LOAN PORTFOLIO STRUCTURE MODEL AND ITS IMPACT ON THE BANK'S EFFICIENCY

The article examines the theoretical issues of credit policy and efficiency of banking. The concepts of "credit", "loan portfolio", "efficiency", "credit risks" are defined. The dynamics and structure of the bank's loan portfolio in different areas are analyzed: lending entities, types of loans, industries and the degree of risk. The quality of the loan portfolio was assessed, the directions of its increase were outlined and the factors influencing it were indicated. The share of loans to borrowers - legal entities is significant and during the reporting period increased by one third. Loans to individuals occupy an insignificant place in the structure of the loan portfolio and are decreasing. The analysis of the loan portfolio by type of loans showed that the largest share had loans in current activities, which increased during the study period. Mortgages, financial leasing and factoring loans had a small share in the loan portfolio because their long maturity increases credit risks. A fifth of the structure of the loan portfolio is occupied by loans for investment activities. An analysis of the sectoral structure of the loan portfolio revealed that the largest share belonged to loans to fast-growing and highly profitable industries, such as wholesale and retail trade, service industries, fuel and energy complex. During the study period, we see an increase in the share of loans in construction, health care, industry. At the same time, lending to the agricultural and forestry sectors, which have high risks of non-repayment of credit funds in the area of risky agriculture, decreased. The sphere of tourism is almost not credited. The analysis of the bank's loan portfolio showed that the changes and shifts that have taken place in recent years have led to an increase in credit risks. Given this, the need to optimize the structure of the loan portfolio in order to minimize the risks of lending and increase the bank's income is justified. The mathematical model of a credit portfolio structure optimization is offered and its influence on indicators of financial institution activity efficiency defined. It is proposed to form the largest share at the expense of «Business loan». «WEALTH Consumer Credit» and «Benefit New Credit» also account for a significant share. Loans to legal entities for the purchase of vehicles and loans to agricultural producers also have significant shares in the structure of the loan portfolio. It is proved that due to the introduction of the proposed structure of the loan portfolio such indicators of the bank's efficiency as interest margin, net interest margin, profitability of assets and equity will improve.

Comparison of profits of effective portfolios with non-effective portfolios taking into account the fuzzy approach

Purpose: The aim of the article is to compare the results of the constructed effective portfolios and non-effective portfolios build on the basis of the value of the indicator constituting a synthetic assessment of decision variants. Design/methodology/approach: The article uses the multi-criteria TOPSIS method in the standard and fuzzy approach. It was used to evaluate listed companies that were examined in terms of selected fundamental and market characteristics. Taking into account the fuzzy method made it possible to treat the values of criteria from three years as triangular fuzzy numbers, and the values of the measure on the basis of which the ranking was created were also used to build non-effective portfolios. Findings: A multi-criteria evaluation of selected listed companies was performed and, on the basis of the obtained rankings, the sets constituting the basis for the construction of effective and non-effective portfolios were selected. The designated effective portfolios (after pre-selection using the FTOPSIS method) were in most cases more profitable than the market portfolio, while the non-effective portfolios, using TOPSIS as the pre-selection method, were (with one exception) more profitable than the effective portfolios. Research limitations/implications: It was not possible to unequivocally recommend the approach used, although the results appear promising. Practical implications: Taking into account the proposed approach, one can methodically build more profitable and more attractive portfolios. Originality/value: Non-standard approach to criteria assessments and the use of metacriterion values to determine the portfolio structure. The considerations may be of interest to stock market investors.

PORTFOLIO AND BENCHMARK RETURNS OF PRIVATE PENSION FUNDS: A COMPARATIVE ANALYSIS FOR TURKEY

The purpose of this study is to ascertain whether pension fund returns are in line with benchmark returns taking into account the regulatory structure in Turkey. The methodology of the study is the cumulative portfolio returns. Data is retrieved from TEFAS Platform and official web site of Capital Market Board of Turkey. Portfolio and benchmark of pension funds are compared. Only standard pension funds are covered within the scope of voluntary pension funds of Turkey. Findings are as follows; Portfolio returns and benchmark returns are in line significantly. The results are partly attributable to the regulations about pension fund management and portfolio structure. The paper also shows that in the long term, the volatility of returns decreases and returns prove to conform with the primary purpose of the private pension system.

Executive Perspectives

I am closing out my first year with SEG as executive director, and I wanted to share some of the highlights of my journey thus far. In previous issues of TLE, I have shared observations from my first 90 days (see October 2019 President's Page) and a report on the year 2019 (see April 2020 Executive Perspectives). Noteworthy accomplishments over my first year included realigning staff resources with SEG's new portfolio structure; refreshing the SEG strategy; completing the sale of SEG's Tulsa, Oklahoma, real estate; expanding SEG's international presence; convening a successful SEG 2019 Annual Meeting; enhancing operational rigor; and launching new products such as a new partner event, new early-career and membership programs, an open-access journal, and a new platform for the SEG Library.