A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine
This study presents an updated risk map of the Ukrainian financial sector – an analytical tool for identifying and monitoring the buildup and materialization of systemic risks. The risk map methodology that the National Bank of Ukraine used until 2021 has been revised to ensure that risk assessment...
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| Format: | Article |
| Language: | English |
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National Bank of Ukraine
2022-06-01
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| Series: | Visnyk of the National Bank of Ukraine |
| Subjects: | |
| Online Access: | https://journal.bank.gov.ua/en/article/2022/253/02 |
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| author | Adam Geršl Pervin Dadashova Yuliya Bazhenova Vladyslav Filatov Anatolii Hlazunov Roman Soltysiak |
| author_facet | Adam Geršl Pervin Dadashova Yuliya Bazhenova Vladyslav Filatov Anatolii Hlazunov Roman Soltysiak |
| author_sort | Adam Geršl |
| collection | DOAJ |
| description | This study presents an updated risk map of the Ukrainian financial sector – an analytical tool for identifying and monitoring the buildup and materialization of systemic risks. The risk map methodology that the National Bank of Ukraine used until 2021 has been revised to ensure that risk assessment is based on reliable quantitative indicators rather than expert judgements, as well as to extend the list of risks considered. The instrument allows the stability of the financial system to be assessed across key risks, such as macroeconomic risk, the credit risks of households and non-financial corporations, capital adequacy risk, profitability risk, liquidity risk, and foreign exchange risk. We introduce indicators that capture a wide range of economic and financial vulnerabilities and group them by risks. Each risk category contains from four to seven indicators that combine both actual data and expectations. Statistical checks show that the indicators clearly signal previous crisis episodes, as well as the buildup of vulnerabilities during the research period. We find that macroeconomic risk and foreign exchange risk have the best explanatory and predictive power, while the weaker performance of other risks could result from structural changes in the banking sector over the past decades that have affected the overall risk profile of the financial sector. |
| format | Article |
| id | doaj-art-99f50152394540f3adb65e5749fc8445 |
| institution | Kabale University |
| issn | 2414-987X |
| language | English |
| publishDate | 2022-06-01 |
| publisher | National Bank of Ukraine |
| record_format | Article |
| series | Visnyk of the National Bank of Ukraine |
| spelling | doaj-art-99f50152394540f3adb65e5749fc84452025-01-27T10:18:53ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2022-06-01253274610.26531/vnbu2022.253.02A Heatmap for Monitoring Systemic Financial Stability Risks in UkraineAdam Geršl0https://orcid.org/0000-0002-0370-4148Pervin Dadashova1https://orcid.org/0000-0002-5891-2120Yuliya Bazhenova2Vladyslav Filatov3Anatolii Hlazunov4https://orcid.org/0000-0002-0364-6179Roman Soltysiak5Charles UniversityNational Bank of Ukraine, National University of Kyiv-Mohyla AcademyNational Bank of UkraineNational University of Kyiv-Mohyla AcademyNational Bank of Ukraine, National University of Kyiv-Mohyla AcademyNational Bank of UkraineThis study presents an updated risk map of the Ukrainian financial sector – an analytical tool for identifying and monitoring the buildup and materialization of systemic risks. The risk map methodology that the National Bank of Ukraine used until 2021 has been revised to ensure that risk assessment is based on reliable quantitative indicators rather than expert judgements, as well as to extend the list of risks considered. The instrument allows the stability of the financial system to be assessed across key risks, such as macroeconomic risk, the credit risks of households and non-financial corporations, capital adequacy risk, profitability risk, liquidity risk, and foreign exchange risk. We introduce indicators that capture a wide range of economic and financial vulnerabilities and group them by risks. Each risk category contains from four to seven indicators that combine both actual data and expectations. Statistical checks show that the indicators clearly signal previous crisis episodes, as well as the buildup of vulnerabilities during the research period. We find that macroeconomic risk and foreign exchange risk have the best explanatory and predictive power, while the weaker performance of other risks could result from structural changes in the banking sector over the past decades that have affected the overall risk profile of the financial sector.https://journal.bank.gov.ua/en/article/2022/253/02macroprudential policyfinancial stabilitysystemic riskrisk map |
| spellingShingle | Adam Geršl Pervin Dadashova Yuliya Bazhenova Vladyslav Filatov Anatolii Hlazunov Roman Soltysiak A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine Visnyk of the National Bank of Ukraine macroprudential policy financial stability systemic risk risk map |
| title | A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine |
| title_full | A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine |
| title_fullStr | A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine |
| title_full_unstemmed | A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine |
| title_short | A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine |
| title_sort | heatmap for monitoring systemic financial stability risks in ukraine |
| topic | macroprudential policy financial stability systemic risk risk map |
| url | https://journal.bank.gov.ua/en/article/2022/253/02 |
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