scholarly journals Optimization of Credit Activity of a Commercial Bank Based on a Parametric Model

2022 ◽  
Vol 11 (1) ◽  
pp. 28
Author(s):  
Mark Gorskiy ◽  
Andrey Rudakov ◽  
Alexander Yemelyanov
Keyword(s):  
Commercial Bank ◽  
Financial Stability ◽  
Banking Sector ◽  
Parametric Model ◽  
Equity Capital ◽  
Economic Science ◽  
Parametric Modelling ◽  
Reliability Indicators ◽  
Loan Portfolios ◽  
Financial Portfolios

In the past few decades, a line of research focusing on the financial portfolios of banking structures has been actively developed in the world’s economic science. The interest in deposit-and-loan portfolios is caused by the rapid growth of both the banking sector and the entire capital market in the world. This paper presents empirical research in the field of analysis of the credit and investment activities of a commercial bank with an extended set of criteria. The team of authors considered a certain approach to parametric modelling of the optimal banking portfolio taking into account unregulated exogenous (macroeconomic) and endogenous (set by the bank) parameters that affect its structure and composition. As part of the proposed method, a list of monitored parameters of the banking portfolio, which was developed due to financial stability and reliability indicators, was compiled. Accordingly, based on calculations with a modified parametric model and assessment of the level of their financial stability and reliability, shortcomings in the structure and composition of the portfolios of the banking organizations under research were identified with respect to the rationality of resource allocation and the adequacy of equity capital. Thus, it was concluded that taking into account the criteria for managing the banking portfolio, measures of profitability and risk, as well as the reliability of the financial and economic base and financial stability of the bank contributes to the growth of its rating and client base, which is especially important for universal commercial banks.   Received: 4 September 2021 / Accepted: 22 November 2021 / Published: 3 January 2022

scholarly journals Финансовая устойчивость банковского сектора Казахстана

2020 ◽  
pp. 124-132
Author(s):  
D. Kerimkulova ◽  
G. Alina ◽  
M. Zholamanova ◽  
Д.Д. Керимкулова ◽  
Г.Б. Алина ◽  
...  
Keyword(s):  
Financial Stability ◽  
Banking Sector ◽  
Equity Capital ◽  
Capital Adequacy ◽  
Theoretical Development ◽  
National Bank ◽  
Second Tier ◽  
Relationship Of ◽  
The Impact

Today, the banks’ financial stability remains one of the most important problems in both scientific and practical aspects. Various factors play a role in achieving financial stability. The most important of which are the adequacy and quality of equity capital, which also serves as an indicator of financial stability. Based on this, this article examines the relationship of the Bank's equity capital with indicators of financial stability. Based on the study of previously published literature, the authors show the degree of scientific and theoretical development of the problem by both domestic and foreign scientists. Based on the materials of the Kazakhstan’ second-tier banks, was conducted a statistical analysis of the domestic second-tier banks equity capital for 2014-2019. A detailed analysis of the structure, quality and capital adequacy ratios of the banking sector of Kazakhstan for a five-year period was carried out. The article also examines the impact and role of the regulator-the National Bank on the financial stability of the country's banking sector. На сегодняшний день финансовая устойчивость банков остается одной из важных проблем как в научно-теоретическом так и практическом аспекте. В достижении финансовой устойчивости играют роль различные факторы. Важными из которых являются достаточность и качество ссудного портфеля, что также служит индикатором финансовой устойчивости. Исходя из этого в данной статье рассмотрена взаимосвязь собственного капитала банка с показателями финансовой устойчивости. На основании изучения ранее изданной литературы авторы показывают степень научно-теоретической разработанности проблемы как отечественными, так и зарубежными учеными. На материалах банков второго уровня Республики Казахстан проведен статистический анализ собственного капитала отечественных банков второго уровня за 2014-2019 годы. Проведены детальный анализ структуры, качества и рассчитаны коэффициенты достаточности собственного капитала банковского сектора Казахстана за пятилетний период. В статье также рассматривается влияние и роль регулятора – Национального Банка на финансовую стабильность банковского сектора страны. На основе анализа литературы и практической ситуации обосновываются задачи и перспективы деятельности банков по стабилизации финансового состояния и повышению качества собственного капитала. Авторы также проводят аналитический обзор текущей ситуации в банковском секторе в целом, деятельности Национального банка по повышению финансовой устойчивости банковского сектора и результатов оценки качества активов.

scholarly journals ВПЛИВ ІНОЗЕМНОГО КАПІТАЛУ НА БАНКІВСЬКУ СИСТЕМУ УКРАЇНИ В УМОВАХ ГЛОБАЛІЗАЦІЇ

2020 ◽  
pp. 76-85
Author(s):  
Марина Сергіївна Татар ◽  
Анастасія Олександрівна Рикова
Keyword(s):  
Commercial Bank ◽  
Financial Stability ◽  
Banking Sector ◽  
Synthesis Method ◽  
Legal Regulation ◽  
Practical Implementation ◽  
Security Level ◽  
Financial Security ◽  
Express Analysis ◽  
Banking Institution

Modern globalization and integration processes, introduction of the latest information technologies, competition in the banking sector, increasing of foreign banking capital share, lack of comprehensive legal regulation of banking activities, lack of development of Ukrainian financial markets, tense criminal challenges lead to new threats to financial security of the banking sector in general and of individual banks in particular. In turn, the efficient functioning of the banking system is impossible without maintaining high level of financial security of each commercial bank. The aim of the research is deepening the theoretical and methodological foundations of commercial bank financial security assessing and to development practical recommendations for improving its level. The subject of the research is theoretical and methodological principles and practical aspects of analysis and assessment of bank financial security level . The methods of the research: logical and meaningful method, method of comparison, method of analysis and synthesis, method of expert estimation, method of coefficients, integral method, etc. The hypothesis of the research. The investigation of the current state of a bank's financial security should be conducted in several stages: questioning of typical (external and internal) threats to the bank's financial security; express analysis of commercial bank financial security level; calculation of the integral index of bank financial security level. The statement of basic materials. The survey conducted typical external and internal threats to bank financial security, the results of which showed that the investigated bank is protected from external threats to financial security by 60% (9 points out of 15 possible) and from internal threats by 100% (15 points out of 15 possible). In the second stage of the process of financial security research, express analysis of financial security was carried out on the bases of the coefficients method, which includes four groups of basic banking indicators: bank financial stability indicators, bank business activity indicators, bank liquidity indicators, efficiency of bank activity indicators. The results of the rapid financial security diagnostics showed that in 2014-2015 the bank had low level of financial security, and in 2016-2018 it was sufficient. In addition, the integral financial security index of the bank is calculated, including the following indicators: financial and economic standards, credit and deposit dollarization, banking performance (ROA, ROE), profitability indicators and others. Integrated financial security indicators show that the highest level of financial security was in 2016, and in 2018 it was sufficient. It also proposes measures to enhance various components of the bank's financial security, the practical implementation of which will improve the efficiency of managing of banking institution financial security. The originality and practical significance of the research is development an approach to assessing commercial bank financial security and implementation it on the example of Raiffeisen Bank Aval. Conclusions and perspectives of further research. The approach to the assessment of the financial security level is proposed, which involves carrying out the evaluation in several stages, namely, the questioning of external and internal threats to bank financial security, express analysis of the financial security level of a commercial bank and calculation of an integral indicator of bank financial security level, which makes possible to assess the bank financial security level. It also proposes measures to enhance various components of the bank's financial security, the practical implementation of which will improve the efficiency of managing of banking institution financial security. As part of the further study it is planned to evaluate the effectiveness of the proposed measures of bank financial security level increasing.

ANALYSIS OF SYSTEMATICALLY IMPORTANT BANKS OF UKRAINE

2017 ◽  
Author(s):  
Rita Korolenko ◽  
◽  
Iryna Ukhova ◽  
Keyword(s):  
Financial Stability ◽  
Banking Sector ◽  
State Level ◽  
Bank Lending ◽  
Balance Sheets ◽  
Loan Portfolios ◽  
Systemic Risks ◽  
Banking Institutions ◽  
Systemically Important Banks ◽  
Authorized Capital

The article considers the key performance indicators of systemically important banks of Ukraine, which are the main players in the banking sector of Ukraine. It is established the contribution of SIB to the domestic BSU is 82,45% of assets, 83,77% of liabilities, 73,36% of equity, 86,14% of profit of BSU in 2019. Emphasis is placed on the fact that the BSU has a law «80-20, 20-80»: 14 SIBU (18,67%) of system participants generates 82,45% of the resources of the entire BSU. These financial institutions have a significant impact on the overall result of the BSU and they are systemically important. The problems of functioning of domestic systemically important banks are considered and it is revealed that these institutions have similar problems, which can be defined as follows: slowdown of bank lending of systemically important banks of Ukraine; a significant share of bad debts on the balance sheets; imbalance of the indicator «loans-deposits» (LDR); tendency of low values of profitability of deposits of systemically important banks of Ukraine; the share of the authorized capital of SIB exceeds 60% of the own capital (unprofitable activity of banks due to excessive amount of toxic loans, dependence on owners' funds); nationalization of the banking sector and inefficient management of state SIB. General recommendations are provided for solving these problems: it is necessary to ensure changes in the legislative field of regulation of banks of this group at the state level (for example, the NBU's introduction of monthly financial stability reporting) and improve the management of the banking institutions themselves (for example, optimize loan portfolios, form a strategy for managing systemic risks before the onset of the crisis, the implementation of the «sports interest» method to deal with problem debts).

Strategies of Russian Banks in the Context of Economic Sanctions and the Pandemic Shock

2021 ◽  
Vol 27 (4) ◽  
pp. 304-310
Author(s):  
O. L. Bezgacheva ◽  
V. N. Samotuga
Keyword(s):  
Central Bank ◽  
Russian Federation ◽  
Financial Stability ◽  
Banking Sector ◽  
Banking System ◽  
Equity Capital ◽  
Capital Adequacy ◽  
Russian Government ◽  
Capital Adequacy Ratio ◽  
The Russian Federation

Aim. The presented study aims to examine measures taken by the Russian government, actions of the Central Bank of the Russian Federation (CBR, Bank of Russia), and strategies of banks in the context of continuing anti-Russian sanctions and the coronavirus pandemic while also assessing whether they are sufficient to strengthen the country’s banking system.Tasks. The authors determine what measures are taken by the Central Bank of the Russian Federation to maintain the financial stability of the banking sector and an acceptable equity capital adequacy ratio; analyze the strategies of banks and the way they are adjusted in the context of sanctions and the pandemic; show the role of subordinated bonds as a source of the banks’ own funds.Methods. This study uses general scientific methods of cognition to analyze the problems of the banking system as well as the policy of the Central Bank of the Russian Federation and the Russian government aimed at overcoming the recession and maintaining financial stability in the banking sector.Results. As a result of unconventional decisions taken by the Central Bank of the Russian Federation, the total assets of the banking sector exceeded the pre-crisis level by the beginning of this year. Optimistic forecasts indicate that banks are adapting to changing conditions, adjusting their strategies accordingly.Conclusions. The Russian banking system passed the endurance test during the pandemic, generally maintaining an acceptable capital adequacy ratio. Due to large-scale government support, the economic decline in Russia has slowed down, and there are signs of recovery growth. Banks entered 2021 with an obvious headstart. Almost all banks in the top 200 made a profit.

scholarly journals Reserve assets as sources of replenishing resource base of banking sector and improving its stability

2019 ◽  
Vol 2019 (4) ◽  
pp. 130-136
Author(s):  
Haidar Diphil Shubbar ◽  
Andrey Vladimirovich Girinsky
Keyword(s):  
Central Bank ◽  
Commercial Bank ◽  
Commercial Banks ◽  
Financial Stability ◽  
Banking Sector ◽  
Foreign Currency ◽  
Banking System ◽  
Resource Base ◽  
Reserve Requirement ◽  
Reserve Requirements

The paper focuses on the importance of using reserve assets in order to increase the bank financial stability and the banking system as a whole. The essential requirements for reserving commercial banks have been presented. The methods of regulating the required reserves have been studied. The specific features of applying the required reserves in banking activities (reserve requirements and liquidity, monetary policy, reserve requirements as a monetary tool, reserve requirements as a fiscal tool) have been revealed. The schedule of averaging periods of required reserves for 2019 is being considered. The general principles which credit organizations are guided by when creating reserves are the following: obligatory availability of reserves for all credit organizations throughout their existence; forming reserves in relation to liabilities to legal entities and individuals; possibility of removing from the list obligations for which reserves have been created. It has been mentioned that the main objectives of the reserve requirement system are to provide banks with sufficient liquidity and to regulate the money supply. Particular attention is paid to the Central Bank as a reserve requirements regulator. In accordance with the changes of the Central Bank of July 1, 2019, the established standards on reserve requirements for deposits in national currency are set at 4%, in foreign currency at 14%. Manipulating the required reserve rate will provide the Central Bank with the opportunity to adjust the liquidity and solvency both of an individual bank and the entire banking system. The method of averaging required reserves includes the possibility for a commercial bank not to transfer reserves to the Central Bank based on a certain sum of money. The averaging coefficient is set at 0.25 to the standard volume of required reserves

Central bank digital currency: the future of institutional changes in the banking sector

2021 ◽  
Vol 2021 (2) ◽  
pp. 26-48
Author(s):  
Volodymyr MISHCHENKO ◽  
◽  
Svitlana NAUMENKOVA ◽  
Svitlana MISHCHENKO ◽  
◽  
...  
Keyword(s):  
Central Bank ◽  
Financial Stability ◽  
Banking Sector ◽  
Central Banks ◽  
Credit System ◽  
Bank Supervision ◽  
Bank Of China ◽  
Digital Currency ◽  
Financial Monitoring ◽  
The Impact

The purpose of the article is to reveal the essence and features of the introduction of digital currency of central banks and their impact on the conditions of monetary policy, financial stability, as well as institutional transformations in the development of national banking systems. The study is based on an analysis of projects of issuance and use of digital currencies of the ECB and central banks of leading countries, as well as the results of pilot projects of the National Bank of China on the use of the digital yuan and NBU on the e-hryvnia circulation. It is proved that digital currency of the central bank should be considered as a new dematerialized form of national currency in addition to cash and non-cash forms. Particular attention is paid to the study of the impact of the use of digital currency by central banks on the main parameters of economic policy. The main directions of potential influence of digital currency use on transformation of mechanisms of realization of monetary, budgetary and tax, macroprudential policy, maintenance of financial stability, activization of action of channels of the monetary transmission mechanism, and also on reforming of system of the state financial monitoring and bank supervision are substantiated. It is determined that one of the consequences of the use of digital currency will be the ability to ensure full control over all monetary transactions, which will help reduce the shadow economy and corruption. Structural and logical schemes of centralized and decentralized models of issuance and circulation of digital currency of central bank have been developed, directions of changes in the structure and functions of commercial and central banks, as well as in the structure of the financial and credit system in general have been substantiated.

FOREIGN METHODS FOR ASSESSING THE FINANCIAL STABILITY OF A COMMERCIAL BANK

2021 ◽  
Vol 6 (6) ◽  
pp. 534-539
Author(s):  
Gyulzar Akhmedullakhovna Gulmagomedova ◽  
Luiza Shakhpazovna Mirzoeva
Keyword(s):  
Commercial Bank ◽  
Financial Stability

scholarly journals Research on MRD Parametric Model Based on Magic Formula

2018 ◽  
Vol 2018 ◽  
pp. 1-10 ◽  
Author(s):  
Wei Pan ◽  
Zhengtao Yan ◽  
Jingjun Lou ◽  
Shijian Zhu
Keyword(s):  
Experimental Data ◽  
Working Conditions ◽  
Parametric Model ◽  
Parametric Modelling ◽  
Loop Model ◽  
Magnetorheological Dampers ◽  
Nonlinear Characteristics ◽  
Magic Formula ◽  
Parameterized Model ◽  
General Method

In order to get a better description to the nonlinear characteristics of magnetorheological dampers, the magic formula is introduced into the general method of parametric modelling of magnetorheological dampers to propose a new parameterized model called magic formula-hysteresis loop model (MFM). The new model is simple in structure, the physical meaning of each parameter is clear, and the parameter identification is convenient. The fitting and experimental data of MFM and the phenomenon model under different conditions are applied for error analysis and comparison. The results show that the errors of MFM are more accurate and have better fitting and experimental data under different working conditions, which also have better adaptability and versatility.

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