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Assessment of Russian non-financial companies' systemic risk in financial stability monitoring

Vol. 26, Iss. 4, APRIL 2020

Received: 20 January 2020

Received in revised form: 3 February 2020

Accepted: 17 February 2020

Available online: 28 April 2020

Subject Heading: Financial system

JEL Classification: C43, C81, E58, G01, G21

Pages: 724–743

Parfenova M.V. Saint-Petersburg State University (SPbSU), St. Petersburg, Russian Federation

L'vova N.A. Saint-Petersburg State University (SPbSU), St. Petersburg, Russian Federation

Subject. The article addresses the issues of financial stability monitoring as part of macroprudental supervision and regulation. The study concerns non-financial companies as a source of systemic risk for the national financial system. There are a lot of discussions about monitoring of systemically important borrowers under the auspices of the Russian Regulator.
Objectives. Research is aimed at developing a methodology for assessing the systemic risk of Russian non-financial companies.
Methods. We propose a set of indicators to assess the systemic risk derived from non-financial companies in Russia. The sample of indicators corresponds with the leading international practice and available data. The dynamic analysis of the sampled indicators should be conducted. We should focus on separate indicators and for a comprehensive view using a new composite indicator of systemic risk.
Results. We devised a methodology for assessing the systemic risk of Russian non-financial companies. The relevance of the methodology was proved with empirical data. The sample includes 3,766 companies per year. The proposed indicators were proved to reflect an adequate change in the tested period (the year before, during and after financial instability).
Conclusions and Relevance. Our methodology contributes to the current scientific discussion on new directions for assessing the financial stability. The results can be applied to the analytical practice, including the macroprudential supervision and regulation.

Keywords: financial stability, financial stability monitoring, non-financial companies, systemic risk, macroprudential regulation


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