scholarly journals Stress Testing of the Montenegrin Banking System with Aggregated and Bank-Specific Data

2014 ◽  
Vol 3 (2) ◽  
pp. 85-119
Author(s):  
Sanja Vuković
Keyword(s):  
Stress Testing ◽  
Management Practices ◽  
Banking Sector ◽  
Stress Test ◽  
Banking System ◽  
Capital Adequacy ◽  
Loan Loss ◽  
Aggregated Data ◽  
Loan Loss Provision ◽  
Capital Adequacy Ratio

Abstract There are many different approaches to the process of stress testing and two of them will be investigated in this paper. The first one is a stress test performed on aggregated data i.e. the banking system as a whole. The variable of interest in both exercises is the Loan Loss Provision ratio (hereinafter: the LLP). The main goal of the thesis is to find an answer to the following question: what are the macroeconomic variables that influence LLP the most and how will LLP, as a variable of interest, behave in a situation when all these variables were to experience negative performance at the same time? The resilience of the banking system to such scenario will be tested through the capital adequacy ratio. In order to find out more about the management practices of banks, microlevel data on banks were also used in the analysis. The focus was to see which of the variables are able to explain the LLP ratio for each bank individually and how is this information helpful for possible improvements in the banking sector. The relations between these variables will be able to explain some of the banks’ losses and some of the banks’ practices regarding credit activities. The analysis there will provide for some recommendations for the banks but also for the Central Bank and its way to influence the practices in the banking sector.

scholarly journals MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL

2020 ◽  
Vol 23 (1) ◽  
pp. 121-138
Author(s):  
Shilvia Kurniawati ◽  
Deddy Priatmodjo Koesrindartoto
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Risk Model ◽  
Stress Test ◽  
Banking System ◽  
Capital Allocation ◽  
Capital Adequacy ◽  
Capital Adequacy Ratio ◽  
One Year ◽  
Credit Risk Model

This study implements a macroprudential stress test and develops the EconomicRisk Weighted-Capital Adequacy Ratio (ERW-CAR) to evaluate the resilience of theIndonesian banking sector. The results show that the historical and one-year aheadpredicted ERW-CARs are currently three percent lower than the Indonesia regulatoryCAR, and continue to decrease by nearly two percent following an exchange rate shock.However, the capital adequacy requirement stands above the eight percent thresholdand the banks are still able to optimize their capital allocation.

Stress-testing Russian Banking System: Will Banks Need Government Assistance Again?

2010 ◽  
pp. 61-81 ◽  
Author(s):  
O. Solntsev ◽  
A. Pestova ◽  
M. Mamonov
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Stress Test ◽  
Banking System ◽  
Government Assistance ◽  
Methodological Issues ◽  
Loan Portfolio ◽  
Macroeconomic Indicators ◽  
Remote Stress ◽  
Capital Injections

The article analyzes factors that affect growth of the share of non-performing loans in the loan portfolio of Russian banks and proposes approaches for this share forecasting on the basis of dynamics of macroeconomic indicators. It also deals with methodological issues of remote stress-test of lending agencies. Using the results of conducted stress-test of Russian banks the authors assess their perspective capital needs in 2010 and estimate the share of government assistance in capital injections. Furthermore, the authors define the scale of vulnerable banks groups in the Russian banking sector.

Comparative analysis of Financial performance of HDFC and SBI bank on the basis of Ratio analysis

2021 ◽  
pp. 111-114
Author(s):  
Reetika Verma
Keyword(s):  
Financial Performance ◽  
Banking Sector ◽  
Banking System ◽  
Capital Adequacy ◽  
Ratio Analysis ◽  
Return On Equity ◽  
Net Interest Margin ◽  
Capital Adequacy Ratio ◽  
Equity Ratio ◽  
Accounting Ratios

The banking sector in any economy plays a significant role in its growth and development. This paper is based on financial performance analysis of two leading banks of India. This paper aims to evaluate financial performance of HDFC and SBI bank on the basis of accounting ratios and also to study the functioning of the Indian banking system [6]. In this paper different ratios of both the banks are compared. Capital adequacy ratio, debt equity ratio, leverage ratios, profit and loss account ratios, net interest margin ratio, return on equity and other ratios are used to compare the performance of both the banks. This research is based on the data collected from financial statements of the banks. The performance of both the banks are compared from the year 2015 to 2020. It is observed that performance of HDFC is better than SBI not only in terms of ratio analysis but also in terms of customer satisfaction.

scholarly journals Characteristics of banks as determinants of profit management for Islamic and conventional banks in ASEAN

Accounting ◽  
2021 ◽  
pp. 1179-1188 ◽  
Author(s):  
Suripto Suripto ◽  
Supriyanto Supriyanto
Keyword(s):  
Discriminant Analysis ◽  
Earnings Management ◽  
Capital Adequacy ◽  
Multiple Discriminant Analysis ◽  
Loan Loss ◽  
Loan Loss Provision ◽  
Brunei Darussalam ◽  
Capital Adequacy Ratio ◽  
Asean Countries ◽  
Conventional Banks

This study aims to analyze company characteristics as a determinant of conventional and Islamic bank earnings management in several ASEAN countries (Association of South East Asian Nations). The Multiple Discriminant Analysis was applied to determine the differences between Islamic and Conventional Banks. This test was conducted based on Capital Adequacy Ratio, Income Before Tax and Interest, Non-Performing and Changing Loans, and Company's Size in the banks of Indonesia, Malaysia, and Brunei Darussalam from 2014 to 2018. The data obtained from 200 banking entities were analyzed discriminatively. The results showed that there were simultaneous differences between Capital Adequacy Ratio, Earnings Before Tax, Loan Loss Provision, Non-Performing and Changing Loans, and Company's Size as determinants of earnings management between Islamic and conventional banks. Also, it was found that Company's Size was the dominant variable determining the management differences. Based on Discriminant Analysis, there were significant differences in the determinants of conventional and Islamic earnings management. The Changing Loan variable showed the highest contribution in determining earnings management in Islamic banks. Overall, this study found that conventional banks dominated Islamic system in practicing earnings management.

scholarly journals PERBANDINGAN TINGKAT PROFITABILITAS DAN LIKUIDITAS DARI ASSET-LIABILITIES MANAGEMENT PADA BANK SYARIAH DAN BANK KONVENSIONAL

2016 ◽  
Vol 5 (1) ◽  
pp. 1
Author(s):  
Rindang Nuri Isnaini Nugrohowati
Keyword(s):  
Banking Sector ◽  
Banking System ◽  
Capital Adequacy ◽  
Islamic Banks ◽  
Return On Assets ◽  
Return On Equity ◽  
Liability Management ◽  
Capital Adequacy Ratio ◽  
Conventional Banks ◽  
Important Position

Abstract The banking sector has a very important position for the economic systemof a country. The banking system, which is part of the financial system willaffect the course of the economic system as a whole. If the banking system isweak then the system will also be weak economy. Banking is an intermediaryinstitution is the institution that channel funds from surplus funds (surplusunits) to the sectors that lack of funds (defi cit units). With the banking economic actors in need of funds can be met so that the economy can continue to run. In this study will specifi cally analyze the comparison of the level of profi tability of the asset-liability management in Islamic banks and conventional banks are seen from the return on assets and return on equity rises. It also will be studied comparative level of liquidity in Islamic banks and conventional banks are seen from the loan to deposit ratio and Capital Adequacy Ratio. By Hyphothesis is as follows : Ha1: there are differences in the level of profitability of the asset-liabilitymanagement in Islamic banks and conventional banks are seen from the return on assets and return on equity Ha2: there are differences in the level of liquidity in Islamic banks andconventional banks are seen from the loan to deposit ratio and Capital Adequacy Ratio Data analysis has been done obtained the following conclusions, based onmeans testing compare with test Independent-Samples t-test showed that the level of tability seen from ROA and ROE between Islamic Bank and Bank Konvensiona show any signifi cant difference. This is demonstrated by tests of signifi cance 0.02 0.05 for FDR, while for the signifi cance test CAR of 0.38> 0.05. Keyword: Profi tabilitas, Likuiditas, Asset Liabilities Management, Bank Syariah

scholarly journals MODEL OF ASSESSMENT OF THE IMPACT OF MAIN CHALLENGES OF MODERNITY ON EMPLOYMENT IN BANKING SECTOR ACCORDING TO STRESS TESTING METHODOLOGY

2021 ◽  
pp. 214-227
Author(s):  
O.O. Domuz ◽  
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Extreme Values ◽  
Stress Test ◽  
Banking System ◽  
Macroeconomic Factors ◽  
Criteria And Indicators ◽  
Banking Institutions ◽  
System 2 ◽  
The Impact

According to results of the study, globalization factors that require specific approaches to analysis in the context of changes and transformations that occur in socio-economic sphere of banking system; A model of stress testing to assess the impact of global factors on changes in the level and structure of employment of employees of banking institutions, based on the use of tools to find extreme values ​​at the level of individual banking institutions and the banking system as a whole are showen; In order to test the model, the stages of its application are formed: 1. selection of criteria for stress testing of changes in the bank's employment system; 2. the choice of indicators that characterize changes in the level and structure of employment of a bank; 3. conducting stress testing of criteria and indicators based on the use of tools for detecting extreme quantities; 4. construction of a stress test map by periods; 5. comparison of stress test maps of impact criteria and indicators, analysis of common sensitivity points in order to identify the causes and degree of influence of global factors; Within the framework of the model, special attention is paid to analytical methods to determine the impact and sensitivity of the employment response to trends and changes in the macro- and microeconomic environment; Using the method of determining extreme values, the existence of a relationship between the criteria that characterize the financial and economic performance of national banks and the degree of transformational changes in bank employment; As a result of the construction of stress test maps, it was determined that the criteria of financial and economic activity of banks and employment indicators in banking sector are highly sensitive to crises in respective periods, but respond differently to macroeconomic factors of different periods; The proposals on the expediency and necessity of using the model of stress testing in national banking system are formed.

scholarly journals The Relationship Between Credit Risk Management Practices And Profitability In Malaysian Commercial Bank`S

2019 ◽  
Vol 8 (5C) ◽  
pp. 53-59
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Management Practices ◽  
Secondary Data ◽  
Capital Adequacy ◽  
Credit Risk Management ◽  
Loan Loss ◽  
Commercial Activity ◽  
Loan Loss Provision ◽  
Loan Loss Provisions

This research scope looks into credit risk management and its effect on a specific group of banks with intensive commercial activity within Malaysia. Yearly reports from 8 different banks that rely on secondary data gathered from the span of 3 years (2015-2017), form the essence of this research. Return on assets (ROA) was primarily used in this research to measure profitability. Also, two credit risk measuring methods were used, loan loss provisions ratio (LLPR) and ratio of capital adequacy (CAR). From the results we deduced that commercial bank's profitability related positively to capital adequacy ratio and loan loss provision ratio. Therefore, the research calls upon the need of new management structure that optimally keep credit risk in check and boost banks profitability.

scholarly journals ANALISIS INCOME SMOOTHING PADA PERBANKAN ISLAM NEGARA-NEGARA TELUK DI TIMUR TENGAH

2017 ◽  
Vol 6 (2) ◽  
pp. 55-64
Author(s):  
Prima Shofiani
Keyword(s):  
Income Smoothing ◽  
Capital Adequacy ◽  
Loan Loss ◽  
Loan Loss Provision ◽  
Capital Adequacy Ratio

Penelitian ini bertujuan menguji income smoothing menggunakan loan loss provision (LLP) pada perbankan Islam. Sampel penelitian ini adalah bank-bank Islam negara-negara Teluk Timur Tengah. Variabel dependen dalam penelitian ini adalah loan loss provision (LLP) dan variabel independen adalah total pembiayaan, non performing finance (NPF) dan capital adequacy ratio (CAR). Analisis data menggunakan regresi data panel dengan EViews 7. Hasil penelitian menunjukkan bahwa non performing finance (NPF) berpengaruh positif terhadap LLP. Total pembiayaan tidak berpengaruh positif terhadap loan loss provision (LLP) dan capital adequacy ratio (CAR) tidak berpengaruh positif terhadap loan loss provision (LLP).   Kata Kunci: loan loss provision (LLP), Income smoothing, Bank Islam

scholarly journals Stress-testing as a method of macroprudential policy and information security in banking sector

2019 ◽  
Vol 65 ◽  
pp. 06004
Author(s):  
Olena Berezina ◽  
Iryna Honcharenko ◽  
Lesya Berezhna ◽  
Valentina Kunchenko-Kharchenko
Keyword(s):  
Integrated Assessment ◽  
Financial Stability ◽  
Stress Testing ◽  
Banking Sector ◽  
Banking System ◽  
Capital Adequacy ◽  
Quantitative Risk Assessment ◽  
Macroprudential Policy ◽  
Prudential Policy ◽  
Integral Indicator

The article contains an overview of the essence, history, components, scenarios, methodology and results of stress testing of the Ukrainian banking system. The purpose of this paper is to explore and analyze existing approaches to stress testing as a method of macro-prudential policy of the Central Bank, to determine the results of quantitative risk assessment and financial stability of banks and their readiness to have sufficient capital to cover losses in various macroeconomic scenarios, as well as to develop a model of integrated assessment and rating of banks based on the results of stress testing. In order to summarize the results of the study, a model of integrated assessment was developed and a rating of banks was built based on the analysis of their financial stability, capital adequacy and readiness to withstand the crisis. To solve the problem of qualitative analysis of the stress-testing results in terms of a significant number of indicators and calculations a simulation of the integral indicator is proposed which helps information users group the data, obtain a generalized assessment and form a rating of banks according to the financial stability reserve.

scholarly journals Examining the contributing factors of bank profitability in south Asian countries

2019 ◽  
Vol 6 (5) ◽  
pp. 01-12
Author(s):  
Naseem - Ashraf ◽  
Qurra Tul Ain Butt
Keyword(s):  
Research Design ◽  
Banking Sector ◽  
Financial Sector ◽  
Capital Adequacy ◽  
Loan Loss ◽  
Poor Growth ◽  
Bank Profitability ◽  
Loan Loss Provision ◽  
Effect Model ◽  
The Impact

Purpose: Using panel data approach in Pakistani banking sector for 7 year time period from 2010 to 2016, the aim behind this study was to examine the bank specific, industry specific and macroeconomic determinants of bank profitability Research Design: Quantitative research design has been employed with OLS, random effect model and fixed effect model, moreover regression and correlation analysis has been used in this study Findings: Rise in NPLs ratio, Loan loss provision, inflation and exchange rate reduces the profitability of banks while increase in market power, bank size, capital adequacy enhance the profitability Practical Implication: The deleterious impact of different indicators on profitability of banks shows that distressed banking sector can cause hindrance in not only growth of financial sector but can also cause the poor growth of economy. Outcomes of the study emphasis on the need of clear-out of NPLs to keep financial sector sound as NPLs cause high loan loss provision which effect the capitalization of banks that ultimately effect the economic growth of financial as well as other sectors of economy. Banking supervisory agencies should pay attention towards banking monitory policies and banks macroeconomic policies Originality/value: This study examine the impact of all three types of indicator (Bank specific, industry specific and macroeconomic) on banks profitability by employing latest data from 2010 to 2016 in which major reforms were held in banking industry of Pakistan because there exist rare studies with all three types of variables with latest figures

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