The Role of Mandatory Reservation of Deposits in Banking Risk Management
Sustainable activity of commercial banks is possible subject to timely payments of clients and return of the funds owed to them. For this, the bank must always have a certain amount of funds on its correspondent account and in the cash desk. Consequently, part of the attracted deposits must be reserved and kept as an emergency reserve, which to some extent can reduce the risk of losses during deposit operations.
NS. PRONSKAYA,
Associate Professor of the Department of Corporate Finance and Banking, VolSU
Reasonable and helpful
The effective activity of banks is impossible without its reasonable regulation with the help of economically justified restrictions. Commercial banks are very active in working with legal and individuals in terms of the accumulation of their free cash resources and the subsequent placement of these funds in income-generating, but risky assets, therefore, this process must be carefully regulated.
Speaking about the rationality and usefulness of reserving a part of the resources attracted by banks, one cannot ignore the topic of the safety of deposits. The very essence of the deposit contains the risk of loss, since the deposit is the amount of money deposited; received by one person from another on terms of return. From the point of view of the safety and repayment of loans Money the most obvious danger is credit risk, which is associated with the failure of the borrower to fulfill its obligations to the lender (bank) on the timely return of the loan received and payment of the due interest for it. By handing over their savings to the bank, depositors are at risk. Nevertheless, it should be recognized that banks also have risks associated with deposits, in particular:
Loss or abuse of deposits from individuals and legal entities;
Incorrect or excessive crediting of funds to clients' deposit accounts;
Excessive interest expenses due to erroneous calculations or irrational attraction of "expensive" resources associated with the need to urgently fulfill obligations by the bank to creditors;
Uncompensated or excessive payments of funds from deposit accounts;
Incorrect assessment or shortage of commissions for services on deposit operations;
Loss of documents and / or the ability to keep records of deposit transactions due to the destruction of accounts;
Payment of funds to an inappropriate person due to falsified or incorrect documentation;
Loss of funds on deposits due to incorrect accounting of transactions.
The above risks are rather technical in nature and, with proper organization of the internal control and internal audit system, can be reduced to zero. To prevent and minimize them, it is important to know the prerequisites that cause the risk of deposit safety, the actual situation in the work of banks with deposits, to be able to assess the level of risk of deposit operations both for a commercial bank and for its customers, to identify opportunities for early detection of prerequisites for the risk of loss of deposits and ways preventing it. In addition, it is necessary to take into account that any mistake in the bank's work can cause distrust on the part of the owners of monetary resources, i.e. the bank risks reducing its resource base. And this circumstance may already signal a threat to the very existence of the bank.
Why large banks are pursuing risky policies
To make payments on time and in full and fulfill their obligations to customers, banks are hindered primarily by the large volumes issued by them. long-term loans related companies, even if they are dominated by sources of cash resources in the form of short-term liabilities. That's why,
Faced with serious liquidity problems even with solvency in the medium term, banks are forced to raise new funds to pay off current liabilities, mainly by raising deposit rates.
Such an unsafe approach to lending and deposit operations is not so rare, including in Russia. Larger banks are more likely to pursue risky policies and tolerate deterioration of balance sheet indicators in the hope that the state will not allow them to go bankrupt because of their size, or out of confidence that the scale of their activities will allow them to overcome short-term problems on their own.
The American economist J.F.Sinki gives examples of government support for large banks1. In particular, he analyzes the situation when the right
1 reference
For the first time, the reservation of part of the attracted resources began in the United States of America in the first half of the 20th century, and the reservation procedure is constantly being improved and changed. The maximum absolute value of the reserve for American banks is 10% of the volume of deposits with additional adjustments when calculating the amount of the reserve.
the government, represented by the Federal Deposit Insurance Corporation in 1984, rescued Continental Illinois under the “too big to fail” bank statement, injecting $ 4.5 billion into it at a cost of $ 1.1 billion. in the same time, the United States experienced 7 of the 10 largest bank crashes. The third largest cost - $ 2.3 billion - was the 1991 collapse of the Bank of New England.
This position of the state is explained by a difficult decision (and possibly wrong) - to apply in this case the Darwinian theory of the survival of the best. The American government was intimidated by the prospect of a social explosion. State aid to the largest banks set a precedent for other banks. It was necessary to mitigate the danger of financial panic and limit the possibility of "contagion". JF Sinky notes: “Megabanks like the doctrine of“ too big to let it go bankrupt, ”because to them it means“ too clever to pay ... ”2. Ultimately, taxpayers' money is channeled to fix the problems of large banks.
In working with deposits, a potential risk arises when banks are forced to overpay to depositors for borrowed funds in the form of a premium for their additional risk, or when funds are not available. If funds are readily available to banks and cheap, then the risk of deposits is negated. Dependence of large banks on clients who have placed large amounts
in deposits, affects the risk of the bank's liquidity. Small banks do not have this risk, since they do not have large liabilities to several clients. A respectable client, as a rule, chooses a large bank or keeps large sums in temporary investments. If they lose confidence in the bank, clients immediately withdraw large deposits, and the bank has problems with payments on obligations. Often, in such a situation, a bank is forced to raise interest rates on deposits in order to attract the necessary resources or prevent an outflow of available funds. Consequently, dependence on large depositors means the bank's vulnerability to deposit outflows, especially early. In such a situation, the stabilizing effect is achieved due to the available reserve.
The transformations in the banking sector, consolidation, restructuring and the facts of bankruptcy have increased the importance of deposit operations of commercial banks in strengthening their financial positions and gaining customer confidence. But the issues of the effectiveness of the banks' deposit policy, the optimal ratio of the attracted resources and the banks' equity capital, their ability to place depositors' funds in active operations with minimal risk remain relevant.
Logically, we come to the conclusion that the risk of safety of deposits is closely related to the risk of active operations in which the bank directs the attracted resources. If the assets are capable of easily accepting monetary form, then the bank has no difficulty in fulfilling its obligations to return deposits. The usual balance equation: A = O + K reflects the relationship between the size of assets (A), liabilities (O), including deposits, and the bank's capital (K), or the relationship between asset risk and deposit safety risk.
Thus, the above reasons explain why banks need to keep some part of the attracted resources as an “emergency reserve”, and mandatory reserve requirements are an important instrument of monetary policy. The Central Bank in the field of reducing the risk of insolvency of commercial banks.
How the borrowed resources are reserved
In the former Soviet Union, the first instructions on the reservation of part of the deposits appeared in early 1990, when the first commercial banks were formed and there was still a unified coordination of banking activities on the part of the State Bank of the USSR. The requirement was that 5% of the balances on the settlement accounts of enterprises should be transferred to a special account in the appropriate branch of the USSR State Bank (for example, in a republican office). In 1991, the amount of deductions to reserves increased to 12% and was differentiated depending on the term of the deposit.
After the completion of the process of sovereignty and the introduction of the national currency in the CIS countries, the activity of commercial banks with foreign currency intensified - soft (currencies of the CIS countries - tenge, soms, sums, hryvnia, etc.) and hard (currencies of distant
1 Sinky JF Financial Management at commercial banks... - M .: Catallaxy, 1994 .-- S. 197, 216-218, 476.
2 Ibid - p. 218.
abroad - US dollars, Deutschmarks, francs, pounds). During this period, reserve requirements were already charged on the entire deposit base in both national and foreign currencies recalculated at the official exchange rate, i.e. data were taken from the consolidated balance sheet of the bank. The calculation of the amount of reserves was carried out once a month, according to the balance sheet as of the 1st day. Funds exceeding the amount in comparison with the previous calculation were transferred to a special account additionally, the amount of the reduction was returned to the commercial bank from the Central Bank.
MARYASIN A.M. - 2007
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Banking risk is an inherent possibility (probability) of incurring losses and (or) deterioration of liquidity due to the occurrence of adverse events associated with internal factors and (or) external factors (changes in the economic conditions of the credit institution, technologies used, etc.).
Credit risk is the risk of non-payment by the borrower (issuer) of the principal debt and interest due to the lender (investor) within the period established by the terms of the issue of the security (bonds, certificates of deposit and savings certificates, promissory notes, government obligations, etc.), as well as on preferred shares ( in terms of fixed obligations to pay dividends). A source of credit risk within this definition is an individual, specific borrower.
Credit risk is the likelihood of a decrease in the value of a part of a bank's assets, represented by the amount of loans issued and acquired debt obligations, or that the actual return on this part of assets will be significantly lower than the expected calculated level. In this case, the source of credit risk is the bank's loan portfolio as an aggregate of credit investments. "
Insurance of the risks of deposits in the Russian Federation is carried out in accordance with the Federal Law "On Insurance of Individual Deposits in Banks of the Russian Federation" No. 177-FZ dated December 23, 2003 (hereinafter referred to as the Law or the Law on Deposit Insurance).
Individuals' funds placed in deposits and accounts in banks registered in the territory of the Russian Federation are subject to insurance. Some of the exceptions are listed below.
Deposit insurance is carried out by virtue of the said Law and does not require the conclusion of an insurance contract. In order to manage the deposit insurance system on the basis of the law on deposit insurance, in January 2004, the Russian Federation created a state corporation - the "Deposit Insurance Agency" (hereinafter - the Agency, DIA or GC DIA).
Insurance indemnity for deposits in the bank, in respect of which the insured event occurred, is paid to the depositor in the amount of 100% of the amount of deposits in the bank, but not more than 700,000 rubles. (for insured events)
Deposits in foreign currency are translated at the exchange rate of the Central Bank as of the date of the insured event.
The amount of compensation is 700,000 rubles. on all deposits and accounts in one bank. Deposits in different banks are insured independently of each other.
After payment of insurance compensation, the depositor's rights of claim on the deposit in excess of the amount of guarantees are satisfied in the course of bankruptcy proceedings in the first stage of creditors. The depositor's claim rights for the amount of insurance payments made are transferred to the Deposit Insurance Agency.
If the depositor received a loan from a bank in respect of which an insured event occurred, then the amount of insurance compensation is reduced by the amount of the bank's counter claims against the depositor as of the date of revocation of the license.
An insured event is the revocation of the Bank of Russia license for banking operations from the bank.
Payments to depositors begin no later than 14 days after the occurrence of the insured event.
Payments are made either at the Agency's office (if the total amount of payments and the number of depositors is small), or through one or more authorized banks - DIA agents, as well as by mail. The specific payment procedure is determined separately for each insured event.
Insurance exclusions
Not subject to insurance:
1) funds on the accounts of individuals engaged in entrepreneurial activities without the formation of a legal entity, lawyers, notaries and other persons, if such accounts (deposits) are open for the implementation of entrepreneurial or relevant professional activities provided for by federal law;
2) bearer deposits;
3) funds transferred to the bank for trust management;
4) deposits in foreign branches of Russian banks;
5) money transfers without opening an account;
6) funds on unallocated metal accounts.
The financial basis of the system is the compulsory deposit insurance fund (hereinafter referred to as the Fund). The main sources for the formation of the Fund are the property contribution of the state, insurance premiums banks and income from investment of the Fund.
Insurance premiums are the same for all banks participating in CERs and are payable by the bank on a quarterly basis. The rate of insurance contributions of banks to the Fund is established by the Board of Directors of the Agency and is currently 0.1% of the average amount of insured deposits of individuals with the bank for the corresponding quarter.
Currently, CERs include 938 credit institutions. Decrease in such indicators as capital adequacy, asset quality, quality of bank management, profitability and liquidity may have a negative impact on the final indicator of financial stability.
Banking experts believe that a sharp decline in the values of liquidity indicators may be enough for the resulting indicator of the bank's financial stability to be recognized by the Central Bank as unsatisfactory for participation in DIS. The consequence will be a ban on attracting deposits from citizens, which will further exacerbate the problems of banks with liquidity. Even if the cases of exclusion of banks from DIS will be isolated, experts predict a massive outflow of deposits from banks.
In accordance with the Federal Law "On Insurance of Individual Deposits in Banks of the Russian Federation" (hereinafter referred to as the Federal Law), funds in rubles and foreign currency placed by individuals with a bank on the basis of a bank deposit agreement or a bank account agreement, including accrued interest, are insured for the amount of the deposit.
Funds are not insured:
· Placed on bank accounts of individuals engaged in entrepreneurial activity without forming a legal entity, if these accounts are opened in connection with the specified activity;
· Placed by individuals in bank bearer deposits, including those certified by a savings certificate and (or) bearer savings book;
· Transferred by individuals to banks in trust management;
· Placed in deposits in branches of banks of the Russian Federation located outside the territory of the Russian Federation.
The depositor's right to receive compensation for deposits arises from the date of the insured event. An insured event is one of the following circumstances:
1) revocation (cancellation) of the Bank of Russia license for banking operations; 2) the introduction by the Bank of Russia of a moratorium on meeting the claims of the bank's creditors.
Payment of compensation for deposits is made by the Agency in accordance with the register of the bank's obligations to depositors within 3 days from the date of submission by the depositor to the Agency required documents, but not earlier than 14 days from the date of the insured event.
When a depositor submits documents to the Agency, he is issued an extract from the register of the bank's obligations to depositors, indicating the amount of compensation for his deposits. The Agency publishes the announcement of the place, time, form and procedure for accepting applications from depositors in the Bank of Russia Bulletin and in the publication at the location of the bank. Within a month from the date of receipt from the bank of the register of the bank's obligations to depositors, the corresponding message is sent to the bank's depositors, information about which is contained in the register, on an individual basis.
Payment of compensation for deposits can be carried out at the depositor's application both in cash and by transferring funds to the bank account specified by the depositor. Reception from depositors of applications for payment of reimbursement of deposits and other necessary documents, as well as payment of reimbursement of deposits may be carried out by the Agency through agent banks acting on its behalf and at its expense.
A depositor who has received compensation for deposits from the Agency retains the right to demand from the bank the payment of the remaining part of the deposit in accordance with the current legislation.
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UKRAINIAN ACADEMY OF BANKING
NATIONAL BANK OF UKRAINE
As a manuscript
Lunyakova natalia avtandilovna
DEPOSITRISKS IN BANKING
Specialty 08.00.08 - Money, finance and credit
Dissertation for the scientific degree of candidate economic sciences
Supervisor:
Doctor of Economics, Professor
Sumy - 2009
Introduction.................................................................................................... 3
Chapter 1. THEORETICAL BASIS OF STUDYING DEPOSIT RISKS IN BANKING.................................... 13
1.1. Banking risks .............................................. ... 13
1.2. Features of the implementation of deposit operations of banks ....... 23
1.3. Essence of deposit risks of banks .......................................... 35
1.4. Types of banks' deposit risks and methods of their assessment ............... 50
Conclusions to section 1 .............................................. ............................... 62
Section 2. ASSESSMENT OF PECULIARITIES OF THE MANIFESTATION OF DEPOSIT RISKS IN BANKING ACTIVITIES. 65
2.1. Manifestation of deposit risks in the process of formation and development of the deposit market of Ukraine ....................................... ........................ 65
2.2. Systematization of deposit risks of banks in the regional
aspect ................................................. ................................................. 92
2.3. Features of the manifestation of deposit risks at the level of an individual bank 113 ......................................... .................................................. .......................
Conclusions to section 2 .............................................. ..........................
Chapter 3. SCIENTIFIC AND METHODOLOGICAL PROVISION OF MINIMIZATION OF NEGATIVE CONSEQUENCES OF IMPLEMENTATION OF DEPOSIT RISKS OF BANKS ..................................... ............
3.1. Quantitative Assessment of Banks' Deposit Risks ...............
3.2. Minimizing the negative consequences of the implementation of deposit risks of banks in practice ........................................ ...................
Conclusions to Section 3 .............................................. ..........................
conclusions................................................................................................
LIST OF SOURCES USED...........................
annexes.....................................................................................
introduction
Relevance of the research topic. Banking activities are carried out in an environment of uncertainty. Uncertainty depends on many factors, the influence of which is difficult or impossible to predict or foresee. Decisions made in conditions of uncertainty generate banking risks, which, in turn, can lead to undesirable consequences. Banking activities are characterized by a higher level of riskiness in comparison with other types of activities and are accompanied by numerous risks that arise in the implementation of both active and passive transactions.
Due to the fact that deposit operations occupy the largest share in the structure of passive operations, in the event of banks' deposit risks, the imbalance increases significantly, which can lead to a liquidity problem, and in the worst case, to bank bankruptcy. The peculiarity of the study of deposit risks of banks is that it is possible to identify the patterns of their manifestation only by the totality of balances in customer accounts. The consequences of deposit risks are devastating for the banking system, which is especially noticeable during periods of crisis, when there is a significant outflow of deposits, which affects their overall level.
It should be noted that the risks discussed above can affect the liquidity risk separately (usually the influence is more often manifested in active transactions), or jointly, which manifested itself during the financial crisis.
Despite the importance of banks' deposit risks in the economic literature, much less attention is paid to them in comparison with the risks of active operations. Taking this into account, the study of the essence of deposit risks of banks, the patterns of their manifestation, the features of their assessment, and the identification of the main factors that lead to their occurrence is of particular relevance. With the help of this, it is possible to scientifically substantiate proposals for countering the undesirable consequences of the manifestation of banks' deposit risks.
A significant contribution to the development of theoretical provisions, methodological approaches to the assessment and management of banking risks, was made by the leading domestic scientists-economists: Yu. Potiiko, and others.
Among Russian and foreign scientists-economists, it is necessary to note the works of W. G. Dewald, G. R. Dreese, G. Kaufman, N. Murphy and others.
Directly theoretical and practical approaches to identifying and identifying, assessing and managing deposit risks of banks are reflected in the works of such well-known Russian and Russian scientists as,. However, most authors investigate certain aspects of banks' deposit risks.
Despite the rather close attention on the part of the scientific community to the issues of the essence, classification, theory and practice of banking risk management, by now the conceptual apparatus is disordered, the main characteristics of banks' deposit risks, factors and patterns of their occurrence, require refinement and systematization. Theoretically and practically unresolved issues remain related to the prevention of negative consequences in the event of these risks.
The relevance, scientific, theoretical and practical significance of the problems posed determined the choice of the topic of the dissertation research, determined the goal, main tasks, structure and content of the dissertation work.
Communication of work with scientific programs, plans, topics. The scientific results, theoretical provisions and conclusions of the dissertation research were used in the implementation of state budget research topics at the Sevastopol National Technical University: "Modeling a financial mechanism to ensure intensive and balanced economic growth in Ukraine" (state registration number 0104U010188), as well as "Financial mechanism stimulating sustainable and balanced economic growth in Ukraine ", which is currently being carried out by the Department of Finance and Credit of the Sevastopol National Technical University. The author has prepared separate sections in reports on these topics, which are devoted to the study of the essence of banks' deposit risks, and also made proposals to improve their assessment.
Purpose and objectives of the study . The purpose of the dissertation research is to identify and scientifically substantiate the essence, patterns of occurrence of deposit risks of banks and the development of methodological recommendations regarding the prevention of negative consequences in the event of their manifestation.
The realization of the set goal made it necessary to solve the following tasks in the work:
· Analyze the existing points of view on the content of the economic concepts "risk", "uncertainty" and identify their differences;
· To carry out a generalization of domestic and foreign scientific research on the classifications of banking risks;
· define economic essence deposit risks of banks, their main characteristics and types;
· To identify the factors of emergence of deposit risks of banks, and to carry out their classification;
· To analyze methods of quantitative assessment of banks' deposit risks;
· To study the influence of the macroeconomic environment on the emergence of deposit risks of banks;
· To develop a scientific and methodological approach to the analysis of deposit risks of banks in the regional aspect;
· To study the relationship between the influence of factors on the formation of total balances of clients' funds for further assessment of the deposit risks of banks;
· Determine measures to prevent negative consequences in the event of banks' deposit risks.
The object of dissertation research are the processes of banking activities that generate and cause uncertainty regarding the formation of deposits.
The subject of dissertation research are the patterns of manifestation of deposit risks of banks.
Research methods... The theoretical and methodological basis of the study was the scientific and creative understanding of the main achievements of domestic and foreign scientists on the problems of banking risks. In the course of the work, the following research techniques were used: analysis and synthesis - to clarify the conceptual apparatus, determine the essence, the main characteristics of banks' deposit risks; grouping method - when developing a classification of banks' deposit risks; methods of multivariate statistical analysis: cluster analysis - to assess the deposit risks of banks in the regional aspect, regression analysis - to identify significant factors that affect the formation of aggregate balances of clients' funds and establish the nature of the relationship; abstract-logical method - for theoretical generalizations and formulation of conclusions; elements of the theory of probability - to identify patterns in the manifestation of banks' deposit risks; graphical method - for constructing illustrative graphs and diagrams. Data processing was carried out using modern computer technology.
The information base of the research is theoretical and scientific and practical research of domestic and foreign scientists, regulatory legal acts on the implementation of deposit operations by banks, assessment of banking risks, statistical materials of the National Bank of Ukraine, scientific articles and monographic publications of domestic and foreign scientists, materials of scientific and practical conferences.
Scientific novelty of the results is to justify and develop theoretical foundations and methodological provisions regarding the nature and patterns of manifestation of deposit risks of banks, the development of methods for their assessment, methodological recommendations aimed at preventing negative consequences in the event of their manifestation.
The main results that are of scientific novelty and characterize the personal contribution of the author are:
first:
· Proposed and substantiated the feasibility of accounting for the impact on the level of total balances of banks of such factors as the number of customers, their accounts and seasonality, which will reduce the degree of uncertainty regarding the variation in total balances of funds. The results obtained can be used in practice to predict the balances of funds at appropriate points in time and in the process of assessing the deposit risks of banks;
· Proposed a scientific and methodological approach to assessing the deposit risks of banks, which made it possible to reliably assess the projected and unpredictable deposit risks of the bank;
improved:
· The content of the main characteristics of banks' deposit risks, from positions such as the likelihood (possibility) of implementation, the uncertainty of the consequences, the expected unfavorable consequences, the variability of the level of deposit risks. The proposed characteristics allowed the bank's deposit risk to be understood as the possibility of not receiving the expected level of deposits due to the unfavorable influence of external or internal factors in conditions of uncertainty in the bank's activities. This approach, in contrast to others, focuses not only on the essence of banks' deposit risks, but also emphasizes the special importance of deposits in the activities of banks;
was further developed:
· Classification of external and internal factors of the emergence of deposit risks of banks and the classification of deposit risks of banks through the introduction of the following features: type of attracted funds, type of depositor, deposit currency, forecasting ability, sources of occurrence, level of bank losses. The proposed classification features make it possible to more fully cover and systematize the entire range of deposit risks of banks, and can be used as a basis for their further research;
· Scientific and methodological approach to assessing deposit risks of banks in the regional aspect, which provides for the use of cluster analysis for grouping regions (oblasts) of Ukraine according to the level of deposit risks. The proposed approach differs from the existing ones in that to determine the regions (oblasts) that are most homogeneous in terms of the level of deposit risks, the liabilities of banks of the regions (oblasts) of Ukraine are simultaneously analyzed in the context of different types of deposits. This makes it possible to analyze and compare among themselves the set of indicators of banks' deposit risks, which was obtained in the context of regions. The proposed approach can be used as a basis for further research of the possibilities of banks in the regions of Ukraine regarding the formation of resources.
The practical significance of the results obtained. The materials of the dissertation research are of high theoretical and practical importance. The author's proposals regarding the definition of the essence of the banks 'deposit risks, the developed methodological approaches and recommendations for improving their assessment, as well as the proposed measures to prevent negative consequences from the manifestation of banks' deposit risks, were used in the activities of a number of banks and were positively assessed in the Sevastopol branch of JSB "Tavrika" ( reference), the Sevastopol branch (reference -04/3565), "Marine" (reference / 04).
Certain provisions of the dissertation research are used in the educational process in the development and teaching of the academic discipline "Banking Operations" at the Department of "Finance and Credit" of the Sevastopol National Technical University (reference -08.15 / 1022).
Personal contribution of the applicant. The main scientific provisions, developments, conclusions and proposals, which are set out in the dissertation, were obtained by the author independently and were reflected in published works. Of the scientific works published in co-authorship, only those ideas and provisions are used that are the result of the applicant's own work. The personal contribution of the dissertation candidate in the works published in co-authorship is as follows: testing the model of adaptation of current liabilities, taking into account the influence of deposit risks according to the actual data of the bank; formulation of the problem, definition of tasks and consideration of the theoretical aspects of clustering the regions of Ukraine by the level of deposit risk; concretization of adaptation features banking resources taking into account the influence of the bank's deposit risks.
Approbation of the dissertation results. The main provisions and results of scientific research were presented and received a positive assessment at 15 conferences: V Mizhvuzivska student science and practice conference "Problems of development of the financial system of Ukraine and Crimea" (m. Simferopol, 26-30 birch 2003); IV International Scientific and Practical Conference "Contemporary Problems of Humanization and Harmonization of Management" (M. Kharkiv, 2-9 leaf fall 2003); VII International scientific-practical conference "Science and education 2004" (metro Dnipropetrovsk, 10-25 February 2004); All-Ukrainian scientific-practical conference "Actual problems and prospects for the development of the Ukrainian economy (in the context of globalization)" (m. Alushta, 29 Veresnya - 1 June 2004); V All-Ukrainian scientific-practical conference "Financial and economic problems in the development of regions of Ukraine" (M. Dnipropetrovsk, 26 October 2004); II International scientific-practical conference "Current trends in the development of the banking system" (M. Dnipropetrovsk, 7-8 chest, 2004); IIІ All-Ukrainian Science and Practice Conference "Economic Problems of Rink Transformation of Ukraine" (M. Lviv, 16 Bereznya 2005); XI International scientific and practical conference "Financial and credit incentives for economic growth" (m. Lutsk, 3-5 chervnya 2005); All-Ukrainian scientific-methodical conference "Current aspects of financial management of economic processes" (m. Sevastopol, 6-9 spring 2005); VIII All-Ukrainian Science-Practical Conference "Problems and Prospects for Development of the Banking System of Ukraine" (M. Sumi, 10-11 leaf fall 2005); III All-Ukrainian scientific-practical conference of vicarious, victories and practical workers "Development of the financial system of Ukraine in the minds of market transformations" (m. Vinnytsya, 16-17 February 2006); Scientific-practical conference of the professorsko-vicladatskiy warehouse of the Odessa sovereign economic university, academic and general pawns of Ukraine (m. Odessa, 17-18 April 2007); All-Ukrainian scientific-methodical conference "Current aspects of financial management of economic processes" (m. Sevastopol, 5-8 spring 2007); X All-Ukrainian Science-Practical Conference "Problems and Prospects for Development of the Banking System of Ukraine" (M. Sumi, 22-23 leaf fall 2007); XI All-Ukrainian scientific-practical conference "Problems and prospects for the development of the banking system of Ukraine" (M. Sumi, 30-31 October 2008).
Scientific publications. The main provisions of the dissertation were published in 22 scientific papers with a total volume of 4.53 pp., Of which 8 articles in scientific special editions with a volume of 2.86 pp., Of which the author personally owns 2.45 pp.
The structure and scope of the thesis. The dissertation work consists of an introduction, three chapters, conclusions, appendices and a list of sources used. The total volume of the dissertation was 227 pages. The thesis contains 13 tables on 12 pages, 45 figures on 25 pages, a list of references, which contains 162 titles on 17 pages, and 15 annexes on 36 pages.
conclusions
Risks are inherent in all areas of banking. Most scientists study the risks associated with the conduct of active operations by the bank, but, at the same time, liquidity problems periodically arising in banking activities caused by banking crises and banking panic indicate that the risks of passive operations also have a significant impact on banking activities. in particular, deposit risks of banks.
The dissertation research carried out a theoretical generalization and substantiation of methodological approaches regarding the solution of a scientific task, which consists in a comprehensive study of banks' deposit risks in order to develop recommendations for preventing negative consequences from their manifestation. Based on the results of the study, the following conclusions were formulated that correspond to the set goal and objectives:
1. Based on the study of the theoretical and methodological foundations of risk, the approaches to the definition of the concepts of "risk" and "uncertainty" are generalized and analyzed. According to the results of the study, it was revealed that there is no consensus in the economic literature regarding the essence of risk and uncertainty. Summarizing the existing approaches, it was concluded that the concepts of "risk" and "uncertainty" are not identical. Uncertainty generates risk, it defies probabilistic assessment and depends on many factors, the influence of which is impossible or very difficult to foresee. The state of uncertainty is characterized by the degree of awareness of the decision-maker regarding the possible behavior of the control object. Risk is the possibility of incurring losses or shortfalls in expected returns.
2. A review and analysis of existing approaches to defining the definitions of "deposit", "contribution", which show that these concepts, despite the large number of their interpretations, have a different background in domestic and foreign economic literature. In accordance with domestic legislation, the concepts of "deposit" and "deposit" are identical. Different types of deposits (deposits) have a different level of deposit risk, therefore, the deposit risk should be investigated in the context and taking into account the characteristics of each type of deposits (deposits).
3. The bank's deposit risk is one of the reasons for the emergence of liquidity risk. Under unforeseen circumstances, deposit risk leads to an imbalance cash flows, which can lead not only to problems with liquidity, but in the worst case, to bankruptcy of the bank. The paper distinguishes between the concepts of bank deposit risk and liquidity risk.
4. The paper offers the main characteristics of banks' deposit risks, which formed the basis for its definition. Deposit risk is the possibility of not receiving the expected level of deposits due to the unfavorable influence of external or internal factors in conditions of uncertainty of the bank's activities.
5. To reflect the relationship between the elements of the internal and external environment of the bank's functioning, as sources of generating deposit risks, internal and external factors of their occurrence were classified.
6. The classification of deposit risks of banks is proposed, which allows to more fully cover and systematize the weight of the spectrum of these risks.
7. Methods of quantitative assessment of deposit risks have been investigated, the main indicators have been determined, with the help of which it is possible to assess the deposit risk of a bank. The selected indicators are used to study the deposit risks of banks in the regional aspect and at the micro level.
8. Based on the study of the main stages of development of the deposit market, a review and analysis of the main stages of its development from the standpoint of deposit risk was carried out. The relationship between the influence of external factors and the occurrence of deposit risk in banking system Ukraine. The risk-forming factors, as well as the cyclical nature of the ongoing changes in the deposit market, have been identified, which makes it possible to predict the emergence of banks' deposit risks in the future.
9. The dissertation proposes a methodology for conducting cluster analysis, which allows for regional monitoring of the level of deposit risk in banking and which creates the basis for further research into the features of the formation of resources by regional banks.
10. The analysis of deposit risks at the micro level revealed the presence of predictable and unpredictable deposit risks.
11. To take into account the impact on the level of total balances of banks' funds of significant factors, such as seasonality, the number of bank customers, their open accounts in banking practice, a multivariate regression model can be used. The results obtained by the model were applied to assess the deposit risks of banks.
12. A scientific and methodological approach to assessing deposit risks of banks has been proposed. Its use made it possible to assess the projected and unpredictable deposit risks of the bank. The results obtained can be used to counter the negative consequences of the manifestation of banks' deposit risks.
Thus, the goal of the dissertation research has been achieved, all the tasks have been completely solved.
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Lecture No. 15.doc
Topic number 14Banking risk management
The essence and classification of banking risks, organization of the work of a commercial bank for risk management.
Credit risk: content, assessment, reasons and methods of management.
Deposit risk and bank measures to prevent it.
Risk of operations with securities.
Currency risk: essence, types, management methods.
The essence and classification of banking risks, organization of the work of a commercial bank for risk management
Banking risk – it is the likelihood that a credit institution will incur losses or losses if the planned measure (management decision) is not implemented, as well as if mistakes or mistakes were made when making management decisions. Risks can be categorized into financial and investment risks.
Financial risk – it is the probability of damage occurring as a result of any transactions in the financial and credit and stock exchange spheres, transactions with securities, i.e. the risk that follows from the nature of financial transactions. Financial risks include credit risk, deposit risk, interest rate risk, foreign exchange risk, risk of transactions with securities, risk of loss of financial gain.
In the investment activity of an enterprise, one can distinguish the risk of investing in securities, or "portfolio risk", which characterizes the degree of risk of reducing the yield of specific securities and the formed portfolio of securities, as well as the risk of innovation.
Dynamic risk is the risk of unforeseen changes due to management decisions or changes that have occurred in the economic, political and other spheres of public life. Such changes can lead to both losses and additional income.
Static risk is the risk of losses due to property damage, as well as loss of income due to the incapacity of the organization. This risk can only lead to losses.
The absolute risk is estimated in monetary units (rubles, dollars, etc.); relative risk - in fractions of one or as a percentage.
A bank's reliability is determined to a certain extent by its ability to manage risks. Risk management is a combination of methods and tools to minimize risks. There are several ways to manage risks: diversification; quality control; use of equity capital; using the principle of weighing risks; accounting for external risks; systematic analysis of the client's financial condition (for example, solvency, creditworthiness); application of the principle of risk sharing; issuance of large loans only on a consortium basis; the use of floating interest; introduction of the practice of deposit certificates; expansion of rediscount operations; insurance of loans and deposits; introduction of pledge rights, etc.
^ Credit risk: content, assessment, reasons and methods of management
Credit risk is associated with non-payment by the borrower of the principal and interest charged for the loan. Interest rate risk - the risk of losses by commercial banks, credit institutions, investment funds as a result of an increase in interest rates paid by them on borrowed funds over the rates on loans provided.
Credit risk assessment is understood as the study and assessment of qualitative and quantitative indicators of the economic situation of the borrower. The work is carried out in three stages:
assessment of the quality indicators of the borrower's work: studying the reputation of the borrower, determining the purpose of the loan, determining the source of repayment of the principal debt and the interest due, assessing the borrower's risks, partially assumed by the bank,
assessment of quantitative indicators of the borrower's work. Main sources of information: financial statements, information provided by the borrower, the experience of working with this client of other persons, the scheme of the loaned transaction with a feasibility study for obtaining a loan, on-site inspection data.
obtaining a summary estimate-forecast and the formation of the final analytical conclusion.
In order to reduce credit risk, banks widely practice the principle of risk sharing - pledge rights, collateral and insurance of loans, which makes it possible to reduce the risk by transferring it to the insurance company or to third parties acting as guarantors, guarantors, since in case of non-repayment of the loan they will return the money. The same happens when you issue a loan against collateral. As a result of the sale of the collateral, the bank will reimburse the losses from the outstanding loan.
The expansion of the bank's lending operations leads to the fact that the bank issues large loans on a consortium basis, transferring part of the risk to another bank. In addition, when issuing a loan, banks form loan reserves, which helps to reduce the risk of bank bankruptcy and insolvency.
^ Deposit risk and bank measures to prevent it
Deposit risk refers to liquidity risks and is associated with the early withdrawal by depositors of their deposits from the bank. Therefore, commercial banks are doing a lot to prevent the possible negative consequences of a sudden outflow of free funds from depositors' accounts. Differentiation of the conditions for attracting deposits in commercial banks is an active means of fighting for a depositor, exacerbating banking competition. To avoid the possible negative consequences of this competition, modern banks practice agreeing the level of interest on deposits between banks. Sometimes this level is set directly by the central bank. In Russia, this is done for the Savings Bank system, which operates with government support.
Among the various types of deposits, demand deposits and time deposits occupy a special place. Banks apply differentiated conditions for attracting deposits. The emphasis is on changing the interest rate and the conditions for its accrual (monthly, in agreement with the client, interest on interest, etc.).
The most common are two types of term deposits: actual term deposits and deposits with prior notice of withdrawal. The actual term deposits are returned to the owner within a predetermined period; up to this point, the bank can completely dispose of them.
Time deposits with prior notification of withdrawal require a special depositor's application to be submitted to the bank. The term for submitting such a notice of withdrawal of the deposit is negotiated in advance, and in accordance with it, the amount of interest on the deposit is established.
Prevention of losses in the formation of deposits can be facilitated by special conditions included in the agreement "On credit deposit", which must be concluded between the client and the bank. In this case, the bank must decide with which clients it is necessary to conclude such an agreement. One of the conditions of this agreement may be the refusal of the client to early demand the deposit.
The bank must periodically assess the degree of use of the deposits at its disposal. To do this, the coefficient of connectedness of deposits is determined, which should be equal to one. This means that all the bank's deposits are involved in its turnover.
^ Risk of transactions with securities
Operations with securities refer to the investment operations of the bank that involve risk. The risk of transactions with securities is a complex risk, since there is a manifestation of the whole complex of various financial risks. When managing the risk of transactions with securities, it is necessary to take into account that it is influenced by various risks, it is almost impossible to take them into account in advance, therefore, the stability of the legal framework is very important:
Systematic risk is not associated with a specific security, but is the result of the general state of the securities market as a whole.
Selective risk concerns the quality of securities and depends on how correct the policy of choosing a particular security for investment was when forming a portfolio of securities. Liquidity risk - the risk associated with the possibility of losses in the sale of a security due to a change in the assessment of its quality.
Credit risk is the risk that the issuer of debt securities will be unable to pay interest on them and / or the principal amount of the debt.
Inflation risk is the risk of losses that investors may incur in connection with changes in interest rates in the market. If the market interest rate rises, then this leads to a decrease in the market value of securities, especially bonds with a fixed interest rate. In this case, the losses are borne by the investor who has invested his funds in securities with a fixed interest rate.
Revocable risk is the risk of losses for the investor in the event that the issuer recalls bonds due to the excess of a fixed level of interest payments on them over the current market interest. This risk is especially true for municipal bonds.
systematically analyze the profitability of various
types of securities;
assess the degree of emerging risk;
carry out timely monitoring of a portfolio of valuable
papers.
^ Currency risk: essence, types, management methods
Currency risks reflect the danger of currency losses associated with a change in the exchange rate of one foreign currency against another, including the national currency during foreign economic, credit and other currency transactions... It influences borrowers, lenders and investors who transact in currencies other than the national currency.
Foreign exchange risk includes:
economic risk - the risk of changes in the value of the assets or liabilities of the firm (or bank) due to future changes in the exchange rate;
transfer risk - has an accounting nature, associated with differences in accounting for assets and liabilities in foreign currency;
transaction risk - uncertainty of the value in the national currency of a foreign exchange transaction in the future.
Safeguard clauses - contractual terms included by agreement of the parties in private and interstate agreements, providing for the possibility of changing (or revising) the initial terms of the contract in the process of its execution.
In accordance with the currency clause, the amount of monetary obligations varies depending on the change in the exchange rate ratio between the payment currency and some other more stable currency (or group of currencies) defined as the currency of the reservation. The currency of the clause can be the currency of the transaction or a third currency. In the context of floating exchange rates, the clause uses various combinations of several currencies (currency baskets) as the currency of the clause, and the clause is called multicurrency.
Hedging (fencing) involves the creation of counterclaims and obligations in foreign currency. The most widespread type of hedging is forward currency transactions.
1) in a situation where a fall in the national currency rate is expected:
sell the national currency, choose the second currency of the transaction;
reduce the volume of transactions with securities in the national currency, reduce the volume of cash;
accelerate the receipt of accounts receivable in national currency;
postpone receipt, start accumulating accounts receivable in foreign currency;
defer payment by accounts payable in national currency;
to increase borrowing (transfer) in national currency;
to accelerate and increase the import of products for hard currency;
accelerate the payment of remuneration, wages, dividends, etc. foreign shareholders, partners, creditors;
send invoices to importers in national currency and exporters in foreign currency;