title: Ð¡ÑÑÐµÑÑ-ÑÐµÑÑÐ¸ÑÐ¾Ð²Ð°Ð½Ð¸Ðµ ÐºÐ°Ð¿Ð¸ÑÐ°Ð»Ð° ÑÐ¾ÑÑÐ¸Ð¹ÑÐºÐ¸Ñ ÑÐ¸ÑÑÐµÐ¼Ð½Ð¾ Ð·Ð½Ð°ÑÐ¸Ð¼ÑÑ Ð±Ð°Ð½ÐºÐ¾Ð² (Ð½Ð° Ð¿ÑÐ¸Ð¼ÐµÑÐµ ÐÐÐ "Ð¡Ð±ÐµÑÐ±Ð°Ð½Ðº", ÐÐÐ "ÐÐ¢Ð", ÐÐ "ÐÐÐ")
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð±Ð°ÐºÐ°Ð»Ð°Ð²ÑÐ°
titleType: Subtitle
title: Stress-testing of capital of the russian systemically important banks (on th example of PJSC Â«SberbankÂ», PJSC Â«VTBÂ», JSC Â«GPBÂ»)
Creators: name: ÐÐµÑÐµÐ½Ð´ÐµÐµÐ²Ð°, ÐÐ»ÐµÐ½Ð°
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2019
Subjects: ÑÑÑÐµÑÑ-ÑÐµÑÑÐ¸ÑÐ¾Ð²Ð°Ð½Ð¸Ðµ
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Ð¿ÑÐ¾Ð³Ð½Ð¾Ð· Ð´Ð¾ÑÑÐ°ÑÐ¾ÑÐ½Ð¾ÑÑÐ¸ ÐºÐ°Ð¿Ð¸ÑÐ°Ð»Ð°
stress testing
capital
systemically important banks
capital adequacy
microeconomic factors
macroeconomic factors
correlation matrix
correlation and regression analysis forecast of capital adequacy

description: ÐÐ±ÑÐµÐºÑÐ¾Ð¼ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑÐ²Ð»ÑÑÑÑÑ ÐÐÐ Â«Ð¡Ð±ÐµÑÐ±Ð°Ð½Ðº, Â«ÐÐ¢ÐÂ» (ÐÐÐ), ÐÐ Â«ÐÐÐÂ». Ð¦ÐµÐ»Ñ Ð²ÑÐ¿ÑÑÐºÐ½Ð¾Ð¹ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð¾Ð¹ ÑÐ°Ð±Ð¾ÑÑ Ð½Ð°Ð¿ÑÐ°Ð²Ð»ÐµÐ½Ð° Ð½Ð° Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ðµ ÑÐ°ÐºÑÐ¾ÑÐ¾Ð², Ð²Ð»Ð¸ÑÑÑÐ¸Ñ Ð½Ð° Ð½Ð¾ÑÐ¼Ð°ÑÐ¸Ð² Ð´Ð¾ÑÑÐ°ÑÐ¾ÑÐ½Ð¾ÑÑÐ¸ ÐºÐ°Ð¿Ð¸ÑÐ°Ð»Ð° ÑÐ¸ÑÑÐµÐ¼Ð½Ð¾ Ð·Ð½Ð°ÑÐ¸Ð¼ÑÑ Ð±Ð°Ð½ÐºÐ¾Ð². Ð ÑÐµÐ»ÑÑ Ð¾Ð±Ð¾ÑÐ½Ð¾Ð²Ð°Ð½Ð¸Ñ Ð°ÐºÑÑÐ°Ð»ÑÐ½Ð¾ÑÑÐ¸ ÑÐµÐ°Ð»Ð¸Ð·Ð°ÑÐ¸Ð¸ Ð¼ÐµÑÐ°Ð½Ð¸Ð·Ð¼Ð° ÑÑÑÐµÑÑ ÑÐµÑÑÐ¸ÑÐ¾Ð²Ð°Ð½Ð¸Ñ Ð¿ÑÐ¾Ð´ÐµÐ¼Ð¾Ð½ÑÑÑÐ¸ÑÐ¾Ð²Ð°Ð½Ð° Ð·Ð°Ð²Ð¸ÑÐ¸Ð¼Ð¾ÑÑÑ Ð´Ð¾ÑÑÐ°ÑÐ¾ÑÐ½Ð¾ÑÑÐ¸ ÐºÐ°Ð¿Ð¸ÑÐ°Ð»Ð° ÑÐ¾ÑÑÐ¸Ð¹ÑÐºÐ¸Ñ ÑÐ¸ÑÑÐµÐ¼Ð½Ð¾ Ð·Ð½Ð°ÑÐ¸Ð¼ÑÑ Ð±Ð°Ð½ÐºÐ¾Ð² Ð¾Ñ Ð¸Ð·Ð¼ÐµÐ½ÐµÐ½Ð¸Ñ Ð¼Ð¸ÐºÑÐ¾- Ð¸ Ð¼Ð°ÐºÑÐ¾ÑÐºÐ¾Ð½Ð¾Ð¼Ð¸ÑÐµÑÐºÐ¸Ñ ÑÐ°ÐºÑÐ¾ÑÐ¾Ð². ÐÑÐµÐ½ÐµÐ½Ð¾ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²Ð¾Ðµ ÑÐ¾ÑÑÐ¾ÑÐ½Ð¸Ðµ Ð¸ Ð´Ð¸Ð½Ð°Ð¼Ð¸ÐºÐ° Ð½Ð¾ÑÐ¼Ð°ÑÐ¸Ð²Ð° Ð´Ð¾ÑÑÐ°ÑÐ¾ÑÐ½Ð¾ÑÑÐ¸ ÐºÐ°Ð¿Ð¸ÑÐ°Ð»Ð° ÑÐ¸ÑÑÐµÐ¼Ð½Ð¾ Ð·Ð½Ð°ÑÐ¸Ð¼ÑÑ Ð±Ð°Ð½ÐºÐ¾Ð² ÐÐÐ Â«Ð¡Ð±ÐµÑÐ±Ð°Ð½ÐºÂ», ÐÐÐÂ«ÐÐ¢ÐÂ» Ð¸ ÐÐ Â«ÐÐÐÂ».
ÐÑÑÐ²Ð»ÐµÐ½Ñ ÑÑÑÐµÑÑÐ²ÐµÐ½Ð½Ð¾ Ð·Ð½Ð°ÑÐ¸Ð¼ÑÐµ Ð¼Ð¸ÐºÑÐ¾- Ð¸ Ð¼Ð°ÐºÑÐ¾ÑÐºÐ¾Ð½Ð¾Ð¼Ð¸ÑÐµÑÐºÐ¸Ðµ Ð¿Ð¾ÐºÐ°Ð·Ð°ÑÐµÐ»Ð¸, Ð²Ð»Ð¸ÑÑÑÐ¸Ðµ Ð½Ð° Ð½Ð¾ÑÐ¼Ð°ÑÐ¸Ð² Ð´Ð¾ÑÑÐ°ÑÐ¾ÑÐ½Ð¾ÑÑÐ¸ ÐºÐ°Ð¿Ð¸ÑÐ°Ð»Ð°. ÐÐ¾ÑÑÑÐ¾ÐµÐ½ Ð¿ÑÐ¾Ð³Ð½Ð¾Ð· Ð´Ð¾ÑÑÐ°ÑÐ¾ÑÐ½Ð¾ÑÑÐ¸ ÐºÐ°Ð¿Ð¸ÑÐ°Ð»Ð° Ð¿ÑÐ¸ Ð¸Ð·Ð¼ÐµÐ½ÐµÐ½Ð¸Ð¸ ÑÐ°ÐºÑÐ¾ÑÐ¾Ð² Ð¿Ð¾ ÑÐ°Ð·Ð»Ð¸ÑÐ½ÑÐ¼ ÑÑÐµÐ½Ð°ÑÐ¸ÑÐ¼.
description: Objects of the study are PJSC Â«SberbankÂ», Â«VTBÂ» (PJSC), JSCÂ«GPBÂ».
Studying the factors affecting the capital adequacy ratio of systemically important banks is the main purpose of the final qualifying work. In order to substantiate the relevance of the stress-testing mechanism, the correlation between capital adequacy of Russian systemically important banks and changes in micro - and macroeconomic factors is demonstrated. The financial condition and dynamics of the capital adequacy ratio of systemically important banks of PJSC Â«SberbankÂ», Â«VTBÂ» (PJSC) and JSC Â«GPBÂ» are estimated.
Significant micro - and macroeconomic indicators affecting the capital adequacy ratio are identified. The forecast of capital adequacy in condition of changing factors under different scenarios is constructed.