STRESS TESTING MODEL OF LIQUIDITY RISK OF BANKS IN UKRAINE

Abstract

The global financial crisis of 2007-2009, which became the deepest and led to colossal losses not seen since the Great Depression, became a trigger for the world, showing how important the role of liquidity risk is in ensuring the stability of the banking system, revealed several shortcomings in its regulation, such as at the level of individual banks, as well as at the level of banking regulation and supervision. It is necessary to develop new and improve existing tools to protect the banking system from the negative impact of liquidity risk. One of these tools for identifying crisis phenomena was stress testing of banks, which was proposed by the Basel Committee on Banking Supervision. Stress tests make it possible to assess the level of necessary financial reserves for banks under the conditions of the implementation of negative macroeconomic scenarios and help identify weak points of both banks and the banking system in general. Scientists and regulators have paid attention to the stress test of credit risk as the most significant and studied, but today the issue of liquidity crisis due to the realization of liquidity risk, which can lead to rapid bank failure, is acute. The bank's liquidity risk is the inability to liquidate its own assets due to their illiquidity in the market when their quick realization is necessary. The purpose of the article is to study the methodology of the liquidity stress testing of the banking system to determine the stability of the banking system of Ukraine to crisis phenomena inherent in the financial and economic ecosystem. The article examines the theoretical aspects of liquidity risk stress testing based on the analysis of research by foreign scientists and the recommendations of the Basel Committee on Banking Supervision. The methodology of liquidity risk stress testing at Ukrainian banks using the LCR method was also tested, and the results of stress scenarios were presented. Stress-testing of liquidity risk has not yet been sufficiently researched in Ukraine, therefore the adaptation of models of foreign scientists and central banks is a promising direction in solving the key problems of analyzing the financial stability of banking institutions.