Importance Credit risk regulation implies the availability of a model of prudential regulation, which is an element of the system of prudential regulation that provides economic and statistical substantiation of decisions made by the regulator at different stages of economic cycle. Objectives The study aims to develop an indicator of financial stability for Russian banks as a barometer of credit risk to be used in the regulatory process to monitor credit risk and develop reasonable tactics and strategy of prudential regulation. Methods The model is the synthesis of processes that cover data collection and processing, interpretation of adopted accounting standards on risk, statistical analysis of data, analysis of credit risk components. Results I developed a concept of credit risk barometer while using the elements of the portfolio theory of credit risk, disclosing the default concept at the macro level, analyzing the behavior of model estimates for groups of banks. The study reveals profiles of credit risk for groups of defaulted, non-defaulted, and systemically important banks. It shows stationary (equilibrium) points of financial standing of the Russian banking system that correspond to realistic economic indicators. Conclusions and Relevance When developing the conception of credit risk barometer, I identified an additional element of macroprudential regulation, which is used in system credit risk monitoring, in developing the strategy and tactics of prudential regulation of credit risk in banks.
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