Author(s): Mikhail N. Kulapov, Oksana Yu. Kirillova, Ellina S. Emelyanova
The present paper examines the international and Russian experience in conducting supervisory stress testing and using the results obtained to increase the resilience of the banking sector and individual banks to possible shocks, as well as increase the transparency of banks and market confidence. The analysis aimed to develop recommendations on using the results of stress testing in the Bank of Russia's supervisory activities in relation to the banking sector. To achieve this goal, it was necessary to analyze the best practices of regulators in jurisdictions with a developed supervisory stress testing system, as well as the existing Russian regulatory framework and the current practice of using stress testing as a supervisory tool for non-state pension funds. The paper also discusses the possibility of establishing an additional capital markup, defined as the difference between the required capital and the regulatory minimum, taking into account Basel III markups, in the Russian jurisdiction based on the results of supervisory stress testing. In addition, to determine the future prospects for the development of supervisory stress testing, advantages and disadvantages of public disclosure of the results of supervisory stress testing are considered, as well as their impact on excess returns on bank shares within the perimeter of supervisory stress testing. In conclusion, possible directions for further phased development of supervisory stress testing of the Russian banking sector are formulated.