Home  Journals  Financial Analytics: Science and Experience  3(345) - 2018 July-September

An assessment of the largest Russian banks' impact on the growth of systemic risk of banking sector liquidity

Vol. 11, Iss. 3, SEPTEMBER 2018

Article PDF Version

Received: 12 January 2018

Received in revised form: 22 February 2018

Accepted: 1 March 2018

Available online: 29 August 2018

Subject Heading: MONITORING AND PREDICTION OF BANKING RISK

JEL Classification: Е69, F30, G17, G21, G32

Pages: 326–341

https://doi.org/10.24891/fa.11.3.326

Importance This paper considers the concepts, stages and tools of macro-prudential regulation. As well, it assesses the contribution of the Top 10 Russian banks to systemic risk of liquidity.
Objectives The purpose of the paper is to develop an aggregate index of the largest banks' contribution to systemic liquidity risk.
Methods The research involves the methods of econometric and logical analyses.
Results I constructed an aggregate weighted index of the contribution of the Top 10 Russian banks to systemic risk of domestic banking sector liquidity. The work reveals the statistical significance of system importance factors for each bank.
Conclusions The developed index advances the RF industrial production and nominal GDP indicators. The increase of the largest banks' contribution to the systemic liquidity risk reduces the economic growth and industrial production rates.

Keywords: systemic risk, macro-prudential regulation, banking sector, systemically significant bank, system importance criterion

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