Ye. Linder, ORCID iD 0000-0001-5343-5954, PHD Student Kyiv National Economic University named after Vadym Hetman, Kyiv, Ukraine MACROECONOMIC SCENARIOS BUILDING AND BANK CREDIT RISK ASSESSMENT, BY THE EXAMPLE OF PSC “PROMINVESTBANK”

Based on foreign research, the article developed a methodology for stress testing of the bank and carried out its approbation in Prominvestbank. Dependence of the level of non-payments on macroeconomic indicators is determined by the logistic function, the parameters of which are determined based on the maximum likelihood method on historical data. The macroeconomic indicators that are most important for constructing a qualitative model for forecasting the level of non-payments are determined. A forecast of the future level of non-payments for a basic and stressful scenario is made. For this purpose, based on ARIMA models 1000 different macroeconomic scenarios that cover each quarter from 2017 to 2019 inclusive were built; 1000 different forecasts of the level of non-payments were received. For each quarter, the median of this set is chosen as the baseline level of non-payments, and 99% quantile is used as an adverse one. The corresponding sets of macroeconomic data are the baseline and adverse scenario. As the next steps for each scenario, the projected level of losses of the bank, the level of its capital, as well as the capital adequacy ratio are determined. Based on the latter, one can draw conclusions about the potential stability of the bank in the event of economic shocks.
The stress testing technique allows, based on autoregressive models such as ARIMA, to generate a baseline and adverse macroeconomic scenarios, as well as analyze the losses, capital and capital adequacy ratio of the bank for each of these scenarios.

Key words: stress test; autoregressive model; macroeconomic scenario; capital adequacy ratio.

Received: 25/09/2017

1st Revision: 03/10/2017

Accepted: 13/11/2017



  1. Ruja, C., 2014. Macro Stress-Testing Credit Risk in Romanian Banking System, Munich Personal RePEc Archive, 23 July 2014, № 58244.
  2. Jobst, A. A. et al., 2013. A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country F.S.A.P.s. International Monetary Fund Working Papers, №. 13/68, March 2013, 53 p.
  3. C. B. (2017) Financial Stability Review, May 2017. European Central Bank, 176 p.
  4. Jones, M. T., P. Hilbers, and G. Slack, 2004. Stress Testing Financial Systems: What to Do When the Governor Calls. International monetary fund, IMF Working Paper No. 127, 38 p. DOI:
  5. Tarasevich, N. V., Litvinenko, A. M., 2014. Stress testing of risks as a tool for bank crisis management. Finances, accounting, banks, 1(20), pp. 255-263.
  6. Andrievskaya I., 2007. Stress testing: methodology overview. Management in a credit institution, 5, pp. 88-96.
  7. Anisimova L., 2015. Stress testing of banking system. Bulletin of the Kiev National Trade and Economic University, 3(1), pp. 90-100.
  8. Pryidun L., 2001. Stress testing of bank credit risk: general characteristics and peculiarities of practical application. Bulletin of TNEU, 2, pp. 67-74.
  9. Manzhos S., 2014. Stress testing of banks: methodology overview. Finance, accounting, banks, 1 (20), pp. 188-195.
  10. Kyshakevish B., 2011. Stress testing of bank’s economic capital based on single-factor models. Scientific bulletin of UNFU. Lviv: UNFU, Issue 21.02, pp. 210-212.
  11. Kyshakevish B., 2011. Stress testing of bank’s economic capital based on multi-factor models. Economic Scope: collection of scientific works, Dnipro: PSACEA, 45, pp. 161-171.
  12. Kyshakevish B., 2011. Economic-mathematical modeling of bank credit risks. Thesis for a Doctor of Economics degree by specialty 08.00.11 – mathematical methods, models and information technologies in economics. National Economic University named after Vadym Hetman, Kyiv.
  13. Instruction on the procedure for regulating the bank activities in Ukraine. Resolution of the Board of the National Bank of Ukraine, 368 of 28.08.2001.
  14. On the size of the regulatory capital of the bank. NBU letter, 47-412/1061-13829 of 14.10.2008.
  15. State Statistics Service of Ukraine. – Available at:
  16. Central Bank of Ukraine, Banking Statistics, Indicators of the banking system. Available at:
  17. Ministry of Finance of Ukraine, Archive of exchange rates. Available at: