STRESS-TESTING METHODOLOGY FOR THE LIQUIDITY AND FINANCIAL STABILITY OF COMMERCIAL BANKS UNDER MACROECONOMIC SHOCKS

The thesis systematises the modern methodology of stress testing the liquidity and financial  stability of commercial banks under macroeconomic shocks, and proposes directions for its improvement.  Stress testing is treated as an integrated framework that combines macroeconomic scenario design,  translation of shocks into balance-sheet metrics, and aggregation of results into supervisory-level  indicators. Drawing on the works of Borio, Drehmann and Tsatsaronis, Schuermann, Acharya, Berger and Bouwman, Adrian and Shin, Basel Committee documents and the practices of the ECB, Federal Reserve  and IMF, the paper distinguishes four generations of banking stress tests — top-down macroeconomic  scenarios, bottom-up bank-by-bank projections, integrated solvency-liquidity stress tests and  macroprudential system-wide stress tests.