Banking risks. Financial risk management of a commercial bank What are financial risks in commercial banks
In the course of its activities, commercial banks are exposed to many risks. In general, banking risks are divided into four categories: financial, operational, business and emergency.
financial risks, in turn, include two types of risks: pure and speculative. pure risks, including credit risk, liquidity and solvency risks, if not properly managed, can lead to a loss for the bank. Speculative risks Financial arbitrage based strategies can result in a profit if the arbitrage is done correctly, or a loss otherwise.
It should be noted that the main types of speculative risk: interest rate, currency and market (or positional)
Different types of financial risks are also closely related to each other, which can significantly increase the overall risk profile of banks. For example, a bank engaged in currency transactions is traditionally exposed to currency risk, but it will also be exposed to additional liquidity and interest rate risk if it has open positions in a net position on futures transactions or discrepancies in the terms of claims and liabilities.
Operational risks depend on: the overall business strategy of the bank; his organization; functioning of internal systems, including computer and other technologies; the consistency of the bank's policies and procedures; measures aimed at preventing errors in management and against fraud. Business risks are associated with the external environment of the banking business, incl. with macroeconomic and political factors, legal and regulatory conditions, as well as with the general infrastructure of the financial sector and the payment system. Extraordinary risks include all types of exogenous risks that, if an event occurs, could endanger the bank's operations or undermine its financial condition and capital adequacy.
Let's characterize the financial risks that tend to pure risks, i.e., leading in the event of a risk event only to negative consequences.
Deposit risk– the risk associated with the possibility of non-repayment of deposits (non-redemption of certificates of deposit) This risk is quite rare and is associated with an unsuccessful choice of a commercial bank for the enterprise's deposit operations. It is important to note that, however, with all this, cases of deposit risk realization are found not only in our country, but also in countries with developed market economies. Abroad, the insurer of this type of risk is the bank, and insurance is carried out in a mandatory form.
Credit risk- the risk associated with the danger of non-payment by the borrower of the principal and interest due to the creditor. The reasons for the emergence of credit risk may be the bad faith of the borrower, the deterioration of the competitive position of a particular company, and the unfavorable economic situation.
UDC 336.77
TO THE QUESTION OF MODERN APPROACHES TO THE MANAGEMENT OF FINANCIAL RISKS OF COMMERCIAL BANKS
Natalya Ivanovna Denisova, Ph.D. economy sciences, head. Department of Finance and Credit, e-mail: [email protected], Lyudmila Mikhailovna Chizhenko, Associate Professor of the Department of Economics and Finance
e-mail: [email protected], Ryazan branch of Moscow University named after S. Yu. Witte,
http://www.muiv.ru/ryazan
The article presents the risk-forming factors of banking activity. Modern approaches to the management of financial risks of commercial banks are determined. Directions for reducing banking financial risks in modern conditions are disclosed.
Key words: financial risks; commercial banks; control; credit risks; factors; risk; methods.
DOI: 10.21777/2307-6135-2017-1-80-83
One of the most important moments in the economic sphere of the Russian Federation during the formation of market relations is the development of an effective mechanism for managing business risks. All kinds of risks are an essential attribute of entrepreneurship in all sectors of the economic and social sphere. But the banking sector is especially vulnerable in this aspect, represented by a network of credit institutions, most of which are commercial banks. The main source of profit for a commercial bank is the provision of a loan of its credit resources. In conditions of instability of the financial situation, the activities of commercial banks are associated with the presence of various kinds of risks, primarily related to the possibility of non-repayment of the resources provided on a loan basis.
Borrowing activities are always accompanied by risks; the provision of loans is initially a risky type of business. Changes in the financial markets in recent years, the growth of interaction between countries, the internationalization of cash flows have contributed to the emergence of new development opportunities for banks, but there are also new risks. Obviously, it is not possible to completely avoid risk in the conditions of market principles of management, and even more so in a crisis. Therefore, one of the priority tasks of banking activity is to ensure the minimization of financial risks, which would ensure maximum profit, reducing the possibility of losses in the process of credit operations. Therefore, the most important component of the credit policy of a commercial bank is the risk management of banking activities. The success of the bank's activities and the possibility of its further development largely depend on the effectiveness of managing the financial risks of a commercial bank in the process of implementing its credit policy.
Risk as an economic category does not have a single and clear definition. In the existing literature, the concept of risk, its properties and elements is interpreted ambiguously.
but, there is no single approach to understanding its content, the ratio of objective and subjective aspects. The diversity of opinions about the essence of risk is explained, in particular, by the multidimensionality of this phenomenon, the almost complete absence of its interpretation in the existing legislation, as well as its insufficient consideration in real economic practice and management activities.
The possibility of deviation from the intended purpose for which the chosen alternative was implemented;
The likelihood of achieving the desired result;
Lack of confidence in achieving the goal;
The possibility of material, moral and other losses associated with the implementation of the alternative chosen under conditions of uncertainty.
These elements in their relationship and interaction reflect the content of the risk. Let us pay attention to such an important element of risk as the probability of deviation from the chosen goal - such deviations can have both negative and positive consequences. It should be noted that there is a directly proportional relationship between the riskiness and profitability of operations in market conditions in all areas of activity.
Credit organizations, playing an important role in the economic sphere of the modern world, are commercial structures whose activities pursue profit as the main goal.
The classification of risks depending on the degree of ensuring its sustainable development is essential for ensuring an increase in the efficiency of the bank's activities.
To ensure effective management of banking risks, it is important to highlight the factors on which risks depend. From these positions, groups of external and internal risks are traditionally distinguished. External risks include political, economic, sectoral, demographic, social, geographic and other risks.
Risk management includes the development of strategy and tactics. The strategy involves the development of directions and ways to achieve the goal, based on long-term forecasting and strategic planning. When developing a risk management strategy, it is necessary to proceed from the observance of the principle of break-even activity and focus on ensuring the optimal ratio of profitability and the level of risks assumed by the bank.
The strategy predetermines management tactics, including specific methods and techniques to achieve the goal in specific conditions. The task of tactics is to choose from all decisions that do not contradict the strategy, the most optimal option and the most appropriate management methods and techniques in a particular situation that help reduce the degree of risk.
In the risk management system, three main stages can be distinguished, consisting in risk analysis (identification and assessment); risk control (monitoring) and risk minimization (levelling).
As the first stage, risk analysis is considered, which consists in identifying and assessing the risk. In the process of it, factors are identified that lead to an increase or decrease in a particular type of risk in the implementation of certain banking operations.
In the process of the next stage - risk control - measures are taken to timely identify the risk in order to reduce or eliminate it. There are three ways to control risk: through internal audit, external audit and internal control.
Risk aversion (represents the evasion of activities related to
risk, i.e. refusal of those operations that contain risk unacceptable for the bank, which also means refusal to receive part of the profit);
Risk reduction (implemented mainly through self-insurance - reservation, diversification, limiting, minimization);
Transfer of risk to a third party (implemented through insurance, hedging, distribution).
An important point in managing credit risks is the analysis by the bank of the ability of existing and potential borrowers to repay the principal amount of the debt and make interest payments, as well as by obtaining collateral and guarantees. Necessary is the organization of constant monitoring and subsequent control over overdue balances of loan indebtedness.
Risk management occurs at three levels. For each level, different risk assessment methods and risk management methods are used.
1. Individual level: involves the analysis, assessment and reasonable risk reduction for a particular transaction. Individual credit risk management is carried out, as a rule, for transactions that do not fall under the aggregate level.
2. Aggregate level: involves the development of programs and the development of criteria that the transaction must meet, which allows you to limit the amount of risk taken by the bank. Credit risk management at the aggregate level is carried out, as a rule, for standard transactions with the amount of credit risk not exceeding the established value.
3. Portfolio level: implies an assessment of the total credit risk, its concentration, dynamics, etc., as well as the development of proposals for setting limits and management decisions in order to reduce the risk.
The main factors that increase credit risk are:
The concentration of credit risk manifested in the provision of large loans to individual borrowers or a group of related borrowers, as well as if the credit institution's debtors belong to separate sectors of the economy, to the same geographic region, or if there are other obligations that make them vulnerable to the same economic factors ;
A large share of loans and other banking contracts that fall on clients experiencing certain financial difficulties;
Frequent or significant changes in the bank's lending policy;
A large proportion of new and recently attracted customers, about which the bank does not have enough information;
Liberal credit policy of the bank (granting loans in the absence of the necessary information);
The concentration of the bank's activities in little-studied, new areas;
Having unsecured loans or accepting low-liquid collateral as collateral.
An important role in ensuring protection against credit risks is played by the organization of banking control, in which the analysis of the quality of the loan portfolio occupies a central place.
The loan portfolio acts as the main source of income for the bank and at the same time as the main risk factor in the placement of assets. Its structure and quality predetermine the sustainability of the bank, its reputation, the value of financial results. The composition and structure of the portfolio is carefully analyzed by loan officers and senior officials in order to identify excessive concentration of loans in certain areas or individual borrowers, as well as the presence of problem loans.
An extremely important role is played by the organization of banking monitoring.
ring as the main method of banking control. Its purpose is to control the quality of the loan portfolio, conduct an independent examination, timely identify deviations from the accepted standards and the bank's credit policy.
The following can be named as its main directions:
1. Improvement in the field of organizational issues.
2. Improvement in the field of methodological issues.
The third area of risk management improvement is the improvement of credit risk management methods, one of the most important ways of which is to improve the quality of insurance protection against credit risks. Credit risk insurance is not common in Russia and is considered a new and underdeveloped area. But as the market is saturated with classic insurance products and under the pressure of increasing competition, insurers will need to turn to this type to meet the needs of policyholders and maintain their market positions. Through insurance, a person realizes one of his most important needs - the need for security.
Within the framework of cooperation between insurers and banks, the interest of banks in insurance protection against credit risks is gradually becoming apparent in connection with an increase in lending volumes. At the same time, many Russian insurers are not yet ready to accept such risks for insurance.
Insurance is a field of activity that is quite strictly regulated by the state.
Credit risk insurance for a commercial bank will have varieties depending on the types of active banking operations that are accompanied by credit risk, as well as categories of borrowers.
Literature
1. On banks and banking activities: Federal Law of the Russian Federation of February 3, 1996 No. 17-FZ.
2. On audit activity: Federal Law No. 307-F3 dated December 30, 2008.
3. On the organization of internal control in credit institutions and banking groups: Regulation of the Central Bank of the Russian Federation dated December 16, 2003 No. 242-P.
4. Vdovina ON Bank credit risk insurance. http://www.ins-education.ru.
5. Glushchenko VV Risk management. Insurance. - M.: Infra-M, 2009. 336 p.
6. Denisova N. I., Chizhenko L. M. Liability insurance for car owners - new regional approaches // Potential of social and economic development of the Russian Federation in new economic conditions: Proceedings of the II International Scientific and Practical Conference. 2016. P.177-186.
7. Denisova N. I., Chizhenko L. M., Chizhenko I. P. The insurance market in Russia: problems and development prospects // Bulletin of the Moscow University. S. Yu. Witte. Ser. 1: Economics and management. 2016. No. 1 (16). pp. 51-57.
8. Lavrushin O. I., Afanas'eva O. N., Kornienko S. L. Banking: a modern credit system. - M.: KnoRus, 2012. 264 p.
9. Lavrushin OI Banking risks. - M.: KnoRus, 2012. 233 p.
10. Nikitina T. V. Banking management. - St. Petersburg: Piter, 2012. 160 p.
11. Tikhomirova A. V. Risks in anti-crisis management // Proceedings of the international scientific and practical conference. Issue. 2. - M.: GUU, 2008. S. 132-141.
To the issue of modern approaches to financial risk management of commercial banks
Natalya Ivanovna Denisova, Candidate of Economics, head. the department of finance and credit, Ryazan branch of Moscow Witte University
Lyudmila Mihaylovna Chizhenko placed seconds, associate Professor of Economics and Finance, Ryazan branch of Moscow Witte University
The article presents the risk factors of banking. Identified modern approaches to financial risk management of commercial banks. Revealed reduce banking risks in modern conditions.
Keywords: financial risks, commercial banks management, credit risk, factors, risk, methods.
In the course of its activities, commercial banks are exposed to many risks. In general, banking risks are divided into four categories: financial, operational, business and emergency.
financial risks, in turn, include two types of risks: pure and speculative. pure risks, including credit risk, liquidity and solvency risks, if not properly managed, can lead to a loss for the bank. Speculative risks Financial arbitrage based strategies can result in a profit if the arbitrage is done correctly, or a loss otherwise. It should be noted that the main types of speculative risk are: interest rate, currency and market (or positional).
Different types of financial risks are also closely related to each other, which can significantly increase the overall risk profile of banks. For example, a bank engaged in currency transactions is traditionally exposed to currency risk, but it will also be exposed to additional liquidity and interest rate risk if it has open positions in a net position on futures transactions or discrepancies in the terms of claims and liabilities.
Operational risks depend on: the overall business strategy of the bank; his organization; functioning of internal systems, including computer and other technologies; the consistency of the bank's policies and procedures; measures aimed at preventing errors in management and against fraud. Business risks are associated with the external environment of the banking business, incl. with macroeconomic and political factors, legal and regulatory conditions, as well as with the overall infrastructure of the financial sector and the payment system. Extraordinary risks include all types of exogenous risks that, if an event occurs, could endanger the bank's operations or undermine its financial condition and capital adequacy.
Let's characterize the financial risks that tend to pure risks, i.e., leading in the event of a risk event only to negative consequences.
Deposit risk– the risk associated with the possibility of non-return of deposits (non-redemption of certificates of deposit). This risk is quite rare and is associated with an unsuccessful choice of a commercial bank for the enterprise's deposit operations. It is important to note that, however, with all this, cases of deposit risk realization are found not only in our country, but also in countries with developed market economies. Abroad, the insurer of this type of risk is the bank, and insurance is carried out in a mandatory form.
Credit risk- the risk associated with the danger of non-payment by the borrower of the principal and interest due to the creditor. The reasons for the emergence of credit risk may be the bad faith of the borrower, the deterioration of the competitive position of a particular company, the unfavorable economic situation.
57. Investment banks, their functions and operations
Investment banks are special lending institutions that finance and lend investments. These banks are non-identical banking institutions, which is associated with the peculiarities of the loan capital market and the differences in banking legislation in individual industrialized countries. Thus, the classic type of US investment bank was approved by the Banking Act of 1935 (Gloss-Steagall Act). In accordance with this act, commercial banks are prohibited from engaging in investment activities, with the exception of operations with state and municipal bonds. Such operations consist in acquiring a part of state and municipal bonds, organizing the placement of a certain share of them among the population, conducting operations to subscribe for bonds and pay coupons (cut-off coupons for bonds, giving the right to receive a certain amount of interest after a certain period of time).
The main function of an investment bank in the United States is the issuing function - negotiating with commercial and industrial companies on the issuance of new shares and bonds and the technical preparation of such issues with the assumption of obligations to place securities on the market and acquire that part of them that will not be placed on subscription.
A characteristic feature of the accumulation of money capital by US investment banks is the attraction of savings not only from the richest segments of the population, but also from small investors with low incomes - the petty bourgeoisie, farmers and relatively well-paid workers and employees.
In the European industrialized countries, such a clear distinction between commercial and investment banks does not exist. Thus, in the UK, investment operations are traditionally handled by merchant banks. The most influential of them (about 60) are members of the Association of Investment Banks. Since 1970, commercial banks have been actively invading this area.
In France, the financing and lending of capital investments is carried out by special credit institutions, among which the leading place belongs to the National Credit (Creditational). This bank distributes government subsidies, provides loans for a period of 7-15 years and provides loan guarantees.
In Germany, investment banks as independent institutions have not received distribution. Here, banks combine both short-term and long-term investment operations. At the same time, the leading place in the country's loan capital market is occupied by gross banks (German, Dresden and Commercial).
The functions of investment banks and long-term investment banks in Eastern Europe are performed by people's, national, and state banks (Bulgaria, Hungary) or specialized banks (Romania). The structure and functions of these banks are systematically changing. Thus, the Prague investment bank was approved in 1948. Until 1950, it provided financing and long-term lending for capital construction included in the state plan. In 1959, its functions were transferred to the State Bank.
The Investment Bank of Romania is a specialized bank for financing and long-term lending to industry, construction, communications, trade, with the exception of agriculture, food industry and water management.
In Japan, long-term loans are issued by both public and private banks. For example, the Japanese Development Bank is engaged in lending to industry, construction, energy, and transport, which ranks second among the state credit institutions of the country in terms of the volume of loans provided. This bank is entrusted with concessional lending (at low interest rates and for a period of at least a year) to sectors of the economy in which private banks have little interest in lending (development risk, high capital intensity, duration of capital turnover, unprofitable production, etc.). A significant difference between interest rates on bank loans and more favorable rates on the loan capital market is covered from the state budget.
Only a few developing countries with a relatively developed capitalist sector of the economy have investment banks: in Latin America - Argentina, Bolivia, Brazil, Mexico; in Southeast Asia - Malaysia, Singapore, Hong Kong (now part of China), South Korea; in Africa - Ghana, Nigeria, and also in some countries of the French franc. Investment banks exist alongside regional development banks in developing countries: the Asian Development Bank, which provides long-term lending to development projects in Asia and the Pacific; the Inter-American Development Bank, which promotes the development of the economies of Latin America; African Development Bank, which promotes the economic development of African and a number of non-African states. International credit institutions also play a significant role in making investments in developing countries: the International Bank for Reconstruction and Development, Arab Investment Companies and other international organizations.
Since the main task of investment banks is the financing and lending of investments, consider the concept and types of investments.
[Investments - long-term capital investments in industry, agriculture, transport, construction and other industries. The purpose of investment activity is to obtain entrepreneurial income or interest.
Investments are divided into financial and real.
Financial investments - investments in securities (stocks, bonds, etc.) issued by private companies and the state, as well as bank deposits and hoarding objects (treasures, i.e. keeping money at home).
Real investments - investments in fixed assets and for the growth of inventories. In the conditions of the modern scientific and technological revolution, along with an increase in the material elements of fixed capital, investments are growing.
development of spiritual productive forces, the intellectual potential becomes the most active element of production, increasing the role of scientific research, qualifications, knowledge and experience of workers. Accumulation becomes complex, and spending on science, education, training and retraining of personnel, etc. become productive investments.
A distinction is also made between expansion investments and renewal investments of consumed fixed capital.
The source of expansion investment is part of the newly created value directed to accumulation. Entrepreneurs mobilize it at the expense of their own profits (self-financing) and in the loan capital market (borrowed funds). The source of investment in the renewal of fixed capital are depreciation charges.
Real investments in fixed capital are characterized by sectoral and technological structures, the proportions of which largely determine the efficiency of savings.
Shifts in the sectoral structure of investments in all developed capitalist countries in the 50-70s. expressed in the outstripping growth of their share in the manufacturing industries, primarily in engineering, construction, transport, and communications. The backlog at that time of investments in the mining industry and the fuel and energy complex was one of the reasons for the energy and raw material crisis of the 1970s.
The technological structure of investments is determined by the ratio of the costs of active elements of fixed capital (machinery, equipment) and its passive elements (buildings, structures). The efficiency of investments usually increases with an increase in the share of the active part.
Investments in the reproduction of fixed assets, along with the sectoral and technological structures of capital investments, are also characterized by territorial and reproduction structures.
The territorial structure of capital investments means their distribution over individual regions of the country with an increase in the share of investments in areas that give the greatest return, have sufficient raw materials and energy resources and the necessary labor force.
The reproductive structure of capital investments involves directing them to new construction, to technical
technical re-equipment and reconstruction of existing industries, since such costs provide an acceleration in the renewal of existing fixed assets.
Reconstruction and technical re-equipment of enterprises make it possible to increase production volumes, improve product quality and other technical and economic indicators at a lower cost than in the construction of new enterprises. At the same time, the terms for commissioning new capacities are reduced by one and a half to two times. Taking this into account, the scale of technical re-equipment and reconstruction of the existing production apparatus has been systematically increasing in recent years. So, if in 1985 the share of capital investments for these purposes in industrial construction was 36%, in 1993 it was 51%.
The bulk of real investment in the developed capitalist countries is private investment. However, the state also takes part in the investment process by investing capital in the public sector, both directly and indirectly through the provision of loans, subsidies, and by implementing a policy of economic regulation. The main part of state investments is directed to the infrastructure sectors, the development of which is necessary to ensure the normal course of social reproduction (science, education, health care, environmental protection, transport and communications).
In developing countries, increased investment is a sine qua non for overcoming economic backwardness. The state plays an important role in expanding the productive potential of these countries, as evidenced by a significant increase in public investment, the main areas of investment of which are the industrial and social infrastructure and manufacturing industry.
To carry out investment financing operations, investment banks mobilize long-term loan capital and provide it to borrowers (entrepreneurs and the state) through the issuance and placement of bonds or other types of debt obligations. In addition, investment banks buy and sell blocks of shares and bonds at their own expense, as well as provide loans to buyers of securities.
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1. Financial risks in the activities of a commercial bank
In the course of their activities, commercial banks are exposed to many risks. In general, banking risks are divided into 4 categories: financial, operational, business and extraordinary. Financial risks, in turn, include 2 types of risks: pure and speculative.
Pure risks - incl. credit risk, liquidity and solvency risks - may, if not properly managed, lead to a loss for the bank.
Speculative risks based on financial arbitrage can result in a profit if the arbitrage is done correctly, or a loss if it is not. The main types of speculative risk are interest rate, currency and market (or positional) risks.
Like any enterprise operating in market conditions, the bank is exposed to the risk of losses and bankruptcy. Naturally, while striving to maximize profits, the bank's management simultaneously seeks to minimize the possibility of losses. These two goals contradict each other to a certain extent. Maintaining an optimal ratio between profitability and risk is one of the main and most difficult problems of bank management. Risk is associated with uncertainty, the latter being associated with events that are difficult or impossible to foresee. The loan portfolio of a commercial bank is subject to all the main types of risk that accompany financial activities: liquidity risk, interest rate risk, loan default risk. The latter type of risk is especially important, since the default of loans by borrowers brings large losses to banks and is one of the most frequent causes of bankruptcies of credit institutions. Credit risk depends on exogenous factors associated with the state of the economic environment, with the conjuncture, and endogenous, caused by erroneous actions of the bank itself. The ability to manage external factors is limited, although the bank can mitigate their impact to a certain extent and prevent losses by timely actions. However, the main levers of credit risk management lie in the sphere of the bank's internal policy.
The main task facing banking structures is to minimize credit risks. To achieve this goal, a large arsenal of methods is used, including formal, semi-formal and informal procedures for assessing credit risks. The credit risks of banks can be minimized by diversifying the loan portfolio, the quality of which can be determined on the basis of assessing the degree of risk of each individual loan and the risk of the entire portfolio as a whole. One of the criteria that determine the quality of the loan portfolio as a whole is the degree of portfolio diversification, which is understood as the presence of negative correlations between loans, or at least their independence from each other. The degree of diversification is difficult to quantify, so diversification rather refers to a set of rules that a lender must adhere to. The most famous of them are the following: do not provide credit to several enterprises of the same industry; do not provide credit to enterprises of different industries, but interconnected with each other by the technological process, etc. In fact, the desire for maximum diversification, which is the process of collecting the most diverse loans, is nothing more than an attempt to form a portfolio of loans with the most diverse types of risks, so that changes in the external economic environment where borrowing enterprises operate do not have negative impact on all loans. The ongoing changes in the economic environment should affect the situation of borrowing enterprises in different ways. This means that under the most differentiated types of risks, lenders understand the most diverse response of loans to events in the economy. Ideally, it is desirable that the negative reaction of some loans, when the probability of their default increases, is offset by the positive reaction of others, when the probability of their default decreases. In this case, we can expect that the amount of income will not depend on the state of the market and will be preserved. It is important to note here that, if the concept of the variety of risks by type is rather difficult to define, then the variety of the impact exerted on the situation of borrowers by changes in the economic situation is quite simple, since the natural measure of impact is the amount of lost income on a single loan compared to the planned one. . In other words, the impact on credit is the difference between the planned and actual income on a given loan over a certain period of time.
Different types of financial risks are also closely related to each other, which can significantly increase the overall risk profile of banks. For example, a bank engaged in foreign exchange transactions is usually exposed to foreign exchange risk, then it will also be exposed to additional liquidity risk and interest rate risk if it has open positions in a net position on futures transactions or discrepancies in the terms of claims and obligations.
Operational risks depend on: the overall business strategy of the bank; from its organization: from the functioning of internal systems, including computer and other technologies; on the consistency of the bank's policies and procedures; from measures aimed at preventing management errors and against fraud (although these types of risk are extremely important and are covered by banking risk management systems, this work does not devote much attention to them, since it focuses on financial risks).
Business risks are associated with the external environment of the banking business, incl. with macroeconomic and political factors, legal and regulatory conditions, as well as with the general infrastructure of the financial sector and the payment system.
Extraordinary risks include all types of exogenous risks that, if an event occurs, could jeopardize a bank's operations or undermine its financial condition and capital adequacy.
In the course of their work, commercial banks face various types of risks, which differ in the place and time of occurrence, the totality of external and internal factors affecting their level, in the way of risk analysis and methods of their description. In addition, all types of risks are interrelated and affect the activities of banks. A change in one type of risk causes a change in almost all other types, which makes it difficult to choose a method for analyzing the level of a particular risk.
Banking risks cover all aspects of the activities of banks - both external and internal. Thus, there are internal and external risks.
In accordance with the letter of the Central Bank of the Russian Federation (CBR) dated June 23, 2004 No. 70-T “On Typical Banking Risks”, the following typical risks of commercial banks are distinguished:
Credit;
Country;
Market, including stock, currency and interest risks;
Liquidity risk;
Operating;
Legal;
Risk of loss of business reputation;
Strategic.
2. The main types of risks in the activities of a commercial bank
2.1 Credit risk
Credit risk occupies a central place among internal banking risks. It can be considered as the largest risk inherent in banking. Low rates of growth in the volume and profitability of lending are forcing banks to systematically and systematically develop and improve the methodology for managing credit risks and create organizational structures for its implementation in everyday banking practice.
Credit risk- the risk of a credit institution incurring losses due to non-fulfillment, untimely or incomplete fulfillment by the debtor of financial obligations to it in accordance with the terms of the agreement, in other words, the risk of non-payment by the borrower of the principal and interest on it in accordance with the terms and conditions of the loan agreement.
To the specified financial obligations debtor's obligations may include:
Loans received, including interbank loans (deposits, loans), other placed funds, including claims for receipt (return) of debt securities, shares and promissory notes provided under a loan agreement;
Promissory notes discounted by the credit institution;
Bank guarantees under which the funds paid by the credit institution are not reimbursed by the principal;
Financing transactions against the assignment of a monetary claim (factoring);
Rights (claims) acquired by a credit institution under a transaction (assignment of a claim);
Mortgages acquired by a credit institution in the secondary market;
Transactions of sale (purchase) of financial assets with deferred payment (delivery of financial assets);
letters of credit paid by a credit institution (including uncovered letters of credit);
return of funds (assets) under a transaction for the acquisition of financial assets with the obligation of their reverse alienation;
requirements of a credit institution (lessor) for financial lease (leasing) operations.
As part of the credit risk, the following types of risks can be distinguished:
The risk of non-repayment of the loan means the risk of non-fulfillment by the borrower of the terms of the loan agreement: full and timely repayment of the principal amount of the debt, as well as payment of interest and commission.
The risk of delay in payments (liquidity) means the risk of delayed repayment of the loan and late payment of interest and leads to a decrease in the liquidity of the bank. The risk of delay in payments can be transformed into the risk of non-payment.
The risk of securing a loan is not an independent type of risk and is considered only when the risk of default on the loan occurs. This type of risk is manifested in the insufficiency of the income received from the sale of the loan security provided to the bank to fully satisfy the bank's debt claims to the borrower.
The credit default risk is preceded by the risk of the borrower's creditworthiness, which is understood as the inability of the borrower to fulfill its obligations towards creditors in general. Each borrower is subject to individual credit risk, which is present independently of the business relationship with the bank and is the result of business and capital structure risk.
Business risk covers all types of risks associated with the operation of enterprises (purchasing, production and marketing activities). But unlike the named types of risks that can be managed by the company's management, business risk is influenced by uncontrollable external factors, in particular the development of the industry and the situation. The magnitude and nature of the risk is largely determined by investment programs and manufactured products.
Capital structure risk is determined by the structure of liabilities and reinforces business risk.
By issuing a loan, the bank thereby increases the overall risk of the enterprise, since the use of borrowed funds increases, due to the effect of financial leverage, possible both positive and negative changes in the return on equity of the enterprise.
A feature of credit risk that distinguishes it from other types of banking risks is its individual nature. This circumstance largely determines the originality of the credit risk management methodology. When making a decision to issue a loan, the bank should focus not on assessing individual types of risk, but on determining the overall risk of the borrower. General risk is a combination of business risk and capital structure risk.
Credit risk concentration manifests itself in the provision of large loans to an individual borrower or a group of related borrowers, as well as as a result of the affiliation of the debtors of a credit institution either to certain sectors of the economy or to geographical regions or in the presence of a number of other obligations that make them vulnerable to the same economic factors.
Credit risk increases when lending to persons related to a credit institution (related lending), i.e. granting loans to individual individuals or legal entities that have real opportunities to influence the nature of decisions made by the credit institution on the issuance of loans and on lending conditions, as well as persons whose decision-making can be influenced by the credit institution.
When lending to related parties, credit risk may increase due to non-compliance or insufficient compliance with the rules, procedures and procedures established by the credit institution for considering applications for loans, determining the creditworthiness of the borrower(s) and making decisions on granting loans.
When lending to foreign counterparties, a credit institution may also face country risk and the risk of non-transfer of funds.
Level of credit risk depends on the type of loan provided by the bank. Depending on the timing of the loans are: short, medium and long-term; on the type of collateral: secured and unsecured; on the specifics of creditors: banking, commercial, state, etc.; from the direction of use: consumer, industrial, investment, seasonal, import, export; size: small, medium, large.
When developing a risk management policy, banks need to take into account that they are exposed to negative trends in the development of borrowers to a much greater extent than positive ones. Even with a favorable development of the economic situation of the borrower, the bank can count on receiving the maximum payments provided for in the contract, but if it is unfavorable, it risks losing everything. When making a lending decision, banks should take into account the possible negative development of borrowers to a greater extent than the positive one.
Banks should strive to detect and assess the risk of bankruptcy as early as possible in order to reduce lending in a timely manner and take adequate measures. Banks should not lend to borrowers who are at significant risk of bankruptcy. Therefore, it is necessary to correctly evaluate the loan offer provided by the potential borrower. First of all, you need to find out the reputation of the borrower. This is especially important for new clients. Then it is necessary to analyze whether the loan offer is realistic from an economic point of view, for which the bank should develop its requirements for the loan offer and bring them to the attention of the borrower. After analyzing the loan offer, the bank must determine how its loan portfolio will change with the advent of a new loan, whether this will lead to diversification of the loan portfolio, and, consequently, to a decrease in the level of the bank's overall risk, or, conversely, a new loan will lead to a concentration of the loan portfolio in one industry or on the same terms of payment, which will increase the level of risk. The next stage of credit risk assessment is the selection of financial information about a potential borrower, on the basis of which the bank assesses the borrower's creditworthiness, determines the possible volumes of lending, the amount and method of fixing interest rates, the maturity of loans, and the requirements for their security. At the same time, the bank should be guided by the fact that the higher its risk, the greater should be the profit of the bank.
Reducing credit risk is possible through the following measures:
Checking the solvency of a potential borrower;
Current control over issued loans;
Risk insurance;
Use of collateral, guarantees, guarantees;
Receiving a risk premium from the client;
Limitation of risk through certain standards established by the Central Bank.
2.2 Country risk
Country risk(including the risk of non-transfer of funds) - the risk of a credit institution incurring losses as a result of non-performance by foreign counterparties (legal entities, individuals) of obligations due to economic, political, social changes, as well as due to the fact that the currency of the monetary obligation may not be available to the counterparty due to for the peculiarities of national legislation (regardless of the financial position of the counterparty itself).
Numerous factors are taken into account when analyzing this risk, as country risk is a complex risk that includes economic and political risk. The economic risk depends on the state of the country's balance of payments, the economic system, the economic policy pursued by the state, especially restrictions on the transfer of capital abroad. The assessment of economic risk is usually made on the basis of national statistics. A distinctive feature of country risk is the complexity of its calculation and analysis, since in order to assess it, the bank needs to create a highly efficient, flexible and reliable data bank.
2.3 Market risk
Market risk- the risk of the credit institution incurring losses due to unfavorable changes in the market value of the financial instruments of the trading portfolio and derivative financial instruments of the credit institution, as well as the exchange rates of foreign currencies and (or) precious metals.
Market risk includes equity risk, currency risk and interest rate risk.
stock risk- the risk of losses due to unfavorable changes in market prices for stock assets (securities, including those securing rights to participate in management) of the trading portfolio and derivative financial instruments under the influence of factors related both to the issuer of stock assets and derivative financial instruments, and general fluctuations market prices for financial instruments.
Currency risk- the risk of losses due to unfavorable changes in the exchange rates of foreign currencies and (or) precious metals on positions opened by the credit institution in foreign currencies and (or) precious metals.
Interest risk- the risk of financial losses (losses) due to unfavorable changes in interest rates on assets, liabilities and off-balance sheet instruments of the credit institution.
The main sources of interest rate risk can be:
Mismatched maturities of assets, liabilities and off-balance sheet exposures and liabilities on instruments with a fixed interest rate;
Mismatch between the maturities of assets, liabilities and off-balance sheet claims and liabilities on instruments with a variable interest rate (repricing risk);
Changes in the configuration of the yield curve for long and short positions in financial instruments of one issuer, creating the risk of losses as a result of the excess of potential expenses over income when closing these positions (yield curve risk); for financial instruments with a fixed interest rate, provided that their maturity dates coincide - a discrepancy in the degree of change in interest rates on the resources attracted and placed by the credit institution; for financial instruments with a floating interest rate, subject to the same frequency of revision of the floating interest rate - a discrepancy in the degree of change in interest rates (basis risk);
The widespread use of option transactions with traditional
interest-bearing instruments that are sensitive to changes in interest rates (bonds, loans, mortgage loans and securities, etc.), giving rise to the risk of losses as a result of refusal to fulfill the obligations of one of the parties to the transaction (option risk).
The most exposed to interest rate risk are banks that regularly practice interest rate gambling for profit, and those banks that do not carefully forecast changes in interest rates.
There are two types of interest rate risk: positional risk and structural risk. Positional risk is the risk on any one position - on the percentage at this particular moment. For example, a bank has issued a loan with a floating interest rate, while it is not known whether the bank will make a profit or incur losses. Structural risk is the risk on the bank's balance sheet as a whole, caused by changes in the money market due to fluctuations in interest rates. Thus, interest rate risk affects both the balance sheet as a whole and the results of individual transactions.
The main causes of interest rate risk are:
incorrect choice of interest rate types (constant, fixed, floating, declining);
underestimation in the loan agreement of possible changes in interest rates;
changes in the interest rate of the Central Bank of Russia;
the establishment of a single interest for the entire period of use of the loan;
lack of a developed interest rate policy strategy in the bank;
incorrect definition of the cent of the loan, that is, the value of the interest rate.
Interest risk can be avoided if changes in asset returns are fully balanced by changes in fundraising costs. This is theoretical. However, it is practically impossible to achieve such a balance all the time, so banks are always exposed to interest rate risk.
Interest rate risk management includes the management of both assets and liabilities of the bank. The peculiarity of this management is that it has boundaries. Asset management is limited by credit risk and liquidity requirements, which determine the content of the bank's portfolio of risky assets, as well as price competition from other banks in the established loan cents.
Liability management is also hampered primarily by the limited choice and size of debt instruments, that is, the limited funds needed to issue a loan, and again price competition from other banks and lending institutions.
You can also reduce interest rate risk by conducting interest rate swaps. These are special financial transactions, the terms of which provide for the payment of interest on certain obligations at a predetermined time, that is, in essence, the parties entering into the contract exchange the interest payments that they must make. The exchange of interest payments on a fixed rate transaction occurs against a variable rate transaction. At the same time, the party that undertakes to make payments at fixed rates expects significant growth over the period of the variable rate transaction; and the opposite side - to reduce them. Then the party that correctly predicted the dynamics of interest rates wins.
2 . 4 Liquidity risk
Liquidity risk- the risk of losses due to the inability of the credit institution to ensure the fulfillment of its obligations in full. Liquidity risk arises as a result of an imbalance in the financial assets and financial liabilities of a credit institution (including as a result of untimely fulfillment of financial obligations by one or more counterparties of the credit institution) and (or) an unforeseen need for the credit institution to immediately and simultaneously fulfill its financial obligations.
2 . 5 Operational risk
Operational risk- the risk of losses as a result of non-compliance with the nature and scale of the activities of the credit institution and the requirements of the current legislation of the internal procedures and procedures for conducting banking operations and other transactions, their violation by employees of the credit institution and other persons (due to incompetence, unintentional or deliberate actions or inaction), disproportion ( insufficiency) of the functional capabilities (characteristics) of the information, technological and other systems used by the credit institution and their failures (disruptions in functioning), as well as as a result of the impact of external events.
2 . 6 Legal risk
Legal risk- the risk of a credit institution incurring losses due to:
non-compliance by the credit institution with the requirements of regulatory legal acts and concluded agreements;
committed legal errors in the implementation of activities (incorrect legal advice or incorrect drafting of documents, including when considering contentious issues in the judiciary);
imperfections of the legal system (inconsistency of legislation, lack of legal norms to regulate certain issues that arise in the course of a credit institution's activities);
violations by counterparties of regulatory legal acts, as well as the terms of concluded agreements.
2 . 7
Risk of loss of business reputation for a credit institution (reputational risk) - the risk that a credit institution will incur losses as a result of a decrease in the number of customers (counterparties) due to the formation in society of a negative perception of the financial stability of a credit institution, the quality of its services or the nature of its activities in general.
2 . 8 Strategic risk
Strategic risk- the risk of a credit institution incurring losses as a result of errors (shortcomings) made when making decisions that determine the strategy for the activities and development of the credit institution (strategic management), and expressed in the failure to take into account or insufficient consideration of possible dangers that may threaten the activities of the credit institution, incorrect or insufficiently substantiated identification of promising areas of activity in which the credit institution can achieve an advantage over competitors, the absence or incomplete provision of the necessary resources (financial, logistical, human) and organizational measures (managerial decisions) that should ensure the achievement of the strategic goals of the credit institution organizations.
3. The concept and methods of risk management in the activities of a commercial bank
3.1 The concept of risk management
What is hidden behind these words? Ways of influence of the managing subject on the managed object in order to minimize losses. In the case of a bank, we have ways to influence the bank on possible banking risks in order to minimize losses from their implementation.
A very important part of developing a risk strategy is the development of measures to reduce or prevent the identified risk. In general, the term hedging is used to describe actions aimed at minimizing financial risk.
It is in the development of basic approaches to risk assessment, determination of its acceptable level and development of an appropriate strategy that the main task of risk management or risk management lies.
To take into account the factors of uncertainty and risk, when assessing the feasibility of carrying out any risky activity or in the process of its implementation, all available information is used and, on its basis, possible ways of managing risks are considered.
Risk management methods are divided into analytical and practical methods. Analytical risk management methods are used as a tool for proactive risk management and allow you to develop forecasts and risk management strategies before the start of the project. The main task of analytical risk management methods is to identify risk situations and develop measures aimed at reducing the negative consequences of their occurrence. The tasks of analytical methods of risk management also include the prevention of risk situations.
Practical methods of risk management are designed to reduce the negative result of risk situations that have arisen in the course of implementation. As a rule, they are based on analytical methods of risk management. At the same time, practical methods of risk management are the basis for creating an information base for risk management and the subsequent development of analytical methods.
There are the following risk management methods:
a) avoidance (avoidance) of risk;
b) risk limitation;
c) risk reduction;
d) transfer (transfer) of risk, including insurance;
e) risk acceptance.
Within the framework of these methods, various strategic decisions are applied aimed at minimizing the negative consequences of decisions made:
risk avoidance;
retention (limitation) of risk;
self-insurance;
distribution of risks;
diversification;
limiting;
hedging;
insurance;
coinsurance;
double insurance; reinsurance
3.2 Bank risk management methods
1. Risk avoidance. Development of strategic and tactical decisions that exclude the occurrence of risk situations, or the refusal to implement the project.
2. Retention (limitation) of risk. Delimitation of the system of rights, powers and responsibilities in such a way that the consequences of risky situations do not affect the implementation of the project. For example, the inclusion in the contract for the supply of equipment of the conditions for the transfer of ownership of the delivered goods upon receipt by the customer.
3. Self-insurance. Creation of reserves to compensate for the consequences of risky situations. Self-insurance acts in monetary and in-kind forms, when a self-insurer forms and uses a monetary insurance fund and (or) reserves of raw materials, materials, spare parts, etc. in case of unfavorable economic conditions, delayed payments by customers for delivered products, etc. The procedure for using the funds of the insurance fund in terms of self-insurance is provided for in the charter of an economic entity. The market economy significantly expands the boundaries of self-insurance, transforming it into a risk fund.
4. Distribution of risks. Organization of project management, providing for collective responsibility for the results of the project.
5. Diversification. Reduction of risks due to the possibility of compensating for losses in one of the areas of the enterprise's activity with profits in another.
Diversification is widely used in financial markets and is the basis for managing portfolio investments. It has been proved in financial management that portfolios consisting of risky financial assets can be formed in such a way that the total risk level of the portfolio is less than the risk of any individual financial asset included in it.
6. Limitation. Establishing limit values for indicators when making tactical decisions. For example, limiting the amount of expenses, setting export quotas, etc.
The most convenient and applicable way to limit risks is to set limits on financial results. If it is decided that the maximum level of losses is limited, for example, to the amount of 500 thousand dollars, then all limits in the integrated calculation should correspond to this parameter. The use of limits widely used in international practice, such as stop-loss, stop-out, take profit and take out, allows you to effectively control the level of losses.
7. Hedging. Insurance, reducing the risk of losses caused by changes in market prices for goods that are unfavorable for sellers or buyers in comparison with those that were taken into account when concluding the contract.
Hedging ends with a buy or sell. The essence of hedging is that the seller (buyer) of a commodity enters into a contract for its sale (purchase) and at the same time carries out a futures transaction of the opposite nature, that is, the seller concludes a transaction for the purchase, and the buyer - for the sale of the commodity.
Thus, any change in price brings sellers and buyers a loss in one contract and a gain in another.
As a result of this, they generally do not suffer a loss from the rise or fall of the prices of commodities, which are to be sold or bought at future prices. To confirm the validity of classifying transactions with financial instruments of futures transactions as hedging transactions, the taxpayer submits a calculation confirming that the performance of these transactions leads to a decrease in the amount of possible losses (loss of profit) on transactions with the hedging object.
8. Insurance.
The most common insurance is bank credit risks. The objects of credit risk insurance are bank loans, obligations and guarantees, investment loans. If the loan is not repaid, the lender receives an insurance indemnity that partially or fully compensates for the amount of the loan.
9. Coinsurance.
Insurance of the same insurance object by several insurers under one insurance contract.
If the co-insurance contract does not define the rights and obligations of each of the insurers, they are jointly and severally liable to the insured (beneficiary) for the payment of insurance compensation under the property insurance contract or the sum insured under the personal insurance contract. In certain cases, the insured may act as an insurer in respect of its own deductible deductible. And sometimes insurers participating in co-insurance require that the insured is a co-insurer, that is, he holds a certain share of the risk on his responsibility.
In co-insurance, a joint or separate insurance policy may be issued based on the share of risk accepted by each co-insurer and fixed in the sum insured.
10. Double insurance.
Insurance with several insurers of the same type of risk. 11. Reinsurance.
Activities for the protection by one insurer (reinsurer) of the property interests of another insurer (reinsurer) associated with the obligations of insurance payment accepted by the latter under the insurance contract (main contract). An insurer accepting a risk for insurance that exceeds its ability to insure such a risk.
Relations are formalized by an agreement under which one party - the reinsurer, or assignor - transfers the risk and the corresponding part of the premium to the other party - the reinsurer, or assignee. The latter undertakes, in the event of an insured event, to pay for the part of the risk assumed. Risk transfer operations are called cessions.
In turn, the reinsurer can transfer part of the risk for reinsurance to the next insurance company. In this case, the reinsurer acts as a retrocedent, the new insurance company is called a retrocessionary, and the risk transfer operation is called a retrocession.
Reinsurance relations involve two types of contracts - for the reinsurance of all received risks, regardless of their size, and for the reinsurance of only certain "excessive" risks.
Distinguish between compulsory reinsurance, based on the conclusion of an agreement with the assignee on the mandatory acceptance of reinsurance of all the risks of the company, facultative, suggesting the possibility of refusing to reinsure certain risks, and facultative-mandatory in the form of a combination of the first and second.
Reinsurance is carried out on the basis of a reinsurance agreement concluded between the insurer and the reinsurer in accordance with the requirements of civil law.
Along with the contract of reinsurance, other documents applicable on the basis of business practices may be used as confirmation of the agreement between the reinsurer and the reinsurer.
Conclusion
Any form of human activity is associated with a variety of conditions and factors that influence the positive approach of decisions. No business activity is without risk. The main place is occupied by financial risk. The greatest profit is brought by financial transactions with increased risk. However, the risk must be calculated up to the maximum allowable limit.
Financial risk is understood as the probability of unplanned losses, shortfall in planned profit. Financial risk arises in the process of financial and economic activities of the organization. A variety of financial risk is banking risk.
Financial risk is an objective economic category. And this economic category represents an event that may or may not occur. If such an event occurs, three economic outcomes are possible:
Negative (loss, loss);
Null;
Positive (gain, benefit).
Risk is the probability of losing something. For a bank, financial risk is the risk of losing money. Huge amounts of money pass through banks and thousands of transactions are made, therefore, loss prevention is one of the main tasks of the bank, the more opportunities for the bank to make a profit, the greater the risk of losing invested funds.
Banking activities are subject to a large number of risks. Since the bank, in addition to the function of business, has the function of social significance and a conductor of monetary policy, knowledge, identification and control of banking risks is of interest to a large number of external stakeholders: the National Bank, shareholders, financial market participants, customers.
Consideration of the most well-known types of risk showed their diversity and complex nested structure, that is, one type of risk is determined by a set of others. The above list is far from exhaustive. Its diversity is largely determined by the ever-increasing range of banking services. The variety of banking operations is complemented by a variety of customers and changing market conditions. It seems quite natural to want to be not only the object of all kinds of risks, but also to bring a share of subjectivity in the sense of influencing the risk in the implementation of banking activities.
Bibliography
risk credit bank expense
1. Letter of the Central Bank of the Russian Federation No. 70-T dated June 23, 2004 “On Typical Banking Risks”
2. Law of the Russian Federation “On Banks and Banking Activity” No. 395-1 dated December 2, 1990 (as amended on December 6, 2011 No. 409-FZ).
3. Law of the Russian Federation “On the Central Bank of the Russian Federation (Bank of Russia)” No. 86 dated July 10, 2002 (as amended on October 19, 2011 No. 285-FZ).
4. Banking: textbook / Ed. G.N. Beloglazova, L.P. Krolivetskaya - M.: Finance and statistics, 2008.
5. Banking: textbook / Ed. IN AND. Kolesnikova, L.P. Krolivetskaya - M.: Finance and statistics, 2009.
6. Balabanov I.T Financial management: textbook - M.: Finance and statistics, 2008.
7. Money, credit, banks: textbook / Ed. G.N. Beloglazova - M.: Yuray Publishing House, 2009.
8. Money, credit, banks. Express course: textbook / Ed. O.I. Lavrushina - M.: Knorus, 2010.
9. Kovalev V.V. Course of financial management: textbook. - 3rd ed.-M.: Prospect, 2009.
10. Lavrushin OI and others Banking: textbook. - M.: Knorus, 2009
11. Starodubtseva E.B. Fundamentals of banking: Textbook. - M.: Forum: Infra-M, 2007.
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Chapter 1 Theoretical foundations for the analysis and management of financial risks in the activities of commercial banks.
1.1 The essence of financial risks and their importance in the activities of commercial banks.
1.2 Basic principles of classification of financial risks in the banking sector.
1.3 Description of the general principles for creating an effective risk management system in a commercial bank.
Chapter 2 Analysis of the financial risk management system of commercial banks in the course of operations in the interbank financial market.
2.1 Fundamentals of the functioning of the interbank financial market.
2.2 Methodological approaches to a comprehensive assessment of the financial condition of commercial banks.
2.3 Comparative characteristics of the main methods for assessing the financial condition of commercial banks used in Russian practice
Chapter 3 Improving the methodological foundations of financial risk management in commercial banks in the course of operations in the interbank financial market.
3.1 Characteristics of the methodology for assessing interbank financial risks.
Introduction to the thesis (part of the abstract) on the topic "Management of financial risks in the activities of commercial banks"
Relevance of the topic. The development of the banking business and the offer of new banking products takes place in an environment of uncertainty in the formation of the final results of activities (i.e., profit or loss), which, on the one hand, increases the riskiness of banking operations, and on the other hand, affects the volume of lending to the economy.
As an integral part of the Russian financial and credit system, the banking system is affected by general and specific financial risks. These risks are due to the need to manage funds attracted from clients and the presence on the balance sheet, along with highly liquid and quickly realizable assets (securities), such assets as loans and deposits that cannot be instantly realized.
Commercial banks of Russia in modern conditions are becoming full members of the international business community, for this, starting from October 1, 2004, the Central Bank of the Russian Federation introduced mandatory reporting under IFRS, and since 2006 plans to completely switch to international reporting standards.
Thus, at present, effective financial risk management in credit institutions is required, and there is a need to form a unified regulatory and methodological framework for risk management and a comprehensive assessment of the financial condition of partner banks. The function of the regulator and chief risk manager was assumed by the Central Bank of the Russian Federation, which organizes the management of the banking system through supervision, using the so-called "risk-oriented" approach. The fundamental document is the Regulation of the Central Bank of the Russian Federation of December 16, 2003 No. 242-P “On the Organization of Internal Control in Credit Institutions”, according to which credit institutions are required to control the banking risk management process on an ongoing basis, using financial management methods. In practice, the functions of controlling financial risks in credit institutions are delegated to specialized banking divisions, which develop intra-bank regulations and constantly monitor the risks taken.
At the same time, the guidelines proposed by the Central Bank of the Russian Federation are clearly insufficient for creating an effective financial risk management system. In this regard, banking organizations, relying on the methodological base of the Central Bank of the Russian Federation, using the richest world experience in financial risk management, develop their own methodological approaches to assessing and managing risk, taking into account national and industry specifics of financial management and the rationality of the applied management methods. Thus, for the successful development of the risk management system in commercial banks and increasing their competitiveness in the financial market, the issues of creating a unified regulatory and methodological framework for managing financial risks are brought to the fore.
Insufficient development of the theoretical and regulatory framework, a small number of scientifically based and practically tested methods of financial risk management in credit institutions in relation to the current stage of development of the banking system and financial management in Russia predetermined the choice of the topic, goals, objectives and main directions of the study.
Purpose and objectives of the study. The purpose of the dissertation research is to improve the financial risk management system of commercial banks, taking into account the specifics of their operations through the use of modern financial management methods and the development of practical recommendations for banks to identify, assess, record and monitor financial risks in operations in the interbank financial market.
Realization of the set goal predetermined the need to solve the following tasks:
Clarify the essence of financial risks, determine their place in the system of entrepreneurial risks;
Summarize methods for identifying risks and criteria for classifying financial risks in the activities of commercial banks;
Research and evaluate the effectiveness of individual methods of financial risk management in the implementation of commercial bank operations;
Substantiate the proposed classification of bank limits as one of the main methods for managing the financial risks of credit institutions;
Justify the need for the formation and adjustment of financial reserves by banks, taking into account the diversification of risk and the quality of the banking portfolio for operations in the interbank financial market, as well as develop practical recommendations for managing reserves using the methods of economic and mathematical analysis, the Monte Carlo method and the methodology of UAYA and ILYAOS.
Subject and object of research. The subject of the study is the methodological foundations for managing the financial risks of commercial banks. The object of the study is the financial risks arising from the implementation of banking activities.
Theoretical and methodological foundations of the study.
The theoretical basis of the study was the works of domestic and foreign scientists on the theory and practice of risk management: Algina
A.P., Balabanova I.T., Belykh L.P., Blanka I.A., Bora M. Z., Voronina D.
V., Ershova M. B., Lukasevich I. Ya., Maslachenkova Yu. S., Panovoy G. S., Polyaka G. B., Sevruk V. T., Sokolinskaya N. E., Shirinskaya E. B.
As a methodological basis of the study, a systematic approach, methods of generalization and comparison, analysis and synthesis, the method of grouping, mathematical modeling, the method of historical and logical analysis, as well as risk management models used in practice by modern foreign and Russian banks were used.
The methodological foundations for assessing the financial risks of credit institutions are well developed in foreign economic literature, therefore, the thesis widely used the works of such economists as Altman E.I., Merton R.C., Joseph F., Sinkey Jr.
The information base of the study was legal acts and recommendations, conference materials, financial statements of Russian commercial banks, and official statistics. In the process of research, the author studied the instructive, methodological and regulatory documents of the Bank of Russia on the control and regulation of commercial banks, as well as the materials of the Basel Committee on Banking Supervision and Regulation.
Of particular interest were the practical developments of Western analytical companies and banks in the field of risk management "Bankers Trust", "Chase Manhattan" and "J.P. Morgan". Electronic information materials were also used.
Scientific novelty. The scientific novelty of the study lies in the development and testing of a methodology for managing financial risks and creating reserves for commercial bank operations in the interbank financial market, clarifying the definition of financial risks, substantiating the proposed classification of risks and limits in the Russian banking system. The following results containing scientific novelty were obtained in the work:
Modern approaches to the disclosure of the essence of financial risks are summarized, the definition of this category is clarified, elements of the financial risk management system are identified;
The methods of financial risk management are identified, the criteria for the formation of limits in commercial banks are determined;
An assessment of the effectiveness of the use of domestic and foreign methods of financial risk management in the activities of credit institutions is given;
Developed and tested a methodology for managing financial risks in commercial banks' operations in the interbank financial market, containing new approaches to determining the volume of incurring obligations of counterparty banks based on the analysis of the net balance and determining the market value of assets;
Criteria for assessing the financial condition of banks in the post-Soviet space, taking into account national characteristics, are proposed, based on the universal grouping of balance sheet accounts regulated by international financial reporting standards;
The size of reserves for possible losses on transactions in the interbank financial market, which are used to effectively manage financial risks by applying the Monte Carlo method, the methodology of the UAYA and the CAER, are substantiated.
Practical significance. The dissertation describes the financial risk assessment methods used in credit institutions. The practical significance of the study lies in the development by the author of his own methodology for assessing the financial condition of commercial banks to take the risks of counterparty banks and form reserves. The methodology can be demanded by banks in the process of limiting operations in the domestic or external interbank financial market, both in terms of national charts of accounts, and in the context of the transfer of Russian reporting to IFRS. The paper also formulates proposals for the classification of risks and limits of credit institutions when performing transactions with partner banks. The dissertation materials can be used in the educational process in the preparation of students in the specialty "Finance and Credit".
Approbation of the results of the study was carried out in CB "Medinvestbank" and JSCB "Interprombank" in the implementation of financial analysis and subsequent monitoring of the financial condition of Russian counterparty banks, work on operations in the interbank financial market.
The main provisions of the dissertation are set out in 5 articles with a total volume of 2.8 p.p., including the author's contribution of 2 p.p.
The dissertation consists of an introduction, three chapters, a conclusion, a list of references and applications.
Dissertation conclusion on the topic "Finance, monetary circulation and credit", Shumsky, Andrey Aleksandrovich
IV. Conclusions and offers
After the decision to open limits has been made, the structural subdivisions of risk management carry out monthly monitoring of the financial position of banks.
According to the results of monitoring, which is carried out on the basis of financial statements for each reporting month, the bank's management is informed about the following indicators: the size of the current limit, the volume of the risk limit, the synthetic coefficient of the financial position, the risk of insolvency, the dynamics of active and passive operations, the characteristics of capitalization (sufficient, low, upward, low, high), bank development forecast (positive, neutral, negative). Based on the monitoring results, conclusions and proposals are also made on changing the amounts and terms of limits, or on their possible opening or closing.
In addition, in accordance with the regulation of the Central Bank of the Russian Federation of March 26, 2004 No. 254-P "On the procedure for the formation by credit institutions of reserves for possible losses on loans, on loans and equivalent debts", banks calculate the risk group for possible losses on loans and determine the amount of reserves based on the motivated judgment of analytical units. The reasoned judgment is based on the results of monthly monitoring of the financial condition of counterparty banks.
The proposed methodology allows you to create your own intra-bank rating of counterparty banks, compare it with existing ratings and analyze the position of your own bank in comparison with banks similar in terms of assets and capital.
I would like to summarize the main points that fundamentally distinguish the proposed method for assessing the financial condition of a commercial bank from other banking methods. The complexity of the comparison is determined by the fact that banks prefer not to disclose their methodological approaches, but, as a rule, disclose only the final results.
1. The developed methodology is close to international reporting standards, and, as is known, the Central Bank of the Russian Federation, since 2005, in parallel with Russian standards, obliges banks to prepare financial statements in accordance with IFRS in accordance with the letter of the Central Bank of the Russian Federation 181-T On methodological recommendations “On the procedure for compiling and presentation of financial statements by credit institutions”. Thus, a commercial bank, using the proposed methodology, can painlessly begin to analyze the financial position of counterparty banks that prepare statements in accordance with international standards. In addition, the practice of cooperation with the banks of Kazakhstan, Belarus and Ukraine, made it possible, on the basis of the above methodology, to refine it and apply it to assessing the financial condition and determining limits for banks in these regions. Appendix 7 presents an analysis of the financial condition of Kazkommertsbank (Kazazstan), based on the reporting on the national chart of accounts.
2. Calculation of net assets is based on the method of netting balances on some accounting accounts. The accounts of interbranch turnovers (ZOZA and ZZZP), accounts of budgetary funds, accounts of bank claims for interest (20319, 20320, 32501, 32502, 40311, 459, 47427) and deferred income from credit operations (32801, 47501, 61303) are offset. , the bank's obligations to pay interest (accounts 31801-31804, 47411, 47426, 47606-47609) and deferred expenses on credit operations (accounts 32802 and 47502).
3. The introduced concept of net assets and net liabilities, on the basis of which banks are identified as net creditors and net borrowers, makes it possible to differentiate the risk of solvency and the amount of risk taken.
4. The own working capital is taken as the basis for calculating the maximum and settlement limit. It should be clarified that basically all methods in other banks use the amount of equity calculated according to the instructions of the Central Bank of the Russian Federation as the basis for calculating the limit and adjust it for the state of liquidity. The indicator of own working capital, in contrast to the requirements of the Central Bank of the Russian Federation, takes into account not only the amount of losses incurred and immobilized assets in the form of fixed assets on the balance sheet, but also problem debt. In this regard, it should be noted that the following are classified as problematic:
Overdue debt (accounts 20317, 20318; 32401, 32402 (minus 32403), 40310, from 45801 to 45817 (minus 45818), 50505 (minus 50506, 50507);
Doubtful debt (accounts 47408; 51501, 51502, from 51506 to 51509, 519, (minus accounts 51510 and 51910), from 512 to 514, from 51608 to 51609.51808.51809);
Uncollected debt on factoring and guarantee operations (accounts 47402 minus 47401 and 60315).
5. In addition, the size of the limit also depends on the net capital of the bank, and if its negative value exceeds its own working capital, the stop indicator comes into effect and the limit is not set.
6. Calculation of coefficients, risk groups and risk qualification based on the developed coefficient analysis. Such a classification of insolvency risk as minimal, low, moderate, increased, high was introduced, and the classification of interbank liabilities was given as standard, non-standard, doubtful, dangerous and hopeless. These categories of classification are used by analysts of other departments when determining the amount of provisions created for loan debt, which is ultimately reflected in the profitability of the bank. In addition, the coefficient analysis allows not only to weigh and evaluate individual active and passive operations, but also to show the sources of funding for active operations, their urgency, indicate the sources of repayment of possible losses, the degree of diversion of own funds into non-current assets, reveal the bank's ability to satisfy creditors' claims within a reasonable time, as well as to determine what part of the assets is non-risk, to identify the ratio of the risk of operations and their profitability.
7. The originality of the methodology lies in the distribution of assets by the degree of decreasing liquidity and determining the size of discounts in the same order, which leads to the formation of the net capital of the bank or the market value of assets, which are used in the assessment of regional banks in the event of their purchase or merger.
8. Based on the methodology, a bank development forecast is determined, which is communicated to other departments that provide non-treasury products to partner banks (for example, when issuing plastic cards or opening Nostro accounts).
9. The generalized analysis data based on the methodology made it possible to evaluate two main indicators - the risk and profitability of operations, and to prove that the risk is not always justified, and its increase does not always adequately affect the profitability.
10. Stop indicators have been introduced, in the presence of which the bank is not considered as an applicant, which greatly facilitates the work of analysts, especially in branches. The stop indicator is applied when the value of the synthetic coefficient is from 0 to 40, when classifying the risk of insolvency as high.
I. Own capital is taken as the basis of the risk of insolvency, since it is he who, performing a protective function, allows the bank to withstand in case of crisis situations. Insufficiency of capital entails not only financial risks, but also reputational risks, as it shows that the owners of the bank are not interested in increasing capital, carry out risky operations and have intentions in the limited life of the bank. 12. The methodology has been repeatedly tested in practice, which is especially significant in that the bank using it was able to avoid losses during the so-called "banking crisis of confidence" in the summer of 2004, suspending operations with such banks as JSCB "Credittrast", JSCB " Dialogue-Optim”, JSCB “Merit Bank”, JSCB “Style Bank”. For example, the analysis of financial data and the calculation of risk ratios for CB "Dialogue-Optim" showed a greater dependence of the bank on interbank requirements, maintaining liquidity through mutual lending in the interbank market, low liquidity, a significant package of illiquid securities, against dependence on resources in the form deposits of individuals, a low payment ratio and a growing negative cost of net worth. Thus, the bank was assigned a negative development outlook.
3.2 Creation of economically justified reserves for operations in the interbank financial market.
The result of applying the developed methodology is the formation of a limit on interbank transactions, as well as a quantitative assessment of the risk of the obligation of the counterparty bank, expressed by the risk ratio.
However, along with limiting, commercial banks also use other risk management methods for transactions in interbank financial markets. This paper presents a methodology developed by the author for calculating the necessary economic capital to cover the financial risks of a bank when operating in the interbank financial market.
The risk of a portfolio of assets placed on the interbank market lies in the probability of losses associated with a possible default of the borrower. To assess these losses, we use two indicators: expected (average) losses for the portfolio and unexpected (maximum) losses.
Expected losses are a function of the default probability of counterparty banks and the value of assets at risk that will be irretrievably lost as a result of the default of a particular bank. Such losses are predictable, relate to the costs of this type of activity and are reimbursed through the pricing mechanism for the services provided. To estimate the amount of expected losses, the indicator of the average probability of default of counterparty banks and the average share of the return of funds are used.
Unexpected losses reflect the spread of losses around their expected value (volatility), and the size of these losses is determined by the joint distribution of default probabilities of counterparty banks, taking into account the value of assets at risk. These losses can no longer be included in the cost of instruments and are compensated by the equity reserve, the cost of formation and maintenance of which, in turn, is compensated by the profitability of the services provided, adjusted for risk. To assess unexpected losses, the correlation indicator between the spread of losses for various counterparties around their average values is used.
Thus, the default probability of a counterparty bank is determined by its rating, that is, the risk ratio (probability of losses) calculated from a qualitative analysis of the bank and can take values from 1 to 100%. Then the expected loss on an individual asset is defined as the product of the probability of loss and the value of the asset at risk:
ЕЫ = Аг * Рг (6) where ЕЫ - expected losses,
A1 - the value of the asset at risk, determined by adjusting the value of the asset by the amount of partial recovery of value in the event of default, for example, through the sale of collateral, the execution of guarantees, etc.
M is the probability of loss.
Then the expected losses on the portfolio of assets are equal to the sum of the expected losses on a separate asset: N YAi*Pi
7) j=i where ELp - expected portfolio losses.
Further, it should be noted that within the framework of this methodology, unforeseen losses on a portfolio of assets are defined as the excess of the maximum possible losses on a portfolio of assets, at a reliability level of 99%, over the expected losses of the portfolio. In this case, the maximum losses for the portfolio are determined taking into account the correlation of assets included in the portfolio.
This follows from the following points:
1. The maximum loss probability for an individual asset included in the portfolio can be determined by estimating the empirical loss probability distribution function of this asset using the Value at Risk method, that is, finding the maximum loss probability (VAR) with a given probability (confidence level): where Р - the maximum value of the loss probability distribution density function,
1 - SS - confidence level.
The confidence level is set at 99%, according to the recommendation of the Basel Committee on Banking Supervision.
2. To simulate the empirical loss probability distribution function for a separate asset, it is proposed to use the Monte Carlo Method, that is, random processes are simulated by a pseudo-random method with given
Vxob(VAR>P) = \-a (8) with parameters: the mathematical expectation of the loss probability and the standard deviation of the probability. At the same time, these indicators are calculated based on the dynamics of changes in the rating of the counterparty's bank (probability of loss) based on retrospective data.
3. Then the maximum level of losses for an individual asset is found by multiplying the corresponding value of the VAR by the value of the asset at risk:
Maxy \u003d L * UASH
9) where MAXY - the maximum level of losses / assets with a given confidence level,
VAS - the maximum probability of loss / asset, A1 - the value I of the asset at risk.
3. The value of the maximum losses for the asset portfolio MaxLp, taking into account the correlations of changes in the ratings of counterparty banks, is found as the square root of the product of the column vector (i.e. the transposed row vector) of the maximum individual losses, the correlation matrix and the row vector of the maximum individual losses:
Max Max1\ Max4 1
K\,n-\ Kr,n-\
L-1.L n- \, n 1 y.\MaxTs. MachTs. MaxT (10) where MaxI - the maximum level of losses I of the asset with a given confidence level,
K is the correlation coefficient between the respective assets.
MaxLp is the maximum loss for a given portfolio of interbank financial assets with a given level of confidence. Thus, the amount of funds required to cover unforeseen losses (Credit VaR) can be determined:
CreditVaR - MaxLp - ELp (11)
Credit VaR reflects the required amount of the equity reserve against unforeseen losses with a given level of confidence.
The implementation of this technique is carried out as follows:
1. At the first stage, the ratings of counterparty banks and risk ratios are determined, the obligations of which are included in the portfolio. The values are determined for the last year, that is, for the last 12 reporting dates. The choice of this period of the retrospective range is due to the peculiarities of banking activities and the structure of the interbank financial market. In our opinion, it is precisely with this range that it is possible to determine with sufficient reliability the main trends in the development of the bank and identify its problem areas. The choice of a longer period of analysis is not optimal due to the influence of historically distant data on the final indicator.
Let's analyze the portfolio of assets of a commercial bank at risk, worth 5,870 USD LLC, with the following structure:
Conclusion
Risk, being a historical and economic category, initially had a mathematical expression, and then was already transferred as a choice of the optimal solution to certain aspects of social and economic life.
Financial risks arose along with the advent of monetary circulation and the "borrower-creditor" relationship. Adam Smith was the first to single out "risk payment" in the structure of entrepreneurial income in the form of compensation for the possible risk associated with entrepreneurial activity. Other scientists, including Russian ones, have further developed the theoretical foundations of risk.
Having studied various approaches to the definition of financial risks, we found that risk is associated with action, with choice, and there is a deviation from the goal. Thus, the characteristic features of risk are uncertainty, probability and action.
Having studied and summed up the opinions of Western and Russian scientists, we have refined the definition of financial risks in the activities of credit institutions as follows: external and internal factors of development in the conditions of uncertainty of the economic environment.
This definition reflects the basic concepts that characterize the category of risk (uncertainty in decision-making, the likelihood of a negative or positive situation, and links the risk with the activities of a credit institution and the influence of independent factors on it). A new point in the above definition is the probability of earning income.
To account for and manage banking risks, it is necessary to classify them. Risk classification means the systematization of a set of risks on the basis of any features and criteria that allow combining risk subsets into common concepts. To clarify the classification of risks, we have developed a number of our own criteria that the risk system must satisfy: compliance with the purpose of a particular organization, attitude to regulation, terms of the transaction, convenience of the risk system, belonging to active or passive operations.
All scientists involved in risk management issues offer their own classifications, however, they proceed from the characteristics of banking risks proposed by Peter S. Rose, who identifies six main types of risk (credit, unbalanced liquidity risk, market, interest, risk of shortfall in profits , the risk of insolvency) and four additional risks (inflationary, currency, political, risk of abuse).
After analyzing various forms and types of risk classification, we found that each bank is characterized by the main types of risks named above, but at the same time, each credit institution has its own set of risks, depending on the specifics of its activities (for example, banks specializing in retail, innovations, interbank operations, servicing foreign trade operations).
We believe that the classification of banking risks should be based on a general risk map, and each credit institution refines and supplements it depending on the profile of its activities.
Once the classification of risks has been determined, they can be managed. The risk management system is a scientific and methodological set of measures for managing a credit institution, aimed at identifying and assessing risk, using specific techniques and methods in order to create conditions for the sustainable functioning of the bank, maximize equity capital, meet the requirements of the bank's customers and partners and ensure its profitability. activities.
The risk management system is aimed at ensuring an optimal ratio between the profitability of banking operations and their riskiness, maintaining liquidity at a sufficient level while optimizing the volume of profits, and meeting equity capital adequacy standards.
The risk management system in relation to banking risks performs methodological, analytical, regulatory, and control functions. The functions are performed through the stages of financial risk management: identifying the risk and the causes of its occurrence, assessing the risk and possible losses, making a decision on accepting or rejecting the risk, implementing regulatory actions on the risk by using management methods (monitoring, setting standards and limits, diversifying operations , formation of a sufficient level of reserves to cover losses, hedging), organization of the process of control and monitoring.
One of the main profitable operations of banks is operations in the interbank financial markets. Operations carried out by banks in the interbank financial markets are divided depending on the entity with which the operations are carried out, and by the type of operation. Participants of the interbank financial market provide each other with interbank loans or deposits, carry out conversion transactions and banknote transactions, urgent transactions (Forex, Spot), transactions with securities, account for and avalize promissory notes of counterparty banks, carry out documentary transactions (issuance and acceptance of bank guarantees (guarantees) confirmation of uncovered letters of credit) and REPO operations.
In the interbank financial market, banks manage payment risk and liquidity risk, for which they develop special methods for assessing the financial condition of counterparty banks in order to reduce the risk of failure by the counterparty bank to fulfill its obligations on time and in full, increase turnover in the interbank financial market by increasing the volume of operations and expanding the reliable circle of banks, and, consequently, increasing profitability.
In world practice, various methods for assessing the financial condition of counterparties are used, the most famous of which is the American CAMELS system. These methods are based on the assessment of the financial condition of the bank according to selected criteria, which ultimately come down to the analysis of capital adequacy, liquidity, asset quality, risk assessment and management quality. However, the applicability of Western methods in Russian practice is not always possible and justified, which is due to the peculiarities of the development of the Russian banking sector and the specifics of the functioning of the financial markets of Russia and Western countries.
The paper studies Russian methods of analyzing the financial condition of banks, reveals their advantages and disadvantages. Since they do not assess the risk of accepting an interbank obligation and are not suitable for monitoring the financial position of a counterparty bank, the paper proposes a method developed and tested in practice for calculating the limit on interbank transactions. The purpose of the methodology is to quantitatively and qualitatively assess the bank's credit risk arising from transactions in the interbank financial market and the securities market. Quantitative risk assessment involves the calculation of the general (cumulative) limit for accepting monetary obligations of the counterparty bank for credit operations and non-credit operations - foreign exchange, operational, market, etc. Qualitative assessment involves the definition of a risk group.
In the methodology, the process of analyzing the financial condition of the bank is divided into several stages: the formation of the consolidated balance sheet of the bank, the net structure of assets and liabilities, determining the amount of the net capital of the bank, determining the size of the limit for accepting monetary obligations of the counterparty bank and drawing up an analytical report on the financial condition of the counterparty.
The methodology is close to international reporting standards, which is confirmed by the practice of cooperation with banks in Kazakhstan, Belarus and Ukraine.
As one of the methods for calculating indicators, the method of netting accounts of individual accounting accounts is proposed. The concept of net balance, introduced into the practice of analysis, makes it possible to identify banks as net creditors and net borrowers, the risk of solvency for which is different. The limit is calculated from the bank's own working capital and the bank's net capital.
Based on the coefficient analysis, the risk group is determined, the qualification of the risk of insolvency is derived, and the classification of the interbank liability is given. In the future, these data are used by analysts from other departments of the bank when determining the amount of provisions for loan debt. The ratio analysis also shows the sources of funding for active operations, their urgency, determines the sources of repayment of possible losses, the degree of diversion of own funds into non-current assets, reveals the bank's ability to satisfy creditors' requirements with the help of liquid assets within a reasonable time, and also determines which part of the assets is represented by non-risk ones, determines the ratio of the risk of operations carried out to their profitability.
Based on the methodology, a bank development forecast is determined, which is communicated to other departments that provide non-treasury products to partner banks (for example, when issuing plastic cards or opening Nostro accounts).
The introduced stop indicator filters applicant banks before analysis, which greatly facilitates the work of analysts, especially in branches. Equity capital is taken as the basis of the risk of insolvency, since it, performing a protective function, allows the bank to withstand in case of crisis situations. Insufficiency of capital entails financial and reputational risks, as it shows that the owners of the bank are not interested in increasing capital, carry out risky operations and have intentions in the limited life of the bank.
To assess the possible losses of a commercial bank when operating in the interbank financial market, two indicators of losses are used: expected and unexpected. This division is due to the different economic significance of these indicators:
Expected losses are a forecast value and are charged to the expenses of this type of banking activity; for their assessment, the value of the risk coefficient for a particular bank, calculated according to its latest rating, is used.
Unexpected losses are characterized by the maximum possible loss for each asset, and to determine such losses for the portfolio, correlations between the ratings of counterparty banks are taken into account. These losses are compensated at the expense of own capital, which is formed from the profitability of banking activities.
To determine the value of the maximum loss for an individual asset, the Monte Carlo method of modeling random processes is used.
An analysis of the maximum losses for the relevant asset makes it possible to identify the most risky borrowers and form additional requirements for limits for a particular counterparty bank.
In the developed methodology, unforeseen losses on a portfolio of assets are defined as the excess of the maximum possible losses on a portfolio of assets, at a reliability level of 99%, over the expected losses of the portfolio. At the same time, in order to take into account correlations between changes in bank ratings, a correlation matrix is built that takes into account the relationship between changes in the corresponding ratings of banks.
To characterize the amount of own funds required to cover unforeseen losses in the portfolio, the Credit VaR indicator is used, which reflects the total risk of the portfolio. To assess the portfolio risk and individual values for each financial asset, taking into account their return, we propose to use the RAROC (Risk Adjusted Return on Capital) indicator, which determines the risk-adjusted return on capital. Comparing the value of this indicator for each asset with the value for the portfolio, a conclusion is made about the profitability of an asset relative to the average value.
The RAROC indicator is used when comparing the profitability and riskiness of various types of bank activities, to determine priority areas for development and identify the most problematic areas in the current activities of a credit institution.
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124. Share of IBC in assets (million rubles)
125. Name of the bank 01.01.2001 01.01.2002 Change from the previous year 01.01.2003 Change from the previous year 01.01.2004 Change from the previous year Change from 01.01.01
126. IBC Share in Assets, % IBC Share in Assets, % IBC Share in Assets xv% IBC Share in Assets, %
127. Alfabank 19,305.40 17.80 18,299.40 18.60 -5.21% 38,919.90 27.00 112.68% 8,229.70 4.60 -78.85% -57.37%
128. Bank of Moscow 3,044.00 7.10 3,453.90 5.50 13.47% 10,599.00 11.10 206.87% 1,392.20 1.00 -86.86% -54.26%
129. Rosbank 1,818.00 4.00 5,213.50 7.80 186.77% 5,101.30 7.70 -2.15% 5,088.30 4.50 -0.25% 179.88%
130. PSB 2,101.00 9.40 4,954.10 15.20 135.80% 6,981.00 14.80 40.91% 735.80 1.10 -89.46% -64.98%
131. Uralsib 1,887.50 19.00 2,426.30 10.10 28.55% 6,923.10 15.80 185.34% 3,177.00 4.90 -54.11% 68.32%
132. City 17,378.00 55.70 19,646.50 50.00 13.05% 28,999.80 49.60 47.61% 3,844.80 6.30 -86.74% -77.88%
133. Nikoil 1,136.90 21.70 1,777.00 16.20 56.30% 3,914.10 17.40 120.26% 1,357.40 4.10 -65.32% 19.39%
134. Transcredit 581.90 8.50 386.30 4.10 -33.61% 625.80 4.00 62.00% 1,615.00 5.60 158.07% 177.54%
135. Rus. Standard 284.80 23.10 313.00 9.30 9.90% 1,393.70 24.80 345.27% 25.20 0.20 -98.19% -91.15%
136. Vanguard 1,187.80 24.10 1,325.60 20.80 11.60% 1,387.90 15.40 4.70% 793.30 5.40 -42.84% -33.21%
137. KMB 1,307.50 76.20 3,016.80 80.90 130.73% 3,178.90 59.20 5.37% 742.20 9.50 -76.65% -43.24%
138. IBRD N.D. N.D. 574.50 5.60 N.D. 1,497.60 14.20 160.68% 1,038.60 5.00 -30.65% N.A.
139. Nizhegoro PSB 20.60 0.70 87.50 2.50 324.76% 558.30 11.10 538.06% 119.20 1.90 -78.65% 478.64%
140. VTB 17,185.20 15.50 45,488.20 30.40 164.69% 43,148.30 24.50 -5.14% 29,088.00 11.30 -32.59% 69.26%
141. MDM 10,294.10 40.80 14,644.10 44.50 42.26% 28,696.20 35.20 95.96% 6,012.70 5.70 -79.05% -41.59%
142. Menatep 2,179.30 9.70 2,643.70 9.80 21.31% 4,479.70 12.30 69.45% 556.40 1.50 -87.58% -74.47%
143. Petrocommerce 951.60 8.50 2,217.90 9.70 133.07% 4,044.50 12.60 82.36% 680.50 1.50 -83.17% -28.49%
144. Zenith 649.00 7.20 1,763.80 10.50 171.77% 2,515.70 11.30 42.63% 1,558.90 5.20 -38.03% 140.20%
145. Nomos 1,699.00 23.60 3,193.40 22.60 87.96% 3,685.70 19.20 15.42% 2,313.10 7.50 -37.24% 36.14%
146. Promsvyazbank 316.20 5.50 962.80 8.20 204.49% 1,733.50 7.50 80.05% 3,286.20 8.80 89.57% 939.28%
147. Commerzbank 1,187.20 43.80 5,262.00 78.00 343.23% 12,318.10 81.80 134.10% 2,854.40 10.80 -76.83% 140.43%
148. Absolute 663.60 30.10 862.00 25.60 29.90% 1,103.40 26.50 28.00% 797.10 9.30 -27.76% 20.12%
149. Omsk PSB 6.70 0.30 21.60 0.80 222.39% 132.30 3.50 512.50% 30.10 28.80 -77.25% 349.25%
150. Cedar n.d. n.a. 25.00 1.20 N.D. 72.10 2.70 188.40% 10.60 0.20 -85.30% N.A.
151. Yeniseisk. United Bank N.D. n.a. 53.50 6.90 N.D. 45.90 3.20 -14.21% 340.80 22.00 642.48% n.a.
152. Southern trade n.d. n.a. n.a. I.D. N.D. 118.40 13.70 n.d. n.d. | N.D. N.D. n.a.
153. Share of borrowed interbank loans in liabilities (million rubles)m 91.91.ZWS 1.91.2004 1.99.2 004 91.97.2004
154. MBK Dm** p-M MBK 1! i- Dm * "Shsavi Lmash Pu Sh "n- t MBK Dm" "1. MBK thousand" t<. %% щиН. %% тые.»т«. шитС. %%
155. VTB 175 917446.00 431 483.00 0.25% 256 938 146.00 52 284 783.00 20.35% 286 599 909.00 61 080594.00 21.31% 299 632 771.00 628
156. R"<«ы« (б 049 501,00 5 101 345.00 7.72% 113 025 322,00 7 348 338.00 6,50% 111 765 021.00 8 857 019,00 7,92% 116 760 862,00 5 893 622,00 5,05%
157. MDM 81 579480.00 28 696 150.00 35.18% 105 564 798.00 41 388 045.00 39.21% 116 448 561.00 50321287.00 43
158. MMB 79,343,036.00 6,505,902.00 8.20% 83,774,375.00 9,293,067.00 11.09% 94,001,775.00 9,647,271.00 10.26% 90,853 654.07 13
159. CITY 58 507 923.00 28 999 797 00 49.57% 61 ose 9bb,oo 23 751 545.00 38.94% 59 447 2 52.00 18 248 704.00 30.70% 65 566 485.00 195.00 %
160. Pprvtm. 32,155,277.00 4,044,499.00 12.58% 44,320,135.00 1,074,843.00 2.43% 46,656,990.00 7,939,652.00 17.02%
161. DNB 31 519432.00 2 084 091.00 6.61% 25 010341.00 12 639734.00 50.54% 29 592 619.00 13 006174.00 43.95% 28 649 690.00 17.60 12 803
162. Trikkuedagt 15 581 201.00 625 751.00 4.SE% 28 949978.00 751 613.00 2.60% 5 284 669.00 2 499 236.00 47.29% 26 930 707.00 1 44.5% 55.00
163. K "M" RCBAZh 15 067 036.00 12 318 145 00 81.76% 26482448.00 22 968 666.00 86.73% 25 135 665.00 18 445 885.00 73.39% 23 827 444.00 20 269 085.00 85.07%
164. AzhBa* « 14 957 52\.00 V 209066.03 8.08% 22.012621.00 1 854 159.00 8.42% 30 588 215.00 1 405 093.00 4.59% 32 782 600.00 70.350 1 096
165. IBRD 10,542,230.00 1497,558.00 14.21% 20,838,454.00 1,825,949.00 8.76% 17,196,732.00 2,859,802.00 16.63% 18,923,907.00 35.700 35.700 35.700
166. RBR 6443 381.00 635 780.00 9.87% 7 994 726.00 1 919482.00 24.01% 6 730017.00 794 280.00 11.80% 1 236 061 00 816 236.00 66.04%
167. M*<ж^феа.бамг 6121 401.00 384 272.00 6.28% 10 312 066.00 1 775 230,00 17^2% 9221 311.00 143 626,00 1.56% 9 238 218.00 1 277 246.00 13.83%
168. M Ruesk. Spp. 5612638.00 1393748.00 24.83% 15404308.00 5175951.00 33.60% 21744137.00 8914687.00 41.00% 22486393.00 9370 41.7%
169. A(yazht 5 182 552.00 1 103 378.00 21.29% 8 530 242.00 2 480112.00 29.07% 10 036117.00 2 714 341.00 27.05% 9 768 009.00 60.423
170. Nyakhpgm LSB 5,032,782.00 558,346.00 11.09% 6,147,379.00 900,467.00 14.65% 6,880256.00 882,894.00 12.83% 129,371.00 440 417.0%
171. UBRD 4,739,376.00 26″, 578.00 5.58% 7,782,346.00 386,376.00 4.96% 9 SE6,221.00 1,341,572.00 14.86% 140469.00 465,855.00 5.72%
172. UVTB 4,552,616.00 1,256,419.00 27.60% 6,287 8 97.00 917,885.00 14.60% 6350835.00 807,416.00 12.71% « 156,735.00 682,089.00 11.08%
173. Ch'-ya 4,288,528.00 38,822.00 0.91% 6,262,523.00 160,904.00 2.57% 7,334,512.00 246,605.00 3.36% 7,318,071.00 173,829.00 2.38%
174. Tshrpshm E 481,508.00 206,621.00 5.93% 5,065,311.00 129,399.00 2.55% 7,268,222.00 87,113.00 1.20% 7,296462.00 87,244.00 1.20%
175. Ripvzh 3,377,820.00 2,312,353.00 68.46% 4,508,710.00 E 129,551.00 69.41% > 959,612.00 3,583,031.00 60.12% 5,462,633.00 4,083,823%
176. E 247 886.00 508 427.00 15.65% 3 556438.00 237 117.00 6.67% 4 136722.00 512 095.00 12.38% 4 277 962.00 515 727.00 12.06% 31 3 022 788.00 506 804.00 16, 77% 5,103,606.00 1,338,416.00 26.22% 5,924,409.00 1,099,780.00 18.56% 6,262,289.00 1,210,388.00 19.33%
177. S K "" 2,661,199.00 72 14,000 2.71% 4,251,182.00 4,687.00 0.11% 5,503 V 64.00 9,562.00 0.17% 5,613,717.00 3,084.00 0.05 %
178. For"""< 2 345 970,00 6.00 0.00% 1 194 208.00 0,00 0,00% 1 951240,00 0,00 0,00% 1 735 353.00 0,00 0,00%
Yarov feet 1 615 578.00 0.00 0.00% 2 525 140.00 18 500.00 0.73% 2 437 695.00 25 200.00 1.03% 2 470914.00 5 190.00 0.21%
180. Eat. yoga<ж 1 429002,00 45 902,00 3.21% 1 545 861,00 102 431.00 6.63% 2 166 932,00 82 607.00 3,81% 2 518 141,00 77 549.00 3.08%
181. Mmp*pim 1 032 401.00 15 106.00 1.46% 1 227 331.00 11 48 9.00 0.94% 1 562 755.00 95 033.00 6.08% 1 452 148.00 99 152.00 6.83%
182. RNKB 987 787.00 YP 9^2.00 9.92% 145! 171.00 375 651.00 25.8-9% 144 140.00 20L 401.00 "7.87% 109* 293.00 150 600.00 17.42%
183. M Mo. Bayak Aer. 48 9 787.00 166 103.00 33.91% 678 891.00 299 607.00 44.13% 806 705.00 366 906.00 45.48% 802 695.00 434 570.00 54.14%
184. Khshmom 347,781.00 0.00 0.00% 518,422.00 0.00 0.00% 619,050.00 7,006.00 1.13% 606,737.00 18.00 0.00%
185. See* K.D. K.D. 23 952 106.00 4 375 413.00 18.27% 26 132 061.00 6 28 9 081.00 24.07%
186. Tsaium ^ dat te.*. I. A 16 586273.00 g 336,787.00 14.09% 12,356,910.00 1,309,775.00 10.60% 17 141 303.00 30 141.00 0.18%
187. Smipmg K. Ya. 5 026887.00 759 843.00 15.12% 6 592 587.00 583 1 65.00 8.85% 7 192 800.00 545 978.00 7.59%
188. Gch> "gm, Ya. Ya- k. Ya. 4,355,518.00 1,801,242.00 41.36% 4,326,320.00 1,755,320.00 40.57%
189. Taletteom. M.Ya. N-I-k.l. E 286593.00 2,091.00 0.06% 3,836,042.00 71,329.00 1.86%
190. Oi "-PSB *-I 5,238,108.00 94,119.00 1.80% I-I. I1 m.d. M-Ya Yap
191. Bask S-P 12 556221.00 1 751 731.00 13.95% 13 135 628.00 59*5 00! .00 4.54% 13,311,974.00 540,137.00 4.06%
192. A "" sch-" rd n-a. 14,561,385.00 2,137,203.00 14.68% 15,917,722.00 2,487,696.00 15.63% 14,799,139.00 I 438,286.00 9.72%
193. Consolidated calculation of the cost of banks as of 01.01.2003. (thousand rubles) Negative cost
194. Caik; assets net worth
195. Imnexbank 14,214,604.00 948,207.00 2,632,010.00 36.03% 80.44
196. Petrocommerce 32,155,277.00 ¡35,993.00 6,658,609.00 2.04% 80.00
197. Ak Bars 14957 521.00 561 617.00 3 110 049.00 18.06% 77.63
198. Chelind 4,288,528.00 138,911.00 710,314.00 19.56% 76.00
199. Northern Kasha 5,111,614.00 484,138.00 556,392.00 87.01% 74.25b Mosk. credit. bank 6,121,401.00 1,475,259.00 1,530,229.00 96.41% 73.50
200. ABN Amro 14,353,383.00 248,492.00 1,722,176.00 14.43% 72.81
201. Dialogue-optnm 6,807,965.00 267,413.00 1,311,192.00 20.39% 72.69
202. Nomos 19,246,695.00 436,983.00 4,407,281.00 9.92% 72.56
203. CITY 58,507,923.00 4,161,046.00 6,481,931.00 64.19% 72.13
204. Tssngr-Iniest 3,022,788.00 105,299.00 623,922.00 16.88% 71.56
205. Cedar 2,661,199.00 232,882.00 340,602.00 68.37% 71.31
206. Omsk-PSB 3,821,251.00 458,509.00 506,288.00 90.56% 70.81
207. Uralsib 43,706,733.00 3,191,944.00 8,630,698.00 36.98% 70.50
208. Me bo dok pal 1,032,401.00 132,365.00 135,932.00 97.38% 70.06
209. Sberbank 1,081,784,306.00 105,958,449.00 126,820,307.00 83.55% 70.00
210. Raiffeisen 42,477,183.00 4,710,646.00 2,882,405.00 163.43% 69.63
211. Gazprombank 153,554,763.00 21,498,911.00 20,288,783.00 105.96% 69.13
212. Regnobank! 896,529.00 164,402.00 174,890.00 94.00% 68.75
213. Russian. general, ball to 7 448 238.00 557 617.00 914 023.00 61.01% 67.81
214. Nikoy l 22,478,516.00 477,322.00 6,458,471.00 7.39% 67.56
215. UVTB 4,552,616.00 588,132.00 403,863.00 145.63% 66.13
216. Yarsotsbank 1,615,578.00 98,120.00 263,412.00 37.25% 65.81
217. Eurofinance 23,429,610.00 857,818.00 3,264,591.00 26.28% 65.75
218. Industry 23,223,869.00 3,653,534.00 2,772,942.00 131.76% 64.63
219. Tauride 3,481,508.00 160,439.00 720,994.00 22.25% 64.25
220. Metallinvest 4,892,235.00 245,284.00 1,324,290.00 18.52% 64.19
221. South Trade 863,160.00 65,347.00 168,092.00 38.88% 63.44
222. Gas bank 3,770,267.00 605,478.00 374,621.00 161.62% 61.88
223. District 2,345,970.00 37,539.00 382,189.00 9.82% 61.44
224. Menatep 36,287,136.00 6,721,055.00 2,763,731.00 243.19% 60.50
225. Intern rum 5,389,078.00 668,410.00 460,045.00 145.29% 60.44
226. RRRR 4,739,376.00 504,954.00 757,759.00 66.64% 60.13
227. Probusinessbank 7,478,249.00 675,798.00 1,089,693.00 62.02% 59.56
228. MDM 81,579,480.00 12,553,155.00 8,434,980.00 148.82% 59.50
229. Far East 2,340,647.00 216,252.00 28 6,363.00 75.52% 59.25
230. Veet LB 8,720,242.00 552,294.00 770,702.00 71.66% 59.19
231. Zenith 22,358,135.00 4,024,305.00 2,689,527.00 149.63% 58.50
232. Alpha 143,992,371.00 15,489,475.00 24,629,827.00 62.89% 57.88
233. PSB 47,057,414.00 7,072,911.00 4,114,093.00 171.92% 57.69
234. Bank of Moscow 95,425 ¡63.00 17,806,676.00 9,845,763.00 180.86% 57.19
235. KME 5,370,317.00 989,637.00 403,570.00 245.22% 57.00
236. Russian Standard 5,612,638.00 387,447.00 1,255,385.00 30.86% 56.75
237. Cr.Lions 7,267,571.00 539,341.00 1,359,633.00 39.67% 53.69
238. IMB 79,343,036.00 8,891,200.00 4,758,857.00 186.83% 51.19
239. Traccredit 15,581,201.00 1,087,709.00 2,504,439.00 43.43% 50.8848 div 31,519,432.00 6,936,832.00 5,174,138.00 134.07% 50.00
240. Rosbank 66,049,501.00 12,012,962.00 10,292,005.00 116.72% 48.061. Positive value
241. Buy* actins COST capital rate/capital ray 1 msh
242. RNKB 987,787.00 206,272.00 406,173.00 50.78% 83.13
243. VTB 175,917,446.00 ¡2,966,413.00 57,095,912.00 22.71% 82.06
244. Rossslkhoz 9,015,884.00 2,055,471.00 3,799,000.00 54.11% 81.63
245. Kras Bai k 3,247,886.00 381,874.00 1,030,728.00 37.05% 79.50
246. Cr. Swiss 9,765,813.00 2,160,074.00 2,192,849.00 98.51% 76.63
247. Orgres 5,037,038.00 979,836.00 1,880,929.00 52.09% 76.44
248. IBRD 10,542,230.00 616,475.00 2,856,420.00 21.58% 76.38
249. RDB 6,443,381.00 3,984,620.00 5,356,279.00 74.39% 76.31
250. Int. Bank Azerbaijan 48U 787.00 230,522.00 315,797.00 73.00% 75.75
251. P Absolute 5,182,552.00 348,133.00 1,304,814.00 26.68% 75.63
252. Nizhny Novgorod PSE 5,032,782.00 133,446.00) 372,991.00 9.72% 73.06
253. Yong not. merged I 429,002.00 42,139.00 286,979.00 14.68% 71.81
254 Deutsche 12,279,807.00 846,478.00 2,717,684.00 31.15% 69.13
255. Ripablnk 3,377,820.00 192,498.00 820,062.00 23.47% 68.63
256. Khakassia 347,781.00 13,625.00 99,313.00 13.72% 66.81
257. Consolidated calculation of the cost of banks nl 01.01.2004 (thousand rubles)1. Returns: p.i.p. cost
258. The bank's assets by clearing the bank account. capital st/capshad ■ rating
259. Euro fi is ours; 20,256,318,134,259 3,388,683 3.96% 79.69
260. Imi ikeban k 15,989,714,889,206 3,032,982 29.32% 79.31
261. Northern Treasury 5 498479 390 191 670 627 58.18% 75.88
262. Petrocommerce 33,140,830 450,019 6,920,662 6.50% 75.25
263. Ak Bars 17,882,857 1,319,873 3,069,898 42.99% 75.06
264. Southern Trade 919,435 80,718 158,713 50.86% 74.63
265. Persons IND 4,673,695,256,168,752,678 34.03% 74.00
266. Xlr 3,098,018 230,290 374,828 61.44% 73.75
267. Raiffweisea 50,453,171 5,944,477 3,163,157 187.93% 72.38
268. CITY 51,597,856 2,872,916 7,459,951 38.51% 71.75
269. Regiobank 1,884,004,216,334,185,811 116.43% 69.25
270. Gazprombank 189,943,120 27,100,675 21,204,441 127.81% 68.94
271. Gazbank 4,630,884,567,257,428 2X0 132.45% 68.56
272. Menatep 41,614,352 6,605,050 3,453,093 191.28% 68.06
273. Dialog-optim 7,315,077,758,266 1,323,191 57.31% 67.13
274. AEN Amro 14,427,919,835,023 12,053,120 6.93% 66.88
275. Wem LB 8,989,872,428,695,902,892 47.48% 66.69
276. Uralsib 49,203,226 4,375,856 9,692,062 45.15% 66.56
277. Moscow credit, bank 6,827,362 1,041,686 1,537,045 67.77% 66.56
278. Commsbank 18,151,205 2,862,497,726 361,394.09% 66.56
279. UVTB 4,912,563,735,673,424,156 173.44% 66.25
280. Nomos 22,771,043 1,522,423 4,329,430 35.16% 65.88
281. Center-Invest 2,624,840,325,475 637,963 51.02% 65.56
282. Omsk-PS B 4,247,435,536,718,566,889 94.68% 64.56
283. Tavrichesky 4,374,629,326,473,735,720 44.37% 64.062
284. PS B 54,021,030 7,047,444 4,566,808 154.32% 62.25
285. Granscredit 18,866,984 1,470,137 2,688,172 54.69% 61.56
286. Alfa 156399740 17,980,934 24,352,572 73.84% 61.503 Yarsotsbank 1,574,780 100,412 278,920 36.00% 60.25
287. Promsvyaz 22,734,589 3,738,299 2,893,110 129.21% 59.94z: Intern rom 5,775,811,943 100,473,337 199.24% 58.31
288. Nikoil 23,932,849,463,845 6,236,692 7.44% 57.06
289. IBRD 20,672,592 2,272,622 2,996,253 75.85% 56.94
290. Zenith 24,349,036 4,202,709 3,067,571 137.00% 56.56
291. Bank of Moscow 109,772,211 19,564,759 10,854,449 180.25% 56.06
292. UBRD 5,541,361,724 262,750,397 96.52% 55.88
293. Far East 2,277,212,236,992 303,447 78.10% 55.06
294. IMB 79,987,432 8,667,995 4,842,397 179.00% 53.56
295. Rosbank 743,057,774 13,654,167 10,396,290 131.34% 53.25
296. KME 5,228,573,952,001 422,579 225.28% 53.00
297. MDM 86,017,884 17,023,631 8,418,642 202.21% 50.56
298. KrLione 8,751,688,882,994 1,380,027 63.98% 49.81
299. Vanguard 9,592,209,589,990 2,022,852 29.17% 48.75
300. DIB 40,869,440 11,631,691 6,088,619 191.04% 47.061. Positive value
301. Bap!| SG1 | "NM stonmisga: kishggal et-t'/kyashpal reshshi
302. VTB 204 793 35! 16,974,512 60,894,729 27.88% 91.63
303. Absolute 5,882,637 269,949 1,309,173 20.62% 83.38
304. Khakassia 318,779 30,116,101,300 29.73% 80.50
305. RNKB 1,352,464,203,111,503,491 40.34% 80.00
306 Russian Standard 5,987,606 207,596 1,800,542 11.53% 79.13
307. Kras Bank 2,982,457 201,245 1,049,851 19.17% 76.94
308. Cr. Swiss U 708,481 2,366,400 2,399,165 98.63% 76.63
309. Orgres 5,002,567,805,140 1,880,856 42.81% 76.00
310. Rosselkoz 9,940,940 1,527,011 3,972,082 38.44% 75.81
311. Lower City PSB 5,099,946 236,715 1,522,753 15.55% 74.81
312. Mszhd, Bank A 1srbay 612 17! 251,372 318,033 79.04% 71.50
313. Metal invest 5,153,161 76,966 1,326,831 5.80% 70.31
314. Deutsches 13,427,537,391,241 2,887,127 13.55% 69.69
315. Republic 3,501,415 74,092 811,202 9.13% 68.44
316. RDB 6,478,937 4,058,583 5,526,127 73.44% 64.00 full cost calculation
317. PvccK-General Bank 45,501.00 8,980,396.00 1,733,686.00 2.62% 77.08g VTB 77,509,552.00 344,930,292.00 65,479,209.00 118.37% 77.56e Slavinvest47 .00 8,084,840.00 1,379,296.00 48.69% 75.56
318. M metal invest 234,430.00 7,147,683.00 1,643,868.00 14.26% 75.50
319. Lnkshi 1 b78,550.00 40,909,723.00 9,395,102.00 17.87% 74.57
320. Probnnessbanks 1,599,937.00 12,272,186.00 1,771,135.00 90.33% 74.25
321. Petrik Mary 4,629,218.00 45,379,130.00 7,710,771.00 60.04% 74.00
322. I HRC S0 191.00 20,790,631.00 3,812,574.00 2.10% 73.44
323. Eurofshans 2,458,482.00 33,408,372.00 5,468,305.00 44.96% 73.13
324. Russian Standard 916,763.00 26,085,369.00 5,918,774.00 15.49% 70.38
325. I MDM 10509 221.00 113 133 806.00 10 834 859.00 96.99% 70.13
326. CITY 5,753,368.00 67,856,790.00 11,215,015.00 5 1.30% 69.38
327. My fiber cash 182,109.00 1,035,561.00 129,973.00 140.11% 68.75
328. Nomos 3,555,990.00 3,469,283.00 b 376,230.00 55.77% 68.25
329. Enis obed bank 90,544.00 1,941,023.00 306,541.00 29.54% 67.31
330. Rnnablnk 118,664.00 5,738,192.00 83S 307.00 14.21% 67.19
331. ASh 535,304.00 21,591,477.00 2,337,880.00 22.90% 66.56
332. Absolute 754,622.00 9,051,480.00 1,475,671.00 51.14% 66.56
333. VgetLB 158,087.00 I 471,314.00 I 053,378.00 15.01% 66.44
334. Exchange 6,804,229.00 40,955,467.00 4,732,613.00 143.77% 66.38
335. VTB 1,167,361.00 6,443,260.00 485,010.00 240.69% 66.25
336. Toljattihi mSap k 229,476.00 3,775,173.00 707,256.00 32.45% 65.7523 81
337. Rosbank 1Ya 510,700.00 118,029,052.00 1 2,394,486.00 14935% 63.69
338. Gazprombank 32,047,876.00 242,820,144.00 29,656,816.00 108.06% 63.31
339. Zenith 6,267,449.00 41,857,200.00 4,292,974.00 145.99% 62.44
340. Wash to redit. bank 1,974,300.00 9,265,673.00 2,022,255.00 97.63% 62.31
341. Chepiml 943,702.00 7,732,875.00 924,438.00 102.08% 62.0629 leagues 2,939,710.00 27,441,721.00 5,280,456.00 55.67% 62.00
342. Yarsotsbaik 296,661.00 2,390,511.00 263,770.00 112.47% 61.56
343. Alpha 15,757,394.00 162,571,040.00 31,451,640.00 50.10% 60.63
344. Tauride 747,754.00 6,951,162.00 1,169,135.00 63.96% 60.50
345. Menatep 2,052,578.00 23,324,673.00 3,303 1 51.00 62.14% 60.50
346. Imtksbaik 4,329,078.00 28,746,186.00 3,291,090.00 ¡3154% 60.19
347. BankS-P 1,977,622.00 14,151,477.00 ! 304,495.00 151.60% 60.0636
348. Uralsnb 7,586,136.00 75,128,150.00 12,481,616.00 60.78% 59.69
349. Ak Bars 5,131,252.00 32,141,559.00 3,780,322.00 135.74% 59.36
350. MME 16,407,587.00 103,425,215.00 7381,851.00 222.27% 59.13
351. Vanguard 1,152,890.00 ¡4,602,636.00 2,987,455.00 38.59% 58.63
352. Intern rum 1,216,636.00 8,509,545.00 729,616.00 166.75% 58.31
353. Gazbank 1,045,792.00 6,309,834.00 566,727.00 184.53% 57.25
354. Ce) credit 1,257,165.00 11,850,211.00 3,025,358.00 41.55% 57.19
355. IBRD 2,036,350.00 19,567,643.00 3,102,771.00 65.63% 55.75
356. Northern Kazhi 1,470,074.00 8,897,317.00 985,639.00 149.15% 54.56
357. Union 5,619,423.00 29,972,698.00 4,240,667.00 132.51% 54.00
358. Raiffeichem 11,773,479.00 72,179,227.00 5,592,680.00 210.52% 53.94
359. Bank of Moscow 23,773,261.00 134,822,790.00 13,504,731.00 176.04% 52.69
360. Kommsrnbank 5,172,000.00 27,307,781.00 1,394,725.00 370.83% 52.06
361. PSB 12,505,839.00 74,883,401.00 7,597,587.00 164.60% 51.56
362. RRRR 1,253,130.00 7,590,593.00 862,598.00 145.27% 51.13
363. KM B 1,657,630.00 8,880 165.00 677,318.00 244.73% 47.63
364. Kr.Lnonp 999 S65.00 8,300,827.00 1,352,207.00 73.94% 41.501. Positive value
365. S tsr shish B ««* assets cost sg-t/kaiital rating
366. RNKB 332 168.00 995 629.00 549 125.00 60.49% 78.19
367. Orgrzs 454,743.00 7,833,779.00 2,072,347.00 21.94% 77.25
368. Garant 127,053.00 3,838,157.00 957,383.00 13.27% 77.13
369. On account 175,850.00 1,456,742.00 552,284.00 31.84% 76.56
370. Krasbapk 326,458.00 4,054,688.00 1,262,985.00 25.85% 76.25
371. Rosselkhoa 544,553.00 16,976,250.00 4,923,232.00 11.06% 74.19
372. Morgan 1,008,882.00 5,552,232.00 1,301,063.00 77.54% 73.13
373 Deutsche 1,223,822.00 15,603,405.00 2,904,510.00 42.14% 72.88
374. Hakvssia 67,913.00 563,725.00 211,264.00 32.15% 68.81
375. To r. Vise 2 419 492.00 17019761.00 2912049.00 83.09% 68.13
376. RPR 4,046,598.00 6,775,840.00 5,912,534.00 68.44% 66.13
377. Int. Dzerbai Bank 85,281.00 1,053,378.00 325,961.00 26.16% 65.56
378. Nnzhegorod PSB 97,077.00 5,686,385.00 1,531,294.00 6.34% 60.06
379. Characterization of synthetic coefficients
380. Coefficient Coefficient name Coefficient purpose Interval Assigned Weight in final coefficient
381. CoeDDshgieitm depending on the interbank t.shk-l: Kmb
382. Km « The ratio of attracted SBS and client sources Correlation of the two main attracted sources of resources allows us to assess the balance of the bank's resource base<10% 10-25% 25-40% 40-50% >50% 50 75 100 25 0 03
383. Km b 0.ZChKmb1 + Kmb2) + 0.2*GKmb3 + Kmb4 > 0.15
384. CoeAAi ■ lent debt: Km
385. KszZ The share of problem loans in the total loan debt Characterizes the quality of the bank's loan debt<5% 5-10% 10-15% 15-20% >20% 100 75 50 25 0 0,25
386. Ksz 0.4 * Kp1 + PL5 * K (n2 + 0.25 * KszZ 0.15
387. KpeAAipneitm independence: K from
388. Knz 0.4 * (Knz1 + Ksh2) + 0.2 * KnzZ 0.2
389. Liquidity ratios: Yuis
390. KlkZ The share of highly liquid investments in assets Identifies what part of total assets is in risk-free instruments and instruments with a minimum level of risk<3% 3-5% 5-10% 10-15% >15% 0 25 50 75 100 0,2
391. Klk \u003d 0.4 * (Klk1 + Klk2) + 0.2 * KlkZ 0.2
392. Coefficients of balance stability: Kbu
393. Kbu2 The ratio of the difference between term investments and term sources to demand liabilities Estimates the degree of dependence of the bank's term investments on the most unstable obligations<0% 0-15% 15-30% 30-45% >45% 75 100 50 25 0 0,4
394. Kbu = 0.4 "(Kbu1 + Kbu2) + 0.2" KbuZ 0.2
395. Profitability ratios: Krn
396. Krn1 Profitability of own working capital Shows the efficiency of investing own working capital in the reporting period, and it is assumed that their value as a whole is of an inertial nature<0% 0-5% 5-10% 10-15% >15% 0 25 50 75 100 0,4
397. Krn \u003d 0.4 * Krn1 + 04 * Krn2 + P.Z "Krn.1 0.1
398. Synthetic coefficient K \u003d 0.15 * (Kmb + Ko) + 0.2 * (K1p + Clk + Kfu) + 0.1 * Krn
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