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A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine

Author

Listed:
  • Adam Gersl

    (Charles University)

  • Pervin Dadashova

    (National Bank of Ukraine
    National University of Kyiv-Mohyla Academy)

  • Yuliya Bazhenova

    (National Bank of Ukraine)

  • Vladyslav Filatov

    (National University of Kyiv-Mohyla Academy)

  • Anatolii Hlazunov

    (National Bank of Ukraine
    National University of Kyiv-Mohyla Academy)

  • Roman Soltysiak

    (National Bank of Ukraine)

Abstract
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.

Suggested Citation

  • Adam Gersl & Pervin Dadashova & Yuliya Bazhenova & Vladyslav Filatov & Anatolii Hlazunov & Roman Soltysiak, 2022. "A Heatmap for Monitoring Systemic Financial Stability Risks in Ukraine," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 253, pages 27-46.
    • Handle: RePEc:ukb:journl:y:2022:i:253:p:27-46
    DOI: 10.26531/vnbu2022.253.02
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    File URL: https://journal.bank.gov.ua/en/article/2022/253/02
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    More about this item

    Keywords

    macroprudential policy; financial stability; systemic risk; risk map;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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