The Role of Liquidity Indicators to Assess its Risks and Enhance Capital Adequacy in Banking Activity

This purpose of the research is to test liquidity ratios to assess bank liquidity risks represented by liquidity ratios (current assets / current liabilities, current assets / total deposits, current assets / total assets, cash credit / total deposits, liquidity coverage ratio LCR, net stable financing ratio NSFR). This research involves evaluating these risks in banks via these ratios, and reveal the most important means used to solve these risks, including the capital adequacy ratio under the Basel II decisions and for selected period (2017-2019).The research reached the most important conclusion, which is the bank sample did not fall into bank liquidity risks throughout the years of research. Tracking specific ratio with adequacy capital of Basel II decisions of the Bank, it is noticed that it exceeds the minimum capital adequacy ratio in all valid measures, whether in Basel II decisions with 8% or the requirements of the central bank of Iraq with 12%. The research suggests some recommendations; one of the most important one is the need for the bank’s management to recognize the risks of liquidity in advance, in addition to increasing its investments to increase the bank’s profitability. Moreover, the bank needs to plan a clear strategy to maintain capital at the appropriate and required level to face liquidity risks

NGHIÊN CỨU CÁC YẾU TỐ ẢNH HƯỞNG ĐẾN HỆ SỐ AN TOÀN VỐN TẠI CÁC NGÂN HÀNG THƯƠNG MẠI VIỆT NAM ĐƯỢC NGÂN HÀNG NHÀ NƯỚC CHỈ ĐỊNH THÍ ĐIỂM THỰC HIỆN BASEL II

Mục tiêu của bài viết này là nghiên cứu các yếu tố ảnh hưởng đến hệ số an toàn vốn tại 10 NHTM Việt Nam được Ngân hàng Nhà nước Việt Nam (NHNN) chỉ định thí điểm thực hiện theo tiêu chuẩn Basel II bắt đầu từ tháng 2/2016. Bài viết sử dụng mẫu 10 NHTM Việt Nam bao gồm: Vietcombank, BIDV, VietinBank, Techcombank, ACB, VPBank, MBB, MaritimeBank, Sacombank và VIB, được nghiên cứu trong giai đoạn từ năm 2007 đến 2016 thông qua phương pháp FGLS (Feasible Generalized Least Square). Kết quả cho thấy quy mô ngân hàng, khả năng sinh lời trên tổng tài sản, tính thanh khoản và số tiền gửi của khách hàng có tác động âm lên hệ số an toàn vốn của ngân hàng. Trong khi đó, hệ số đòn bẩy có tác động dương lên hệ số an toàn vốn của ngân hàng. Dự phòng cho vay khó đòi và số tiền cho vay tác động không có ý nghĩa lên hệ số an toàn vốn của ngân hàng.

Implementation of Internal Capital Adequacy and Assessment Process in Vietnamese Commercial Banks

The internal capital adequacy and assessment process (ICAAP) was first introduced in the second pillar of Basel II in 2004 to offset the deficiencies of Basel I and capital adequacy regulations in the first pillar of Basel II. This process is aimed at identifying and measuring risks generated in banks’ activities, and then provides the requirements for internal capital levels and methods to raise capital to deal with these risks. In fact, the implementation of Basel II and ICAAP in Vietnamese commercial banks has attained notable achievements, but it also revealed some major weaknesses. The purpose of this research is to evaluate the implementation of ICAAP in Vietnamese commercial banks in eight components of the ICAAP addressed by Basel II using the survey method and then to simulate the implementation of ICAAP in a Vietnamese commercial bank. From the facts and the simulation of the ICAAP framework in this study, the authors offer some suggestions for Vietnamese commercial banks to implement ICAAP effectively in their banking operations.

The implication of banking regulation on bank business model: evidence from the ASEAN countries

Purpose The purpose of this paper is to examine to what extent is the impact of Basel II adoption on bank business models in the emerging market of selected ASEAN member states. Design/methodology/approach To evaluate the impact of the Basel II regulation on banking business models, a difference-in-differences estimation approach is used. This study defines bank business models using diversification index of a modified Herfindahl–Hirschman Index. Findings The findings suggest that the Basel II framework only affects banks’ income diversification, while there is no evidence that it leads to funding and asset diversification. Under the Basel II accord, banks have adjusted their business models by diversifying their sources of income to avoid the obligation for keeping more capital; in contrast, a less developed financial market structure and a dependency on customer deposits are creating difficulties for banks in diversifying their funding and asset structure. Research limitations/implications The banking sample are taken only from ASEAN countries. Practical implications The findings provide important implication on the regulatory perspective, which is the implementation of Basel II framework induces higher intensity for the use of non-interest income activities. Including in these activities are trading and derivatives. Accordingly, the financial authorities should take with care the use of trading and derivatives products in the banking industry which is already embedded in current Basel framework, the Basel III Accord. Originality/value The paper provides direct evidence on the impact of Basel II on bank business models in the emerging markets of ASEAN banking sectors.

PROSPECTS FOR ENSURING THE FINANCIAL SECURITY AND STABILITY OF THE BANKING SYSTEM OF AZERBAIJAN USING THE PRINCIPLES OF THE BASEL ACCORD (BASEL II)

The article discusses some aspects of the application of the developed Basel II principles to improve measures to ensure financial stability and security of the banking system of Azerbaijan. The advantages of using this agreement and the effectiveness of its application within the banking system of Azerbaijan are considered.

Efficiency in China’s Banking Sector: A Comparative Analysis of Pre- and Post-Basel II Eras

This study investigates the effects of Basel II and Basel III capital adequacy rules and the regulatory framework adopted by Chinese banking regulators on the efficiency of the banking sector in China during the post-Basel II era (2007–2017) and compares the results with that of the pre-Basel II era (1996–2006). The study finds that both cost and profit efficiency of the banking industry have improved significantly from the pre-Basel II era (1996–2006) to the post-Basel II era (2007–2017). Subperiod analyses show that the risk-based capital ratio (Tier 1 capital ratio) is significantly positively associated with profit efficiency during both pre- and post-Basel II eras. Overall, the “Big Four” national banks and regional commercial banks signal higher profit efficiency during the post-Basel II era.

Ứng dụng mô hình logistic trong chấm điểm tín dụng và xếp hạng đối với khách hàng doanh nghiệp tại NHTMCP Sài Gòn Thương Tín chi nhánh Thừa Thiên Huế

Hiệp ước Basel II ra đời năm 2004 đã bổ sung thêm rủi ro hoạt động, quy định thêm tỷ lệ an toàn vốn tối thiểu gắn chặt với mức độ rủi ro của tài sản ngân hàng liên quan đến nhiều yếu tố bao gồm xếp hạng tín nhiệm của khách hàng, mức độ tập trung của khoản vay vào một nhóm khách hàng. Nhằm tiếp cận các chuẩn mực quốc tế trong quản trị rủi ro của các NHTM, Ngân Hàng Nhà Nước (NHNN) đã có quyết định 57/2002/QĐ-NHNN ngày 24/01/2002 (Đính kèm phụ lục 1) triển khai thí điểm đề án phân tích, xếp hạng tín dụng doanh nghiệp.