MACROECONOMIC STRESS TESTING OF BANKS AS A TOOL FOR ENSURING THE SUSTAINABILITY OF THE BANKING SYSTEM

Abstract

The article considers the need for macroeconomic stress testing. An efficient and reliable banking system of any state is the basis for the stability of the financial system as a whole. In the context of globalization of economic relations and internationalization of banks, the domestic banking system accepts challenges in terms of various risks both at the macroeconomic and global levels. At present, the financial turmoil of one country due to international banks and close economic ties resonates in the banking sector of another country. This is especially true of crises in the financial markets of economically developed countries, which have a significant impact on the financial markets of developing countries. Such countries continue to experience deeper economic shocks than the countries that were the source of the crisis. The last financial and economic crisis of 2008-2009 showed the vulnerability of the banking system to macroeconomic shocks. The introduction of mandatory stress testing has become a necessary condition for ensuring the stable functioning of national banking systems. For the National Bank of Ukraine, stress testing is a fairly new practice and therefore needs to be improved. Thus, the problem of finding an effective mechanism that would most accurately determine the impact of changes in macroeconomic indicators on banks' capital and their financial stability is particularly acute, so the issue of organizing stress testing of banks at the macroeconomic level is relevant. The study was conducted using systematic and comparative methods of analysis - to justify approaches to the implementation of stress testing at the macro and micro levels. Calculation-analytical and graphical methods were used in the processing of actual data. The study showed the impact of stressors from the real and financial sectors of the economy on the activities of individual banks and the banking system as a whole. The procedure of stress testing by the National Bank of Ukraine is given and all its stages are described. The paper also investigates the methodology of stress testing by the National Bank of Ukraine. There are two state-owned banks that have shown the worst results in stress testing. The results of stress testing of JSC «State Savings Bank of Ukraine» and the real results of its activities for similar periods are compared. Conclusions are made on the interpretation of stress test results at the macro level. The need for further stress testing to ensure stability in the banking sector has been proven.