Abstract:

This paper solves the problem of identifying the nature of relationships between different types of systemic financial risks, determining the channels of these relationships and assessing their impact on the scale of losses of the banking sector. For this purpose, a quantitative assessment of the relationships between system financial risks is performed using graph analysis and a panel system of simultaneous equations. Then, a trial version of the Russian banking sector stress test is performed, taking into account the interaction between shocks from various systemic financial risks at the micro and macro levels. The results of the stress test demonstrate that the main losses of capital because of the influence of "contagion effects" will be due to the realization of credit risks of groups of related corporate borrowers, as well as due to the closure of access to the interbank market for groups of similar and related credit organizations.