BUSINESS INFORM №11-2013

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Section: Economic and Mathematical Modeling
UDC 330.338: 519
Lukianenko I. G.
Methods of Stress Testing of Financial Stability of Ukrainian Enterprises (p. 57 - 64)
The goal of the article lies in adaptation of the procedure of stress testing for assessment of financial stability of enterprises and development of adequate economic and mathematical instruments for its conduct. It was revealed during the study that the proposed approach allows not only obtaining a forecast assessment of financial stability in future periods of enterprise activity but also all-sided study and quantitative assessment of its reaction on action of internal and external stresses in short-term and long-term prospects. This article proves that main stages of the conduct of a stress test at the enterprise level are analysis of external environment and identification of potential markets; identification of indicators that meet the detected risks and stresses; development and specification of the economic and mathematical model, that is used for running scenarios, which should be oriented at unfavourable but quite probable events. The conducted studies confirmed prospectiveness of the use of longitudinal data models and vector auto-regression models, including error correction models when conducting stress testing at the level of the branch and an individual enterprise. The obtained results could be used as a basis for further development and improvement of the method of stress testing of financial stability of economic subjects and also for identification of the model of stress testing of individual branches of the Ukrainian economy.
Keywords: financial stability, stress testing, enterprise, risks, stresses, scenarios, error correction models, longitudinal data models
Fig.: 1. Tabl.: 2. Formulae: 2. Bibl.: 19.

Lukianenko Iryna G. – Doctor of Sciences (Economics), Professor, Head of the Department, Department of Finance, National University of Kyiv-Mohyla Academy (2 Skovorody Str., Kyiv, 04655, Ukraine)
Email: [email protected]

Article is written in Ukrainian
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Reference to this article:
Lukianenko, Iryna G. (2013) “Methods of Stress Testing of Financial Stability of Ukrainian Enterprises.” Business Inform 11:57–64.

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