Оцінка втрат від кредитного ризику та моделювання ризику ліквідності банку
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Дата
2021-06
Автори
Олійник, Андрій Володимирович
Oliinyk, Andriy
Назва журналу
Номер ISSN
Назва тому
Видавець
Хмельницький національний університет
Анотація
Проаналізовано підходи до визначення поняття банківський ризик. Встановлено,що банки працюють в умовах високих кредитних ризиків результатом яких є значні обсяги непрацюючих кредитів. Проведено оцінку втрат від кредитного ризику за сценаріями компромісної та агресивної позиції ризикового кредитування. Використано модель стрес-тестування ліквідності Ван Ден-Енда, як інструмент для виявлення негативного впливу ринку і фінансових шоків ліквідності. Визначено та обґрунтовано загальну тенденцію співвідношення буферу ліквідності до дефіциту ліквідності з врахуванням ризику та зроблено прогноз на майбутній період.
The recent crisis in the banking system has shown that the functions of banking risk management have not been given sufficient attention. This jeopardized the efficiency of the entire domestic banking system. Insufficient efficiency of the risk assessment and modeling system in domestic banks has led to a number of negative consequences for the Ukrainian economy as a whole. Therefore, the problem of developing scientific and methodological approaches to the assessment and modeling of banking risks is relevant and of practical importance. The purpose of the article is to assess credit risk losses, model liquidity risk of banks and develop practical recommendations for the introduction of modeling of liquidity risk in the activities of domestic banks. Approaches to defining the concept of banking risk are analyzed. It is established that banks operate in conditions of high credit risks which result in significant amounts of non-performing loans. Credit risk losses were assessed according to the scenarios of compromise and aggressive risk lending position. The Van Den-End liquidity stress testing model was used as a tool to identify negative market effects and financial liquidity shocks. The general tendency of the ratio of liquidity buffer to liquidity deficit taking into account the risk is determined and substantiated and the forecast for the future period is made. We found that the efficiency of the bank's loan portfolio is low. However, there is a dynamic increase in the efficiency of the bank's loan portfolio from 0.00982 at the beginning to 0.09447 at the end of the year. This trend is positive. According to the results of the simulation, we found that with a sufficient amount of liquidity buffers of assets in JSC "PrivatBank" their quality remains low, because the share of secondary reserves in the bank is critically low. The bank is state-owned and is constantly refinanced on the interbank credit market. This allows the bank to work only on the first stage of the scenario of this model. The bank is practically protected from risk shocks by government securities.
The recent crisis in the banking system has shown that the functions of banking risk management have not been given sufficient attention. This jeopardized the efficiency of the entire domestic banking system. Insufficient efficiency of the risk assessment and modeling system in domestic banks has led to a number of negative consequences for the Ukrainian economy as a whole. Therefore, the problem of developing scientific and methodological approaches to the assessment and modeling of banking risks is relevant and of practical importance. The purpose of the article is to assess credit risk losses, model liquidity risk of banks and develop practical recommendations for the introduction of modeling of liquidity risk in the activities of domestic banks. Approaches to defining the concept of banking risk are analyzed. It is established that banks operate in conditions of high credit risks which result in significant amounts of non-performing loans. Credit risk losses were assessed according to the scenarios of compromise and aggressive risk lending position. The Van Den-End liquidity stress testing model was used as a tool to identify negative market effects and financial liquidity shocks. The general tendency of the ratio of liquidity buffer to liquidity deficit taking into account the risk is determined and substantiated and the forecast for the future period is made. We found that the efficiency of the bank's loan portfolio is low. However, there is a dynamic increase in the efficiency of the bank's loan portfolio from 0.00982 at the beginning to 0.09447 at the end of the year. This trend is positive. According to the results of the simulation, we found that with a sufficient amount of liquidity buffers of assets in JSC "PrivatBank" their quality remains low, because the share of secondary reserves in the bank is critically low. The bank is state-owned and is constantly refinanced on the interbank credit market. This allows the bank to work only on the first stage of the scenario of this model. The bank is practically protected from risk shocks by government securities.
Опис
Ключові слова
банк, ризик, крединний ризик банку, ризик ліквідності банку, bank, banking risks, bank credit risk, non-performing loans, bank liquidity risk, credit risk losses, bank liquidity risk modeling
Бібліографічний опис
Олійник А. В. Оцінка втрат від кредитного ризику та моделювання ризику ліквідності банку / А. В. Олійник // Вісник Хмельницького національного університету. Економічні науки. – 2021. – № 3. – С. 323–332.