Methods of Stress Testing of Financial Stability of Ukrainian Enterprises

Анотація

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.

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