Models of Estimation and Analysis of a Systemic Risk in the Banking Sector

The paper is devoted to a methodological approach to the forming of a model basis of estimation of a systemic risk in the banking sector, which is based on multivariate analysis methods, panel data and graph theory. The proposed approach includes the following blocks: forecasting the indicators of prudential regulation at the level of the banking system as a whole; estimation of the risk of loss of systemic stability by the banking sector; grouping of banks by level of financial security; estimation of the risk of default of large financial institutions; forming and analysis of scenarios of reactions of indicators of banks financial security to the impact of external “shocks”; network risk assessment. The proposed approach and model basis can be considered as a decision support tool for assessing the stability of the banking sector to the effects of “shocks” and as the tool of forming of a preventive financial stabilization policy.