Author: Artem R. Kuznetsov and Aleksandr N. Pytkin

Abstract:

The article studies main reasons behind liquidity crisis in banking sector: the raised key rate, influence of sanctions on Russian economy. The authors attempt to consolidate forms and methods of stress-testing of bank’s liquidity. The paper specifies important parameters of a system determining the scenario base for stress-tests. Finally, the authors suggest a functional and effective model for stress-test of a bank’s liquidity and prove practical necessity of the process.

Keywords: liquidity; banking system; interest rates; methods of stress-testing; modelling.