the macroeconomic level. Stress testing findings can be helpful in calibrating the countercyclical buffer for capital adequacy ratios and other macroprudential instruments of the Bank of Russia, including risk-weight add-ons and macroprudential limits.

Beginning from 2003, the Bank of Russia carries out supervisory stress tests of the banking sector and publishes their results in the Banking Supervision Report on an annual basis since 2004.1 Stress testing is carried out based on scenario analysis using macro modelling approaches. The Bank of Russia also assesses sensitivity, including to liquidity risk and the risk of exposure concentration to particular industries.

In 2017, the Financial Stability Department of the Bank of Russia published its macroprudential stress testing concept for public consultations. In December 2020, the Bank of Russia released the analytical note ‘Analysis of systemic risks in macroprudential stress testing’ that addresses current trends in the development of macroprudential stress testing models in Russia and globally, analyses approaches to assessing risks in markets with a central counterparty and contagion effects, and describes models for assessing the effects of the mutual influence of the real and financial sectors.

The macroprudential part of stress testing extends the conventional supervisory stress testing of financial institutions, provides an understanding of macroeconomic consequences of stress, and helps develop adequate response measures. Macroprudential stress testing is carried out top-down using available reporting from financial institutions and the findings of supervisory stress testing. In April 2017, the Bank of Russia created the Interdepartmental Working Group on Stress Testing which reviews and approves the elements of the method stage by stage.

1 The latest report was published on 12 November 2019.

Department responsible for publication: Financial Stability Department
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Last updated on: 18.05.2022