financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federationfinance-327Research ArticleФИНАНСЫ, ДЕНЕЖНОЕ ОБРАЩЕНИЕ И КРЕДИТFINANCES, MONETARY ADDRESS AND CREDITАНАЛИЗ И УЧЕТ СИСТЕМНОГО РИСКА НА РОССИЙСКОМ КРЕДИТНОМ РЫНКЕMETHODOLOGY OF SYSTEMIC RISK MANAGEMENT ADJUSTED FOR THE RUSSIAN CREDIT MARKET ENVIRONMENTПетроваЮ. И.PetrovaJ. I.upetrova@fa.ruРассказовВ. Е.RasskazovV. E.rasskazov.vladislav@gmail.comСалинВ. Н.SalinV. N.vsalin@fa.ruСеврукВ. Т.SevrukV. T.vtsevruk@fa.ruФинансовый университетРоссияFinancial UniversityRussian Federation2017101020172116477Copyright © Петрова Ю.И., Рассказов В.Е., Салин В.Н., Севрук В.Т., 20172017Петрова Ю.И., Рассказов В.Е., Салин В.Н., Севрук В.Т.Petrova J.I., Rasskazov V.E., Salin V.N., Sevruk V.T.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/327

В данной статье рассматривается методология управления системными рисками с учетом специфики конъюнктуры российского рынка. Среди характерных для России источников системного риска были выделены: доступ банковского сектора к ликвидности и валютные колебания в краткосрочной перспективе; финансовое заражение, финансовые пузыри и риск суверенного дефолта - в долгосрочной перспективе. Для оценки риска ликвидности использовалось отношение Hui-Heubel, характеризующее объем и глубину рынка, которое показало, что в данный момент на рынке наблюдается временный профицит ликвидности. Валютные риски тестировались с помощью метода исторической симуляции VaR, который подтвердил наблюдаемую тенденцию к стабилизации экономики. В обоих случаях для определения условной и безусловной волатильности использовался метод GARCH. Также в статье описывается методика стресс-тестирования как удобный способ исследования редко реализующихся системных рисков, таких как финансовые пузыри, финансовое заражение и суверенный дефолт. Данная работа может быть полезна для формирования персонализированных стратегий по предупреждению системных рисков как в банковской сфере, так и для любой коммерческой организации, имеющей дело с непредсказуемым финансовым рынком России.

The current study is devoted to the methodology of systemic risk management adjusted for the Russian credit market. Among specific sources of systemic the following risks were emphasized: access of a banking sector to market liquidity and currency fluctuations in the short term; financial contagion, economic bubbles and sovereign default risk in the long term. The Hui-Heubel ratio was applied to assess depth and volume of market liquidity. It was proved that there is a temporary market liquidity surplus. Currency risk was tested with application of VaR, historical simulation method, which supported observed tendency to economic stabilization. In both cases conditional and unconditional volatility were determined with GARCH method. Moreover, a methodology of stress-testing described in the paper presents a convenient solution to investigate effects of uncommon risks, such as financial contagion, economic bubbles and sovereign default risk. The current study could be applied to create personalized strategy of systemic risk prevention for banks or any commercial organization dealing with an unpredictable Russian financial market.

системный рискстратегическое управлениеанализ рыночной ликвидностивалютные колебаниястресс-тестированиеVaRsystemic riskstrategic managementmarket liquidity analysiscurrency fluctuationsVaRstress-testingReferencesAbdourahmane S., Lybek T. Measuring liquidity in financial markets, 2002.Abdourahmane S., Lybek T. Measuring liquidity in financial markets, 2002.Constâncio V. Contagion and the European debt crisis // Financial Stability Review, Banque De France, 2012.Constâncio V. Contagion and the European debt crisis // Financial Stability Review, Banque De France, 2012.European Central Bank. A macro stress testing framework for assessing systemic risks in the banking sector // Occasional Paper series, 2013, No. 152.European Central Bank. A macro stress testing framework for assessing systemic risks in the banking sector. Occasional Paper series, 2013, No. 152.Franklin A., Carletti E. Systemic risk and macro prudential regulation / The Global Macro Economy and Finance. 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The authors declare that there are no conflicts of interest present.