ДЕРЖАВНИЙ ВИЩИЙ НАВЧАЛЬНИЙ ЗАКЛАД
“УКРАЇНСЬКА АКАДЕМІЯ БАНКІВСЬКОЇ СПРАВИ
НАЦІОНАЛЬНОГО БАНКУ УКРАЇНИ”
МІЖНАРОДНА БАНКІВСЬКА КОНКУРЕНЦІЯ:
ТЕОРІЯ І ПРАКТИКА
Збірник тез доповідей
VІІI Міжнародної науково-практичної конференції
(23–24 травня 2013 р.)
Суми
ДВНЗ “УАБС НБУ”
2013
УДК 336.71.009.12(100)(063)
ББК 65.262.1
М58
Редакційна колегія збірника:
С. М. Козьменко –д-р екон. наук, проф.
(головний редактор);
О. М. Костюк – д-р екон. наук, проф.;
М. І. Макаренко – д-р екон. наук, проф.;
І. В. Сало – д-р екон. наук, проф.;
Л. В. Кривенко – д-р екон. наук, проф.;
Т. А. Васильєва – д-р екон. наук, проф.;
І. О. Школьник – д-р екон. наук, проф.;
Л. П. Чижов – канд. екон. наук, доц.;
Т. О. Семененко – канд. екон. наук, доц.
Збірник містить тези доповідей учасників VІІІ Міжнародної науковопрактичної конференції, яка відбулася 23–24 травня 2013 р. у Державному
вищому навчальному закладі “Українська академія банківської справи
Національного банку України”.
Розрахований на фахівців банківської та фінансової систем, науковців,
аспірантів і студентів навчальних закладів.
УДК 336.71.009.12(100)(063)
ББК 65.262.1
Матеріали подаються в авторській редакції.
© ДВНЗ “Українська академія банківської справи
Національного банку України”, 2013
ЗМІСТ
Vernikov Andrei
DOES CORPORATE GOVERNANCE REALLY PREDICT FIRMS’ MARKET VALUES
IN EMERGING MARKETS? THE CASE OF RUSSIAN BANKS ................................................. 5
Violi Roberto
CREDIT RISK APPRAISAL: MEASUREMENT, VALIDATION AND RATINGS ........................... 5
Karminsky Alexander, Kostrov Alexander
COMPARISON OF DEFAULT PROBABILITY MODELS: RUSSIAN EXPERIENCE ................... 6
Peters Gareth, Targino Rodrigo, Shevchenko Pavel
UNDERSTANDING OPERATIONAL RISK CAPITAL APPROXIMATIONS:
FIRST AND SECOND ORDERS ................................................................................................... 7
Afanasieva Olga, Lapina Yulia, Scherbina Tatiana
RISK MANAGEMENT, CORPORATE GOVERNANCE AND INVESTMENT BANKING:
THE ROLE OF CRO ...................................................................................................................... 8
Oluwasegun Bewaji, Markose Sheri
AN MULTI-AGENT MODEL OF RMBS, CREDIT RISK TRANSFER IN BANKS
AND FINANCIAL STABILITY: IMPLICATIONS OF THE SUBPRIME CRISIS ........................... 10
Shevchenko Pavel, Gareth Peters
LOSS DISTRIBUTION APPROACH FOR OPERATIONAL RISK CAPITAL
MODELLING UNDER BASEL II: COMBINING DIFFERENT DATA SOURCES
FOR RISK ESTIMATION......................................................................................................... 11
Kostyuk Alexander, Riabichenko Dmitriy, Fedirko Tetyana
CORPORATE GOVERNANCE AND MARKET POSITIONS OF EUROPEAN BANK
HOLDING COMPANIES .............................................................................................................. 12
Dombrovskyy Vladislav
USING GOOGLE TRENDS FOR BETTER MONETARY POLICY
IN EMERGING ECONOMIES ..................................................................................................... 13
Domrachev Vladimir, Lyubich Alexander, Kostetsky Ruslan
THE MODERN SYSTEMS OF BUSINESS INTELLIGENCE AS A COMPONENT
OF DECISION MAKING SUPPORT IN UKRAINIAN BANKING SYSTEM ................................. 14
Tkachenko Anatoliy
BANK COMPETITION AS AN OBJECT OF LEGAL REGULATION:
HISTORY AND CONTEMPORANEITY ...................................................................................... 15
Kozmenko Olga, Kuzmenko Olga
MODELING THE DYNAMICS STABILITY OF UKRAINIAN BANKING SYSTEM ...................... 18
Lopatkina Iryna, Lopatkin Viktor
MACROPRUDENTIAL REGULATION: THE SHIFT IN THE GLOBAL ECONOMIC .................. 21
Piskun Katerina
STIMULATION OF THE BUSINESS SOCIAL RESPONSIBILITY AS
A FACTOR IN THE REALIZATION OF THE STATE SOCIAL FUNCTION ................................ 23
Savchenko Taras
APPROACHES TO DEVELOPMENT OF AN EXPLICIT RULE OF MONETARY POLICY ........ 25
Skorba Oleg
FORENSINC ACCOUNTING INVENTORY ................................................................................ 26
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Turchenyuk Tetiana, Goncharova Margaryta
HARMFUL FACTORS OF THE ENVIRONMENT AND THEIR IMPACT
ON THE HEALTH OF BANK EMPLOYEES ............................................................................... 28
Belova Inna
INVESTIGATION OF INFLUENCE OF QUALITY OF BANK CAPITAL
ON ACTIVITY RISKS .................................................................................................................. 29
Bashlay Serhiy, Podolyaka Oleg
FORMING OF ELEMENTS OF MECHANISM OF ASSESSING THE QUALITY
OF BANK MANAGEMENT SYSTEM .......................................................................................... 31
Болгар Т. М.
ОСОБЛИВОСТІ СТРАТЕГІЇ ВЕДЕННЯ БІЗНЕСУ БАНКАМИ УКРАЇНИ
З ФОРМУВАННЯ ЯКІСНОГО КРЕДИТНОГО ПОРТФЕЛЯ ..................................................... 33
Бондаренко О. П.
ОСНОВНІ РИЗИКИ СТВОРЕННЯ БАНКІВСЬКИХ ГРУП В УКРАЇНІ ...................................... 35
Вахнюк С. В.
ХАРАКТЕРИСТИКА ВПЛИВУ БАНКІВСЬКОЇ СИСТЕМИ
НА ІНТЕНСИВНІСТЬ ВНУТРІШНЬОЇ КОНКУРЕНЦІЇ В КРАЇНІ .............................................. 37
Vaschenko Alexander
THE STRATEGY FOR ENSURING THE COMPETITIVENESS OF COMMERCIAL
BANKS BY IDENTIFYING SUSPICIOUS TRANSACTIONS USING THE ANALYTIC
HIERARCHY PROCESS ............................................................................................................ 39
Гарасюк О. А., Свириденко А. С.
СУЧАСНИЙ СТАН КОМЕРЦІЙНИХ БАНКІВ УКРАЇНИ ТА ЇХ РЕСУРСНА ПОЛІТИКА ......... 41
Plastun Oleksiy
ANALISYS OF POSSIBLE REASONS FOR MARKET OVERREACTIONS .............................. 42
Krukhmal Elena, Krikliy Elena
CREDIT POLICY OF THE BANK AS A MEANS OF ENHANCING ITS
COMPETITIVENESS .................................................................................................................. 46
Кузніченко Я. М.
МЕТОДИ ОЦІНКИ РИЗИКІВ БАНКУ
З МЕТОЮ ВИЗНАЧЕННЯ ДОСТАТНОСТІ КАПІТАЛУ ............................................................ 48
Сисоєв О. В.
ФАКТОРИНГ В ІСТОРИЧНІЙ РЕТРОСПЕКТИВІ ..................................................................... 50
Turchenyuk Tetiana, Rozkoshna Olena
THE CONTROLLING SYSTEM OF UKRAINIAN BANKS
AND KEY TOOLS OF ITS IMPLEMENTATION ......................................................................... 52
Shamota Halina
CREDIT RISK IN C OMMERCIAL BANKS ................................................................................. 53
Katrosha Lyudmila
FUNCTIONS OF THE STATE FINANCIAL CONTROL
IN CONJUNCTION WITH THE PUBLIC PROCUREMENT SYSTEM ........................................ 54
Neselevska Olga
DO POLITICAL FACTORS INFLUENCE CORPORATE GOVERNANCE QUALITY,
DYNAMICS OF THE CAPITAL AND NATIONAL ECONOMY DEVELOPMENT? ..................... 56
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Andrei Vernikov, Professor, National Research University
Higher School of Economics, Moscow; Institute of Economics,
Russian Academy of Sciences, Moscow, Russia
DOES CORPORATE GOVERNANCE REALLY PREDICT
FIRMS’ MARKET VALUES IN EMERGING MARKETS?
THE CASE OF RUSSIAN BANKS
There is a need to add to the literature on the nexus between corporate
governance and company valuation in emerging market countries. Conventional wisdom suggests a positive connection between the two and several
authors claim to have proven it empirically. It matters how exactly the connection is identified. We rely on the case of Russian banks to argue that this
connection can hardly be established in a convincing way due to data deficiency and methodological constraints. We therefore suspect positive bias
in some of the papers. Russian stock market cannot provide enough statistical material for the construction of a response variable; hence a selection
bias in favor of the tiny minority of publicly listed banks. Another shift in
the sample is towards very few Russian banks with an independently assigned corporate governance score. With regard to explanatory variables
there is ambiguity as to how to proxy “good corporate governance” and
how to deal with endogeneity. High concentration of ownership in Russia
renders artificial and redundant some of the mechanisms of corporate governance. The common approach to modeling governance-performance nexus is further challenged by the market structure, namely prevalence of
state-controlled entities. These banks perform a variety of unconventional
functions and pursue goals beyond maximization of profit or share price. It is
unclear how statistical and methodological constraints can be overcome at
the current stage of research. This discussion might be relevant for emerging markets apart from Russia.
Roberto Violi, Director, Banca d’Italia, Italia
CREDIT RISK APPRAISAL:
MEASUREMENT, VALIDATION AND RATINGS
The assessment of the creditworthiness of borrowers in the form of
default probabilities is the main task for rating agencies. Various parametric and nonparametric methods are used to estimate ordinal measures of
default risk. In banking it is common to estimate the default probability
over specified time horizons by means of statistical methods like multivariate discriminant analysis (see Altman, 1968), and logistic regression
(Wiginton, 1980). These are both special regression methods from the
family of Generalised Linear Mixed Models (GLMM) and can be seen to
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be based on scores which depend on the explanatory variables in a predefined form.
Methods that allow a more flexible modelling approach are non-parametric GLMM extensions (see Hastie and Tibshirani, 1990), classification
and regression trees (Brieman, Friedman, Olshen, and Stone, 1984), the
k-nearest neighbour classifier (Hand and Henley, 1996), or neural networks
(West, 2000). A major drawback of the latter approaches is also their advantage: they are able to recognize and incorporate non-monotone relations
between explanatory variables and the probability of default in various,
non-parametric forms (e.g. the size of a company and its default probability
can be non-monotone, ceteris paribus). Unfortunately, the resulting nonmonotonicity often lack economic plausibility and therefore the acceptance
from credit risk measure users. It is often difficult to tell statistical artifact
from genuine, economic relevant, non-monotonicity.
Alexander Karminsky, Professor, National Research University Higher
School of Economics, Russia;
Alexander Kostrov, National Research University Higher School
of Economics, Russia
COMPARISON OF DEFAULT PROBABILITY MODELS:
RUSSIAN EXPERIENCE
Under the Basel II accord, improving probability of default models is
a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating
the macroeconomic and institutional characteristics of the banking sector
environment and finally, testing the accuracy of the models developed.
We have employed nonlinearity and automatic classification of the
independent variables in our models, paying attention to the structure of the
banking market as well as to the reliability of the models developed. We
have compared several models for estimating default probabilities. From
the results of this comparison, we have chosen the binary logit – regression
with quasi panel data structure. Our key findings are:
 There is a quadratic relationship between bank’s capital adequacy ratio
and its probability of default.
 The “too big to fail” hypothesis does not hold for the Russian banking
sector.
 There is a negative relationship between the Lerner index and bank’s
PD.
 Macroeconomic, institutional and time factors significantly improve the
model quality.
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We believe that these results will be useful for the national financial
regulatory authorities as well as for risk-management in commercial banks.
Moreover, we think that these models will be valuable for other emerging
economies.
Gareth Peters, Doctor, University College London, UK;
Rodrigo Targino, Ph.D. candidate, University College London, UK;
Pavel Shevchenko, Professor, University of New South Wales, Australia
UNDERSTANDING OPERATIONAL RISK CAPITAL
APPROXIMATIONS: FIRST AND SECOND ORDERS
We set the context for capital approximation within the framework of
the Basel II/III regulatory capital accords. This is particularly topical as the
Basel III accord is shortly due to take effect. In this regard, we provide a
summary of the role of capital adequacy in the new accord, highlighting
along the way the significant loss events that have been attributed to the
Operational Risk class that was introduced in the Basel II and III accords.
Then we provide a semi-tutorial discussion on the modeling aspects of capital estimation under a Loss Distributional Approach (LDA). Our emphasis
is to focus on the important loss processes with regard to those that contribute most to capital, the so called “high consequence, low frequency”
loss processes.
This leads us to provide a tutorial overview of heavy tailed loss process
modeling in OpRisk under Basel III, with discussion on the implications of
such tail assumptions for the severity model in an LDA structure. This provides practitioners with a clear understanding of the features that they may
wish to consider when developing OpRisk severity models in practice.
From this discussion on heavy tailed severity models, we then develop an
understanding of the impact such models have on the right tail asymptotics
of the compound loss process and we provide detailed presentation of what
are known as first and second order tail approximations for the resulting
heavy tailed loss process. From this we develop a tutorial on three key families of risk measures and their equivalent second order asymptotic approximations: Value-at-Risk (Basel III industry standard); Expected Shortfall
(ES) and the Spectral Risk Measure. These then form the capital approximations.
We then provide a few example case studies to illustrate the accuracy
of these asymptotic captial approximations, the rate of the convergence of
the assymptotic result as a function of the LDA frequency and severity
model parameters, the sensitivity of the capital approximation to the model
parameters and the sensitivity to model miss-specification.
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Olga Afanasieva, Ph.D., Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine; Yulia Lapina, Ph.D., researcher,
Ukrainian Academy of Banking of the National Bank of Ukraine, Ukraine;
Tatiana Scherbina, Ph.D., Ukrainian Academy of Banking of the National
Bank of Ukraine, Ukraine; Dmytro Govorun, Ph.D., Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
RISK MANAGEMENT, CORPORATE GOVERNANCE
AND INVESTMENT BANKING: THE ROLE OF CRO
After recent events of global financial crisis and further recession bank
boards became more disturbed about the risk governance issues. The lesson
was learned that timely risk oversight and measures to its minimization would
lead to stability of a bank. That’s why the foundation and ensuring of effective
functioning of Risk Management Committee in bank is one of the primary
goals in this context.
According to Basel Committee recommendations for enhancing corporate governance practice updated in 2010 Risk Management Committee in
the lead with Chief Risk Officer (CRO) is responsible for organizing of risk
management system, introduction of bank overall risk governance strategy
and control of its adherence. These Principles also state that to achieve higher
efficiency CRO as a senior executive should have independence.
Let’s have a look on how it is realized in today’s banks. First of all, some
banks (especially in countries with weak or transforming banking systems)
don’t have special committee to deal with risks at corporate governance level.
According to statistical data, in such cases risk governance is delivered to
Audit Committee or CEO as one of numerous tasks.
Secondly, we must underline that in most of banks CRO is usually
subordinate to CEO, in other cases – to other chief executive (e.g. CFO).
To some extension it lengthens a period of reporting and, as a result, of
decision-making. Such subordination models can also bring to information
asymmetry and to some degree commit the principle of independence.
According to recent corporate governance practice in banks CRO may also
subordinate straightly to Board. This model of reporting may help to avoid
drawbacks mentioned above and to enhance risk governance in the banking
institution.
In the context of risk governance one must define obvious difference
between its implementation in commercial and investment banks which is
explained by the distinctions in their activity. Specific character of investment
banking lies down in absence of cash deposits; in selling securities to entities
or to the government; in matching sellers and buyers of securities; advising
about mergers and acquisitions. The other peculiarity of investment banks
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is that it doesn’t realize lending activities, so their risk tolerance level is
higher versus commercial banks. Investment banks serve clients who already
may have huge amounts of capital as a rule, while commercial banks
(especially retail-oriented) may cater for consumer categories that need the
seed capital or need to maintain routine necessities. That explains the total
opposite interests among these types of banking.
Summarizing we must note that commercial and investing activity must
be distinguished due to specificity of the last.
We must also underline that the problem of liquidity is urgent especially
for investment banks. According to new Basel recommendations it is
expected to form more reserve buffers to maintain banking activity: it is
supposed to direct all retained profits to insure risks by force of risk-weighted
asset generation. In this case the problems with liquidity may rise in
investment banks due to absence of deposits and incomes from crediting.
The effective risk governance may become the way of problem-solving.
The idea of distinguishing commercial and investment banking has been
suggested in Glass-Steagall Act (1933), Gramm-Leach-Bliley Act (1999),
Vickers Report (2010), Volcker Rule (2012). The recommendation to
separate high-risk (proprietary trading of securities and derivatives) and
classical banking activities is also stated by the High-level Expert Group to
reduce possible risks, both local and systemic.
The aim of the investigation is to define the role of CRO in corporate
governance and to show the interrelation between the way of CRO subordination and performance of investment bank. As noticed above these
problems are urgent nowadays, that totally explains the actuality of this
research.
The most important outcome of our research is that investment banks
which have special Risk Committee perform better after financial crisis than
banks only with Audit Committee. With that the analysis of independence of
Risk Management Committee shows that RMC with fewer requirements
perform significantly worse than other investment banks in the sample. To
sum up, investment banks with Chief Risk Officer (as separate position)
got high level of SKPI, consequently, perform better.
Therefore, we can conclude that the RMC presence in general and
the CRO in particular effect positively on the financial performance of
investment banks.
The results of our paper can serve as a basis for further research; in
consequence, we can get more fundamental findings, using another sample
of investment banks.
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Bewaji Oluwasegun, Professor, Centre for Computational Finance
and Economic Agents (CCFEA) University of Essex, UK;
Sheri Markose, Professor, Centre for Computational Finance
and Economic Agents (CCFEA) University of Essex, UK
AN MULTI-AGENT MODEL OF RMBS, CREDIT RISK
TRANSFER IN BANKS AND FINANCIAL STABILITY:
IMPLICATIONS OF THE SUBPRIME CRISIS
For the study of RMBS within banking and the implications for financial stability from the process of credit risk transfer we apply the agentbased modelling (ABM) simulation technique. We design and develop a
two-sector computational agent model using an insolvency risk constrained
multi-period horizon model of profit maximisation with mortgage origination and securitization by banks on the one hand and the asset liability
management activities of institutional investors who seek returns from equity and credit assets. The RMBS model for banks includes regulatory arbitrage from Basel capital adequacy, asset quality deterioration and default
risk of loans. Our approach shows how the RMBS activity and the credit
risk involved is incorporated into the portfolios of institutional investors
and hedge funds who sought high return from the high risk tranche of credit
assets. On this basis, we discuss the financial stability implications arising
from the calibrations of two sectors where banking data relies on the FDIC
data set and the default and coupon rates for credit assets come from the
2007 Citibank Report. Critical to issues such as whether there is an over
supply of RMBS with an excessive high proportion of assets being securitized (typical rates of about 40–49 % being the case in the 2001–2002 for
subprime originators) is found to lie in inappropriate coupon rates being
paid on credit products based on high default RMBS and hence the costs of
RMBS were not correctly factored. The implications of the passage of time
for insolvencies to kick in can be observed in the agent based model. For
instance, institutional investors with large portfolios of up to 38 % or more
of credit assets with default rates in excess of 10 % could be insolvent by
year 2. In such a case, the high Dutch Insurance Supervisory Board solvency margin of 30 % for institutional investors did not appear to fare any better than a lower one showing that the collapse of market value for RMBS
backed credit assets from high default by mortgagees is the dominant determinant of systemic risk. In its fully developed form, it is possible for the
agent based model to articulate various components of the financial sector.
Future research aims to incorporate the CDO structures fully, add features
like marking to market accounting, the short term market for commercial
paper and an explicit role for regulatory authorities such as Central Banks.
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Pavel Shevchenko, Professor, CSIRO Mathematics,
Informatics and Statistics, Australia;
Gareth Peters, Doctor, Department of Statistical Science,
University College London, CSIRO Mathematics,
Informatics and Statistics, Australia
LOSS DISTRIBUTION APPROACH FOR OPERATIONAL
RISK CAPITAL MODELLING UNDER BASEL II:
COMBINING DIFFERENT DATA SOURCES
FOR RISK ESTIMATION
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes
in operational risk environment. Globalization, deregulation, the use of
complex financial products and changes in information technology have
resulted in exposure to new risks very different from market and credit
risks. In response, Basel Committee for banking Supervision has developed
a regulatory framework, referred to as Basel II, that introduced operational
risk category and corresponding capital requirements. Over the past five
years, major banks in most parts of the world have received accreditation
under the Basel II Advanced Measurement Approach (AMA) by adopting
the loss distribution approach (LDA) despite there being a number of unresolved methodological challenges in its implementation. Different approaches and methods are still under hot debate. We review methods
proposed in the literature for combining different data sources (internal data,
external data and scenario analysis) which is one of the regulatory requirement for AMA.
The development of the corporate governance is the one of key conditions of qualitative changes in the banking sector, aimed to increase competitiveness and sustainability of credit institutions. The reason is that banks
which redistribute financial resources in the economy should act in the interests of a wide range of stakeholders. Corporate governance that provides
adequate protection of interests of bank owners, creditors, customers and
other stakeholders from increasing risk and uncertainty becomes one of the
decisive factors of stable operation both individual banks and the banking
system in general.
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Alexander Kostyuk, Ph.D., DBA, Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine; Dmitriy Riabichenko, Ph.D.,
researcher, Ukrainian Academy of Banking of the National Bank
of Ukraine, Ukraine; Yaroslav Mozghovyi, Ph.D., researcher,
Ukrainian Academy of Banking of the National Bank of Ukraine,
Ukraine;Tetyana Fedirko, Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine
CORPORATE GOVERNANCE AND MARKET POSITIONS
OF EUROPEAN BANK HOLDING COMPANIES
Corporate governance issues in banks became the subject of extensive
discussion of academics and experts not so long ago. Previously dominant
role in specific for the banking business conflict situations belonged to the
state, in particular to the system of banking regulation and supervision.
Nowadays, when significant attention of international institutions is paid to
macroprudential regulation in order to minimize systemic risk, research of
organizational features of corporate governance in the bank is particularly
important, especially in conditions of growing threat of external shocks in
the system of financial intermediation.
Corporate governance effectiveness of individual bank depends on the
corporate governance model, which is formed mainly under the influence
of regional peculiarities as well as by the organization of corporate governance in the bank, which is defined the model and the Board of Directors
and determines the hierarchical relationship regard to the subordination of
individuals. In view of the fact that the corporate governance model largely
depends on the bank’s home country and is not flexible to changes in the
short term it is important to consider the fundamental models of the Board
of Directors implemented in banks. This study seeks to identify the most
effective variant of governance model for biggest banks which would meet
the principle of adaptability in the face of volatility growth in the external
conditions. We review the main features of Unitary and Two-tier models of
the Board of Directors and describe the main peculiarities both of these
models.
Using such indexes as ROE, P/B, ROATA, CT1 to calculate key performance index for 30 biggest European banks, we found that banks with
Unitary Board were better performed in 2011 because of absence of informational asymmetry and rapidity of taking the decisions. The interconnectedness between performance and some factors which describes corporate
governance model was revealed.
Corporate governance largely determines and impacts on all areas of
banking activity, including the efficiency of their operations. The results
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indicate that banks, whose corporate governance is organized qualitatively,
takes better market positions. However, geographical factors also play the
important role, because in many cases they determine the strategy of doing
business in the financial sector, which occurred under the process of financial intermediation evolution in the country.
Geographical factors determine the choice of the bank’s business
model, affecting the development strategy of the branch network, so the
Swedish banks, which have a smaller number of branches abroad compared
to Spanish, Italian, and other banks, are resilient to the reduction of foreign
subsidiaries under crisis conditions, while banks, whose majority of assets
are concentrated from outside of the country, have to support foreign
branches and subsidiaries.
The process of increasing the attention of regulators and the banks
themselves to corporate governance, including risk governance issues, leads
to a shift the strategy in favor of a conservative approach to ensure financial stability, but most of “too big to fail” banks included in the sample
can’t change their policy radically in the short term due to sub-optimal asset structure; existence of a large number of foreign branches, which leads
to the necessity of taking into account the national circumstances of recipient countries; legal constraints on the Board of Directors model choice. The
gradual elimination of these threats by improving corporate governance
quality is the optimal vector of development for banks as at the micro level –
to ensure the effectiveness of their activity, and at the macro level – to minimize systemic risk.
Vladislav Dombrovskyy, Ph.D., Associate Professor,
Ukrainian Academy of Banking of the National Bank of Ukraine, Ukraine
USING GOOGLE TRENDS FOR BETTER MONETARY
POLICY IN EMERGING ECONOMIES
Timely economic statistics is crucial for effective decision making,
but it is released with a lag by national statistical services. Finding data that
contains information regarding the current economic situation is especially
valuable for emerging economies, which generally experience bigger delays in term of official statistics availability. We looked at using Google
search query data for nowcasting unemployment rate in Ukraine and found
strong correlation between keyword searches related to labor market and
unemployment rates. Google data is especially useful for predicting the
turning points of a time series.
There are several benefits from using search queries data for improving economic forecasts: 1) They are derived directly from households;
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2) It is a far more representative sample than results of consumer surveys;
3) They released at high frequency and regular intervals.
However, there are two main prerequisites for using search data as a
source of information: 1) High level of the Internet penetration is a must;
2) Google is used as a default search engine by most users in a country, because there is no other search engine which provides access to search statistics. Only under these conditions, the search data is reliable.
Ukraine is ready for adopting this approach, as it has about 20 million
active internet users in 2012. The penetration level was about 45 %, which
is relatively lower comparing to developed countries (e.g. the U.S. 78 %),
but the research showed that this level is sufficient.
Nevertheless, using data from the Internet for making economic decisions creates a few potential problems. First of all, it would be possible to
influence economic policy of any given country by using Internet bots
for producing misleading search queries. Secondly, with enough data and
computational power it is easy to find something completely irrelevant that
plausibly correlates with main macroeconomic indicators. Thirdly, we have
to take into account reflexivity in economics. If people knew that their
search queries influence governments’ decisions, they could try to manipulate them.
Vladimir Domrachev, State University of Information and Communication
Technologies; Alexander Lyubich, Academy of Financial Management
of the Ministry of Finance of Ukraine; Ruslan Kostetsky, SAS Ukraine
THE MODERN SYSTEMS OF BUSINESS INTELLIGENCE
AS A COMPONENT OF DECISION MAKING SUPPORT
IN UKRAINIAN BANKING SYSTEM
The modern business intelligence tools used in the Ukrainian banks’
working process are investigated.
The current stage of the banking services development that runs in increasing competition environment and the crisis in the global monetary and
financial markets is characterized by three main trends: the growing role of
innovative technologies, increasing of the scope and diversity of retail banking services, increasing of the share of innovative technologies, formation
of new market segments of services for the population.
Recently, new analytical systems of business intelligence (BI) appeared
on the market of software solutions, which provide banks, companies, government agencies with necessary tools for analysis and planning. Well-known
computer companies like IBM (Cognos Express, SPSS), Microsoft, SAS and
others have joined the development of BI systems. Among other financial
14
institutions, BI systems are widely used by banks. Many Ukrainian banks
with foreign participation in its capital actively use business intelligence
system for analysis and prediction of performance.
BI systems provide organizations with the tools to collect and analyze
data, form their own strategies in the market. It is composed of blocks containing analysis, modeling and forecasting of business processes tools that
gives opportunity to choose and justify decisions.
The main modules of SAS Business Intelligence module is working
with data (content, process, transformation), data analysis and visual and
informative reports that would help the company’s management (analysts)
in decision-making. All modern business intelligence systems include the
module “Web reports generator” (SAS Web Report Studio). The purpose of
this module is to develop commercially attractive product and meaningful
page on the Internet. One of the requirements for modern business intelligence systems is the ability to provide appropriate administration tools of
created reports, with the possibility of adding digital signatures. Modern
business intelligence systems are enabled for OLAP, which can effectively
bind reports to large amounts of data (SAS OLAP Cube Studio). Presence
of statistical data unit is mandatory for BI systems.
Conclusion. The use of innovative business intelligence systems in the
banking sector is the main competitive factor in the global information society.
Anatoliy Tkachenko, Ph.D., Law Candidate of Legal Sciences,
Associate Professor of the Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine
BANK COMPETITION AS AN OBJECT OF LEGAL
REGULATION: HISTORY AND CONTEMPORANEITY
Bank competition has appeared later than competition in industry. In its
classic understanding, as known, it appeared in the 19 th century. Some researchers determine its beginning in the middle of the 19th century, others –
in its second half. Without regard to the vagueness of its chronologic scopes,
it is completely clear that its appearance in those terms was stipulated by
the development of capitalism, because in the conditions of manufactory
production economic competitiveness developed extraordinarily languid.
The mentioned process has been substantially deepened by industrial revolution which caused growth of economy, foremost in industry.
The financial policy of banks changed in the period of industrial revolutions of the 19–20th centuries. Capital requirements began to grow, that
15
caused the tendency of dynamic growth of the bank sector. However, its
expansion was possible until certain period without entering into competitive activity. But in the 19 th century the situation has changed. Concentration of production, increase of amount of capital, creation of monopolistic
unions promoted concentrations and centralizations of bank capital. Mutual
relations of banks and industrial enterprises start changing, merger of bank
and industrial capital starts. From the middle of the 19 th century investment
of funds in the development of industry and transport draws large profits.
Banks become the proprietors of property and more oriented on certain industries of economy.
Strengthening of competition was caused by increase of a number of
economic agents. Banks began to compete for clients by granting advantageous offers. Banking market was the banking competition sector. Money
and financial instruments, related to them, were its distinctive features. The
specific character of competitive activity was the fact that it has become
consequence of the legal banking activity registration as an exceptional kind
of business, that didn’t allow combination with other kinds of activity.
Banks were specialized in certain types of financial operations. Saving
Banks operated with people deposits, Investment Banks invested money
into the certain sector of economy, Mortgage Banks gave long credits.
Competition took place between Commercial Banks which were divided
into universal and specialized. A distinct verge existed between these kinds
of banks and that was related with a number of legislative operations limitations set for them.
Bank competition in the 20th century has been influenced by structural
changes in the banking system. Operations which made the essence of banking activity, that is crediting of economy, securities agreements, not widespread non-cash payments, specialization of banks, in twenties of the 20th
century have changed into expansion of cashless turnover, banking business rationalization, strengthening of concentration in the banking sector
and as a consequence of which became takeover of small banks by big ones
and their merge.
In sixties of the 20th century people money transformed into primary
derivation of bank resources; expansion of mass operations of all credit institutes has happened. Liberalization of government control of commercial
banks activity has happened, which considerably influenced on competition
situation aggravation.
Presently there is subsequent strengthening of banking sector competition, growth of the value of non-price competition, globalization of banking
competition.
16
Banking competition takes place in the conditions of governmental
control. The most substantial directions of this activity are entrance barriers
making, which set legal bank activity limitations, that hinder weak banks
entrance to the market and thus do not allow the situation when competition becomes destructive. They are carried out by designating of minimal
value of the chartered capital and licensing of banking activity.
Legislative base can make noticeable influence upon the banking system development and competition between banks. In some countries banks
are forbidden to execute certain security-related operations, to invest in the
capitals of enterprises. In a number of countries banks are not allowed to be
engaged in insurance.
In the USA the double subordination system functions, when a bank
can be established both by the government of a separate State and by the
Federal government. Banks in, its turn, by law can choose jurisdiction (authority of regulation and control). In some countries in accordance with
legislations Central Banks can be widely engaged in maintenance of economy, in other the basic function is concentrated on the issue of money in
turnover and strengthening of their solvency.
Legislation works for development of the banking system not only by
making interdicts. Numerous examples are known, when in accordance
with this or that law this or that bank is established and destined to assist
the development of this or that industry of the national economy.
At the same time inter-bank competition is a rather noticeable factor
which determines development of the banking system. The presence of fair
quantity of independent banks in a country creates circumstances in which
banks are forced to enter the field, fighting for a client, improving services
quality, extending services, offering new products to the market. In market
economy countries the competition assists development of the banking system. In the legislation of these countries there are special provisions that
bound monopolism formations in banking sector, as it is considered that
monopolism, as antipode of competition, does not assist banking market
development.
Lately in the conditions of banking competition strengthening in many
countries a tendency to universalization of banking activity is exhibited . In
the conditions of globalization and internationalization of the banking
competition problems become acute. New problems in the field of regulation of competition relations predetermine the necessity of normative-andlegal bases perfection, in particular, passing laws on competition, as it has
been done by the developed countries.
17
Olga Kozmenko, Dr., Professor, Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine;
Olga Kuzmenko, Ph.D., Assistant Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
MODELING THE DYNAMICS STABILITY
OF UKRAINIAN BANKING SYSTEM
Liberalization of economic relations and dissemination of globalization tendencies triggered the rapid development of consumer and financial
markets. But, from the other side, it also caused a lot of damages for financial market and its components, especially for banking system, because
banks play the most important role on financial market and are major financial intermediaries in our country. So, on the base of previous statements, we
can summaries that fluctuation in banking sector could cause to the instability of economic situation in the whole country. That’s why it’s very important to research and develop some type of model to identify the factors of
banking system stable development and find out the mechanism of its regulation. All these facts prove the urgency of this scientific research topic.
Stability of banking system is proposed to consider as the ability of
the system to maintain stable basic characteristics in time in condition of
insignificant market fluctuation and to perceive and resist the influence of
external factors adequately and to maintain the condition of a long-term
dynamic equilibrium.
Modeling the dynamics stability of the banking system is proposed to
realize on the basis of verification time series stationarity by adaptation of
the Forster-Stewart method to the peculiarities of the research subject.
Therefore, the stationary time series is a process, which is characterized by
constant mathematical expectation and variance (without trends), autocorrelation function depends on two subsequent periods of time, and not from
a particular time period. It is proposed to analyze the stages of the proposed
approach practical implementation more detailed with consideration of the
mentioned definition.
1 stage. Creation the research information base by collecting statistical
data in the context of the dynamics of relevant indicators of quantitative estimation the stability of Ukrainian banking system; complex research of
their basic regularities. Such indicators are: the rate of growth of net profit/loss; the capital adequacy of banks; interest margin; ROA (return on assets); ROE (return on equity) (figure 1).
18
Figure 1 – Diagram of the dynamics of relevant indicators
of quantitative estimation the stability of Ukrainian banking system
The comprehensive analysis of the time series, presented in figure 1,
allowed to determine the main tendencies in change of the national banking
system’ indicators stability. Therefore, clear linear trend of development is
observed in the context of capital adequacy and the return on assets of
banking institutions, while the seasonal variations are characteristic such
indexes as interest margin and return on capital. The above-indicated variations of the mentioned indicators cause the oscillation trends in the dynamics of banking system stability indicator.
Formalization and quantification of the revealed laws is proposed to
realize with the use of mathematical methods by decomposition of the considered time series filtering trend  F (t )  , seasonal (cyclic)  S  and random
components:
 return on capital is described by the trend-seasonal multiplicative model:
(1)
ROEt  F (t )  S   0,01t  0,16  ( 0,25) d1 0,6d21,31d3 2,07 d4
where ROEt – the return on equity at time t; d1  d 2 , d 3 , d 4  – the indicator of the first (second, third, fourth and so on)
quarter, which takes the values: “1”, if time moment
of calculations are corresponded to the first (second,
third, fourth an so on) quarter, “0” – otherwise:
 interest margin is characterized by a trend-seasonal additive model:
PM t   0,01t  0,10  0,41d1  0,81d 2  1,18d 3  1,51d 4
where PM t – interest margin at time t.
(2)
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2 stage. Definition of two numerical sequences k and l on the basis of
the comparison of each input time series value (consistently one of a whole
array selected indicators) with the previous according to this principle: in
the context of the numerical sequence k – a single value, if the time series
level (except the first one) is greater than all the previous ones, and a nonzero value otherwise, within the sequence l – a single value, if the time series level (except the first one) is less than all the previous ones, and a nonzero value otherwise.
3 stage. Calculation of the monotonicity characteristics (variables c and
d), fading or slacking off each time series of relevant indicators of quantitative estimation of the Ukrainian banking system stability:
n
n
c   (kt  lt ), d   (kt  lt )
t 2
(3)
t 2
where kt  lt  – the value of the numerical sequence k (respectively, l)
at time t.
4 stage. The comparison of t-relations actual values with a critical one
and formation conclusions on the confirmation (if the calculated value exceeds a critical) or reject the hypothesis about trends in average and in the
dispersion the corresponding time series. Formulas take the form of:
tc 
c
1
where
,  1  2ln n  3,43, td 
d 0
2
,  2  2 ln n  0,85
(4)
 – assessment of the mathematical expectations time series;
 1 – assessment of the mean-square deviations the value c;
 2 – assessment of the mean-square deviations the value d.
5 stage. Determination of the dynamics banking system stability indicator (R) as a time series, which elements are calculated as the amount of
t-relations in the moment of time t.
The practical implementation of the above-mentioned approach allows
to identify time intervals, during which Ukrainian banking system is characterized by insufficient level of stability. So, the stability indicator takes a
value “1” (the fact of an unstable condition) in the second half of 2010, the
second quarter of 2011 and during almost the whole year in 2012.
Stability of the banking system is determined by a lot of indicators and
influences on the formation of the main banking sector indicators. In the
research it is relevant to determine the direction and nature of the link
between the effective sign and the size of equity capital, liabilities and assets for the banking system as a whole. Therefore, quantification the impact
20
factors in the stability indicator is proposed on the basis of an econometric
approach, which considers the construction of the equations multiple nonlinear regression in such form:
R  91 783, 33  44 754, 38ln OC  338 405, 64 ln E  385 645, 31ln A 
 1 260,82 ln 2 OC  8 606,86 ln 2 E  9 744, 91ln 2 A
(5)
– the indicator of the banking system stability;
OC – equity capital;
E – liabilities;
A – assets.
where R
Analysis of the equation parameters (5) allows to make the following
conclusions. With the increase of the banks equity capital to the amount
177,48 billion (18 % of GDP) the level of banking system stability will
gradually reduce. Increase of the equity capital above the specified value
will cause the revive of Ukrainian banking system stability. A similar tendency is characterized the liabilities (critical value of 196,59 billion – 19,94 %
of GDP), in contrast to assets, the which influence on the effective sign is
opposite. Therefore, as the relationship between the stability indicator and
assets are presented in the form of polynomial second order branches down,
the increase in the assets to the level of 197,87 billion (20,07 % of GDP) is
accompanied by increase of productive character. The excess of this factor
he specified value gradually leads to the loss of the banking system the stable state.
The accuracy and adequacy of revealed regularities are confirmed: criterion Fisher, the actual value of which 3,52 exceeds a critical permissible
level of 3,41; the coefficient of determination at the level of 70,10 %; statistically significant parameters of the regression equation (t-criterion).
Thus, modeling the dynamics stability of the Ukrainian banking system is allowed to define the stability indicator, explore its dynamics as time
series, identify its’ main factors, realize decomposition of a system-forming
components of the effective indicator.
Iryna Lopatkina, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine; Viktor Lopatkin,
MBA program, Lincoln University of California, Oakland, USA
MACROPRUDENTIAL REGULATION:
THE SHIFT IN THE GLOBAL ECONOMIC
In the aftermath of the recent global financial crisis the concept of
government regulatory role has drastically changed. Failure to develop a
policy that would create a net positive effect for the economy as a whole
21
revealed how ill prepared the leaders of the global economy were. The new
shift of the economic paradigm implies transfer from a more detailed and
segmented vision to a high level perception of the economy not only on the
country scale, but on a global scale as well.
It became clear that systemic risk is a far more important subject
than the combination of individual risks concentrated in certain sectors of
the economy or even specific companies. Government targeting policies
(inflation targeting, unemployment targeting etc.) have little effect if the
pressure built in one area of the economy transfer elsewhere. Further understanding of such shift created a new concept in economic theory-macroprudential regulation.
The essence of the theory is in expanding the scope of economic regulation to a whole economy with its intricate risks, higher number of
involved factors and a growing complexity of interconnections of these
elements. The concept of macroprudential regulation expanded to encompass
global economic relations. The goal of such regulation is to make decision on
economic policies based on expected outcome for global economic system as
a whole. Understanding the mechanism of effective macroprudential regulation has become a challenge for the financial officials.
Over the years we have developed a large range of metric to assess the
individual industry risks as well as risks of concentrated in specific niches
of corporate sector. The biggest obstacle in the way of macroprudential
adaptation is development of systemic risk metrics. How will the shift in
the risk in baking sector influence the same metric in manufacturing, consumer sector, real estate market? How will government policy implementation
or targeting of specific macroeconomic indicators cascade into every little
element of the economy (not only of national economy but potentially global
economy).
Basel III became an important cornerstone in the development of
macroprudential regulation. The new standards mandate the implementation
of preventative and proactive analysis in the banking sector as well as
facilitate creation of a number of important regulatory tools.
There are many other issues that financial leaders have to overcome
while implementing regulatory policies, one of them being “leakage” of
intended effect. This effect occurs more and more often as global financial
system becomes more interconnected and the regulatory subordination grows
more opaque. As an example, regulatory norms directed at national banking
system would not always spread onto financial institutions that are regulated
by foreign structures. Thus these “unregulated” parties will diminish the
intended effect of a specific macroprudential program. Such specificity
posed a serious problem during discussion of the interbank transaction fees
that could potentially be levied on French banks. This leads to a point that
22
macroprudential regulatory policies would be coordinated between different
governments, while taking into consideration national interests and regional/ global interdependencies. Basel III is expected to eliminate some of
“leakages” through taking into considerations differences in national financial regulations. Political decision making, however, should act along
the lines of financial regulatory measures.
Implementation of macroprudential regulation requires a set of tools
that is thoroughly selected and approved amongst the international financial
regulators. For now one of the most effective and generally accepted tools is
countercyclical capital buffer. The tools is expected to prevent transitioning
of the risk between corporate and public sector while at the same time
distributing systemic risk over a much higher number of years. This tool has
been tested in some European countries and proved to be effective as a way
to mitigate the risks across multiple economic sectors (such as consumers;
market, banking sector, manufacturing, services, real estate).
Macroprudential regulation is a result of a natural progression of economic theory in the direction of a more thoughtful and informed decisionmaking. Successful regulation, according to the new approach encourages
proactive measures rather than de-facto reactive regulation. While some
first steps in implementation of the new regulatory model have been made
in many countries around the world the process will still be hampered by
barriers of communication, political decision making and heterogeneity of
financial systems.
Katerina Piskun, II category specialist of the Department
of post-graduate studies, Ukrainian Academy of Banking
of National Bank of Ukraine, Ukraine
STIMULATION OF THE BUSINESS SOCIAL
RESPONSIBILITY AS A FACTOR IN THE REALIZATION
OF THE STATE SOCIAL FUNCTION
In the recent years, the issue of the corporate social responsibility has
become extremely important for multinational companies and governments
in many countries. In the 70ies and 80ies the public began to learn about
the ghost towns, which died along with the enterprises located in them, the
polluted rivers, accidents caused by the activities of enterprises. Increasingly, the role of a civilized society responsible to the future generations for
the consequences of its activity is gaining in importance.
In Ukraine, socially responsible business is seen as a charity and a
mechanism of social investments of the private sector. These functions are
considered not as additional ones to the respective role of the state, but as a
23
substitution of the state in the social sphere. Little attention is given so far
to the stimulation of businesses to socially responsible behavior. Also, there is
a lack of trust of Ukrainian consumers to companies, the low level of their
reputation. In our opinion, these negative aspects existing in Ukraine are
caused, first of all, by the fact that Ukrainians consider the business social
responsibility as some fancy public relations campaign, failing to accept the
socially responsible business as one of the most important factors of economic development.
It should also be pointed out that today Ukrainian socially responsible
companies do not receive anything more than moral satisfaction. Some of
them follow socially responsible behavior based on the shareholders rules,
the corporate culture and pressures from the state indicating that corporate
social responsibility is an additional burden on their businesses.
Under these circumstances, the role of the state is to create the environment conducive to the development of business. The authorities must
realize that the development of social responsibility of businesses will be
contributing to the country’s socio-economic development as a whole. Under these conditions, it is necessary to conduct a dialogue between the state
and the business, leading to the clear understanding of the business contribution into the social sphere and the state preferences given in return.
In addition, the analysis of the international experience shows that the
creation of certain financial incentives to carry out socially responsible
business activates the business itself.
In Ukraine there are tax privileges for benefactors. They are enshrined
in law. Ukrainian enterprises that use innovative technologies and alternative energy sources also receive tax exemptions from the state. However,
they are insufficient in the present form.
In our view, it would be expedient to borrow from the experience of
other countries and develop the following areas of the state stimulation of the
social responsibility: financial support of the environmental policies of
companies; provision of state funds to social businesses; refinancing of bank
loans for socially active enterprises; stimulation with grants and awards;
preferences to socially responsible companies in the form of building permits; preferential allotment of land; introduction of social provisions in the
public procurement contracts; preferential treatment in public procurements; partial refunds to the companies that meet the standards of social
responsibility; financing of training; tax incentives; benefits from property
taxes, VAT and income tax.
Taken together, the proposed incentives could become an important
step for Ukraine to solve a number of socio-economic problems and create
a socially stable environment for businesses, the state and its citizens, making a socially responsible behavior a standard for the whole society.
24
Taras Savchenko, Ph.D., Associate Professor,
Ukrainian Academy of Banking of the National Bank of Ukraine, Ukraine
APPROACHES TO DEVELOPMENT OF AN EXPLICIT RULE
OF MONETARY POLICY
The most well-known explicit rule of the monetary policy is the Taylor rule. This rule was first formulated by the Stanford University Professor
John Taylor in 1993. In his subsequent works John Taylor continued his
research of methodological approaches regarding the development and implementation of the monetary rules. In the second half of the 90s of the
20th century and the beginning of the 21st century other scientists also
studied the ways of development and improvement of monetary rules.
Experts of the National Bank of Ukraine (NBU) have developed a
quarterly forecasting model of the transmission mechanism of monetary
policy in Ukraine. This model implicitly uses the monetary policy rule for the
key interest rate.
The aim of this paper is to substantiate the expediency of developing
an explicit monetary rule for the Ukrainian economy. We also examine the
main stages of its development: (1) determination of the rule’s basic form;
(2) estimation of equilibrium values of the rule’s parameters; and (3) determination of the parameters that should be included in the rule.
We have analyzed the methodical approaches to its formation. In particular, the procedure for calculating the value of the equilibrium GDP, which
is used in the formation of the policy rule, was determined. A multivariate
regression model, which confirms the presence of a statistically significant
relationship between the main parameters of the monetary rule, was developed:
m  0,16  1,10  0,87( x  x* )  1,87q*
where Δm
Δv
Δx
Δx*
Δq
is the money supply growth (M3 aggregate);
is the velocity of money growth;
is the growth of nominal GDP;
is the growth of equilibrium nominal GDP;
is the growth of equilibrium real GDP.
In our opinion, the conception of “monetary rules” as any other economic conception that involves the use of certain stable relationships between
macroeconomic parameters for solving the current economic problems, has
several deficiencies. These deficiencies are caused by the unstable nature of
socio-economic relations and the complexity of forecasting of the economic
25
agents’ behavior at macroeconomic level. Based on the general content of research publications Van Lear William identifies five major deficiencies in the
development and implementation of monetary rules.
However, we believe that two key theses in support of monetary rules
negate most of the deficiencies cited in the scientific literature. Firstly, all developers of monetary rules, including John Taylor, warn against their mechanical application and emphasize the importance of their use along with other
decision making instruments (expert judgment, modeling, etc.) of the monetary authorities. Secondly, at the moment there is no theoretically substantiated and empirically confirmed alternative to monetary rules. This thesis is
particularly important during the use of inflation targeting regime.
The findings of this study can be used by the National Bank of Ukraine
to develop a monetary rule. It should be noted that an explicit monetary policy
rule will have a limited sphere of application until the full implementation
of inflation targeting regime in Ukraine. It should be used only as an additional instrument for analyzing the effectiveness of the monetary policy.
However, after the transition to inflation targeting and the renewal of stable
relationships between the money supply and price dynamics in the economy of Ukraine (which will cause the inclusion of inflation indicator in the
monetary rule for money supply) this rule can become one of the main instruments in the development and implementation of the monetary policy.
Oleg Skorba, Ph.D, Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine
FORENSINC ACCOUNTING INVENTORY
Proper organization of accounting of materials is essential for theft prevention, misuse and lack. Examination as a way of using special accounting
knowledge is organized by law enforcement authorities and conducted by
the expert (expert committee).
The subject of forensic accounting operations accounting materials are
business transactions and the reliability of their reflection in the accounting
and reporting, which are under investigation of the judicial authorities and
require specialized knowledge of expert accountants for the establishment
of the truth.
The objects of forensic accounting specify its subject and define the
parameters of the study. The object of forensic accounting inventory are
documented accounting evidence (primary documents, accounting records,
reporting) and records of the investigation.
26
In the process of preparation for the appointment of forensic accounting
and by the formulation of the questions the investigator should collect and
then with the resolution of an examination appointment provide the expert
with the materials – subjects of examination:
a) primary and consolidated accounting documents, b) accounting
registers, c) accounting statements, d) acts of prior audits, e) extraction and
document review reports, e) records of seizures and searches, h) interrogation
records of the accused and witnesses, as well as confrontation records, which
consider studied business transactions, h) resolution of business documents
involvement, i) conclusions of experts of other specialties.
Forensic accounting is considered appointed from the date of the
relevant determination by the court or the judge’s decision, the person who
conducted the inquiry, the investigator or the prosecutor.
Having recognized the need for a forensic accounting, the investigator
makes a resolution, which states:
 Reason for the appointment of forensic accounting;
 Date and place of the resolution;
 Full name of the expert accountant, his work position and the name of the
expert institution where the forensic accounting expertise will be held;
 Questions to the expert accountant;
 Materials given to the expert accountant.
After that the expert accountant is involved to the case. The work of the
expert accountant can be divided into three stages:
1. Previous study of the case.
2. Investigation of the case and resolutions of the issues.
3. Formation of the expertise resolution and its transfer to the court
(the investigator).
Each of the questions should be answered in effect or the impossibility
of their solving with the reasons for that should be stated.
The preventive circumstances established by the expert are reflected
in the research part of the conclusion, and suggestions to prevent crimes –
in it’s outcome part.
The conclusion is signed by the expert (experts) who carried out the
research, stamped and certified by the expert institution (or its affiliates)
and sent to the authority which appointed the expertise.
The conclusion is made in two copies, the first is sent to the body that
appointed the expertise and the second remains in the expert institution.
27
Tetiana Turchenyuk, Ph.D., Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine;
Margaryta Goncharova, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
HARMFUL FACTORS OF THE ENVIRONMENT AND THEIR
IMPACT ON THE HEALTH OF BANK EMPLOYEES
The professional activity of banking employees connects primarily with
the scope of mental work and is preferably computerized that provokes the
influence of harmful factors of the environment on their health. While working on the computer the banking staff is mainly affected by the physical
and physiological factors. It should be noted that the human body is unable
to adapt to harmful and dangerous factors when the level of their activity
is more than normal. In this case the normal functioning of the human body
is impossible that causes the appearance of different diseases or poisoning.
We know that in almost all areas of the bank lighting plays an important role. About 90 % of the banking information is taken by the visual
channel. A person should choose between natural light (direct sunlight falling through the windows), artificial (using various lamps) and combined (a
combination of natural and artificial light).
In the bank the temperature should be strictly regulated, because banking computers and other equipment surpass different harmful elements
through the air. In this regard, we believe that in every banking department
the systems of air conditioning or temperature control should be placed.
Temperature level directly affects the state of the health of bank employees. Therefore, the temperature at the bank has to be monitored all the
time.
Another major component is the microclimate humidity. It substantially
affects the health and the productivity of labour of banking staff. However,
excessive humidity sometimes leads to problems with banking equipment.
As to dry air we should admit that it also affects the banking staff: such air
doesn’t contain enough oxygen for normal functioning of the brains of individuals.
Long work of the banking employee at the computer influences badly
the visual system and eventually causes the problems with visual analyzer.
That provokes pain in the eyes, irritation, redness, eye blinking and doubling of items. All of these factors can cause headaches, nervous and mental strain that eventually lead to a decrease in productivity of labour of bank
employees.
From the psychological point of view, the impact of computers on the
human body is multilateral. In terms of positive mental activity they improve
28
the concentration, focus, allowing a person to be distracted from many negative factors for household or industrial nature. But on the other hand, a lot
of negative factors (such as inactivity and irritability of banking employees) can be investigated. We should stress that very important question is
not only the studying of physiological, psychological factors, but also the
effects of industrial computer usage, because the health of bank employees
should occupy the leading place in the system of bank management.
Inna Belova, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
INVESTIGATION OF INFLUENCE OF QUALITY
OF BANK CAPITAL ON ACTIVITY RISKS
The question of publishing real financial statements is extremely urgent problem for Ukraine. Intentional concealment of real financial situation in bank becomes systemic disturbance. And if reporting to supervisory
bodies in many countries provides serious sanctions on banks and in certain
cases leads to liquidation of bank and criminal responsibility of managers,
in Ukraine there is an absence of effective system of control and appropriate responsibility of violators. It should be noted that distorted information
about financial performance of bank not only decreases effectiveness of
taking measures of influence and does not allow supervisory bodies to react
on these problems in time, but also leads to continuation of dangerous bank
activity and in future – to bankruptcy and liquidation of bank.
In previous studies we have already given consideration to the question of quality of bank assets. In fact, such studies prove that banks widely
use manipulation with statements to “correct thoughts” about its financial
performance particularly in quality of assets, creation of resources and expenses et al. Our research is devoted to analysis of situation with quality of
bank capital. The appropriate capitalization is one of the most important
tasks for banks in the post-crisis period. As is known regulatory capital
consists of many elements including capital stock, subordinated debt, reserves of reappraisal et al. It is clear that subject to correlation of these elements we can consider about different quality of bank capital. Thus, the
best variant is that capital stock has the biggest share in regulatory capital.
In comparison with pre-crisis situation there were substantial changes in
the structure of regulatory capital. But it was difficult to estimate them by a
wide range of users after 2008 because the NBU held up publication of
some reports about activity of bank supervision, which allowed doing this
before.
29
Increasing of correlation between actually paid registered share capital
and regulatory capital from 59 to 98 % is an extremely positive change. It was
made possible owing to substantial efforts of the NBU in establishing tough
conditions concerning capitalization and further monitoring of realization
of such conditions. But new tendency, which arose during the crisis, is a
considerable unprofitability of activity. There is no doubt that it has influence on the size of regulatory capital.
Subordinated debt-share capital ratio had tendency to grow up from
14 % in 2006 to 21,5 % in 2010 when the maximum was reached. But share
capital has grown up too. Actually paid registered share capital increased from
25,9 bln. grn. as of 01.01.2006 to 175,4 bln. grn. as of 01.01.2013 (in 6,8
times in seven years). During recent year the indicator has been growing up
only by 2 % against 71 % in 2010. The subordinated debt increased significantly too. In crisis banks used increasing regulatory capital with the help
of subordinated debt to enhance the level of bank capitalization. Also in
2009 up to the 01.01.2012 new legislative requirements were held. They
concerned limiting sum of money that involved on terms of subordinated
debt, which are included in regulatory capital of bank, to no more than
100 % of share capital.
In quarterly reports of the NBU the indicator of “Subordinated debt”
appeared from 01.04.2009 that was actually in height of crisis. As of the
01.04.2009 subordinated debt in the banking system was 19,52 bln. grn.
The share of first group of banks was 75,5 % (14,74 bln. grn.). Impact analysis of subordinated debt of the largest banks of Ukraine over 2009–2012
showed that banks were increasing debt during the height of crisis, but
from 2011 there have been paying off debts. Unfortunately, today the subordinated debt is still more than it was before crisis. Besides the terms of
paying off debts are coming soon and expire in 2015–2016. That is soon
there will be repayment of sums that can have impact on financial performance of banks and level of their capitalization. The biggest debts are concentrated in banks of first group. Even to reach per-crisis level, banks of
first group need to pay off 4,7 bln. grn. of subordinated debts and totally in
banking system – nearly 11,0 bln. grn. At present “Alfa Bank”, “UkrSibbank” and “Ukrsotsbank” are repaying a debt. These banks reduced volumes
of activity that can be seen from their assets` dynamic. In two years assets
of “Ukrsotsbank” decreased by 6,7 %, “UkrSibbank” – by 43,9 %, “Alfa
Bank” – by 3,8 %. Other banks have not started repaying a debt yet. Thereby all mentioned banks actually will have high risk of reducing their activity if they start to repay debts.
Reserves of reappraisal are another part of regulatory capital that can
rarely argue for its quality. Sometimes the sum of reserves can be compared
30
with share capital and actually can be even equal or more than 100 %. The
biggest ratio of reserves of reappraisal to share capital is in “Poltava-Bank”
and “Ukrsotsbank”.
Thereby, in addition to the above, we can consider that there are banks
which use for increasing their capitalization both large volumes of subordinated debt and reappraisal. For example, these banks are “Raiffeisen Bank
Aval”, “Prominvestbank”, “Ukrsotsbank”, “Credit Dnepr Bank”, “Bank
Kyivska Rus”, “Ukrbusinessbank”. Banks, which have ratio of subordinated debt and reappraisal to share capital more than 50 %, include 42 banks
of 175 as of 01.01.2013. Among 42 banks there are 14 of them which have
ratio that is equal or more than 100 %, 16 banks – from 70 to 100 %. That
is actually there is a question to the quarter of existing banks about quality
of their capital and substantial risks for future.
Serhiy Bashlay, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine;
Oleg Podolyaka, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
FORMING OF ELEMENTS OF MECHANISM OF ASSESSING
THE QUALITY OF BANK MANAGEMENT SYSTEM
Poor system of management and ineffective management processes
are substantially slowing down the development of bank competitiveness
and decreasing its level. They form a factor of destabilization of bank operation in general and appropriate processes of its activity. To solve this
problem it is needed to carry out the complex of practical measures that are
based on a new methodological basis. Therefore we will take a good look
to urgent questions of forming principles and determination the structure of
support mechanism and assessing the quality of bank management system
as main factor of accelerated bank’s development. Effective realization of
bank development strategy requires, first of all, focusing attention on the
management system and management processes.
Reforms in the system of bank management are successful only if they
are accompanied with implementation of new technologies and modern
methods of management. The results of researching practice of effective
management of modern financial institutions allow forming the list of four
main principles of assessing the quality of bank management system:
1. Correspondence with standards and best practice.
2. Correspondence with goals and needs.
3. Correspondence with needs of clients.
4. Correspondence with private criteria.
31
In turn, the factors that have influence on the quality of management
system include:
 availability of necessary features and elements in system;
 performance of necessary function package (functional completeness);
 establishment of process of work;
 elements cooperation for common interests;
 clarity of ultimate goals (long-term) goals and objectives;
 availability of analysis methods and control mechanisms;
 correspondence of resource, infrastructure and information support.
Bank management system of high quality must include:
 package of necessary features of the system;
 package of business-processes;
 effectiveness of made decisions;
 development of standards;
 certainty (of method of calculation) of appropriate indicators;
 proper resource support;
 correspondence of legal and availability of normative support;
 quality of personnel training;
 systematic character of quality management process;
 providing conditions for continuous development and improvement;
 appropriate level of management responsibility et al.
For example, there are some criteria of assessing the quality of bank
management system:
 bank customers’ satisfaction;
 absence of conflict of interests between levels of bank management;
 agreement with bank development strategy;
 correspondence between legal norms and generally accepted and internal standards;
 absence of unjustified actions (transaction charges) and bureaucracy and
so forth.
Standard elements (subjects) of the support mechanism of quality of
bank management system can be:
 special methods and tools;
 business processes;
 personnel;
 cooperation between elements of system;
 provision of necessary resources;
 availability of necessary infrastructure;
 working-off mechanisms of reverse connection;
 innovations et al.
32
Thereby, the quality can be generally presented as correspondence to
certain requirements. These requirements can be different and their range is
unlimited. Basic methodological approaches to assessing quality of management systems must contain similar groups of requirements. It is useful
for development of proper methods, planning of improvements in the system of bank management. Such improvements can be gradual without losing and troubling ultimate goals and strategic guidelines of bank activity.
Т. М. Болгар, канд. екон. наук, доц., Кременчуцький інститут
Дніпропетровського університету економіки і права ім. А. Нобеля,
Україна
ОСОБЛИВОСТІ СТРАТЕГІЇ ВЕДЕННЯ БІЗНЕСУ
БАНКАМИ УКРАЇНИ З ФОРМУВАННЯ
ЯКІСНОГО КРЕДИТНОГО ПОРТФЕЛЯ
Діяльність з формування якісного кредитного портфеля потребує
вжиття повного комплексу превентивних заходів, спрямованих на
створення кредитного портфеля такої якості, яка убезпечить банк від
понесення ризиків та не призведе до перевантаження системи
внутрішньобанківського колекшену в перспективі.
Стратегією банку щодо стягнення проблемних боргів
передбачається ймовірна поведінка банківської установи при
значному збільшенні простроченого чи іншого роду проблемного
сегмента кредитів. Зазначимо, що на нинішньому етапі в країнах
Європи законодавство побудовано таким чином, що при виникненні
прострочення за кредитним договором кредитор має можливість
звернутися до правоохоронних органів з метою захисту свого права
на повернення кредитних коштів. Найчастіше врегулюванням такого
питання щодо порушеного права кредитора займається поліція та
судові органи.
Колекторські компанії також беруть участь у поверненні боргів
та залучаються кредитором як метод, альтернативний зверненню до
поліції чи суду. Такий шлях урегулювання боргу більш оперативний,
проте тягне за собою понесення збитків з боку банківських установ у
вигляді комісійних винагород зовнішнім колекторським фірмам.
Cтановище банківського бізнесу України, його законодавче
врегулювання, ментальність населення країни та певною мірою
байдужість державних органів до неповернення позичальниками
боргів банківським установам спонукають останніх до пошуку
стратегій ведення бізнесу з погляду прямої та безпосередньої
орієнтації на напрям колекшену. Адже професійний та прагматично
налаштований менеджмент банківських установ має розуміти те, що
33
Україна є країною, у якій на якість виконання боржниками своїх
договірних зобов’язань впливає велика кількість чинників, не
притаманних закордонним державам.
Зважаючи на це, банки України при обранні стратегії ведення
бізнесу повинні враховувати численні обставини, що в майбутньому
можуть негативним чином відбитися на погіршенні якості портфеля
кредитування:
 довіру суспільства до органів влади, ступінь підтримання
населенням країни курсу її керівництва;
 впевненість потенційних клієнтів банківських установ у стійкості
банківської системи;
 тенденції в діяльності основних бюджетоутворюючих галузей
держави, у яких зайнята значна кількість працюючого населення,
тощо.
Враховуючи такі обставини, банківські установи мають вивчати
ринок та обирати правильний для себе у нинішніх умовах вектор руху.
Негативним
наслідком
обрання
неправильної
стратегії
формування кредитного портфеля, може стати не лише погіршення
його якості з часом, а й ризик зниження рівня економічної безпеки
банківської установи загалом.
Однією з важливих обставин, необхідних для врахування при
формуванні кредитного портфеля, є політика банківської установи
щодо її взаємодії з представниками зовнішнього колекторства.
Збільшуючи обсяги кредитування, банки України в нинішніх умовах
мають враховувати численні ризики, що можуть реалізуватися під час
дії певних кредитних угод. Не викликає сумнівів, що ці процеси
можуть відбуватися досить стрімко та масово. Тому банківські
установи на стадії формування портфеля кредитування повинні
ставити перед собою такі питання:
 який проблемний портфель банк зможе обслуговувати силами
кредитних менеджерів;
 за якого обсягу проблемного кредитного портфеля має сенс
залучення (чи створення) власних підрозділів стягнення;
 чи готовий банк долучити до стягнення зовнішні колекторські
організації;
 умови співпраці, можливий позитивний економічний ефект чи
понесення втрат від подібної взаємодії.
Отже, формуючи кредитний портфель, банківська установа
повинна дослідити власну спроможність у майбутньому реагувати на
процеси погіршення якості обслуговування кредитних угод.
Найбажанішим результатом такого дослідження є висновок щодо
34
спроможності самостійного управління проблемним портфелем, що
може спостерігатися. Важливо з’ясувати граничну межу, при переході
за яку проблемний кредитний портфель не буде якісно керуватися
внутрішньобанківськими підрозділами стягнення. З цих показників,
ймовірно, доцільним буде долучення до процесів колекшену
представників зовнішніх стягувачів.
Однак вже на стадії формування кредитного портфеля певного
сегмента банківська установа повинна враховувати такі моменти:
 з якою колекторською фірмою чи їх групою можлива співпраця;
 умови взаємодії з позабанківськими стягувачами (комісія, викуп
тощо);
 умови рентабельності процесів кредитування при певних обсягах
проблемних кредитів;
 нормативно-правове регулювання країни щодо співпраці
банківських установ з колекторськими компаніями тощо.
Передбачення банками на стадії формування кредитного
портфеля можливих майбутніх наслідків погіршення його якості
обумовить застосування
доцільних
превентивних
заходів,
спрямованих
на
підтримання
напряму
кредитування
та
обслуговування існуючих кредитів на високому рівні.
О. П. Бондаренко, ПАТ “ЮНЕКС БАНК”, м. Київ, Україна
ОСНОВНІ РИЗИКИ СТВОРЕННЯ БАНКІВСЬКИХ ГРУП
В УКРАЇНІ
Світова фінансова криза не лише призвела до скорочення або
падіння темпів економічного зростання більшості країн світу,
дестабілізації їх фінансових та банківських систем, знецінення
національних валют, зниження купівельної спроможності
населення, загострення соціальних проблем тощо, але й внесла
суттєві коригування в погляди, плани та дії власників та менеджерів
банківських установ. Так, постійне зростання активів, обсягу
кредитних та інвестиційних операцій до часу настання кризи
вимагало від банків наявності відповідного обсягу ресурсів для їх
здійснення, після кризи ресурси потрібні були першочергово для
підтримання необхідного рівня ліквідності та формування резервів
за неякісними кредитами, обсяг яких постійно зростав. Зростання
резервів за 2009 рік було рекордним – трикратне зростання
порівняно з 2008 роком (з 47 245,2 млн. грн. у 2008 році до 122 433
млн. грн. у 2009 році).
35
Однак після настання кризи деякі джерела ресурсів для банків
стали недоступними, а деякі – доволі обмеженими, наприклад, такі
інструменти, як міжбанківські кредити та можливості отримання
коштів на міжнародних фінансових ринках, на які робився акцент у
внутрішніх антикризових банківських програмах. Що стосується
міжбанківських кредитів, то головною передумовою для їх
отримання були не раніше встановлені ліміти на банківські установи,
а можливість отримання ліквідного забезпечення від банкупозичальника,
яке
повинно
було
повністю
покривати
заборгованість. Ресурси міжнародних фінансових ринків також стали
недоступними або доступними лише за дуже високу платню.
Наслідком таких обставин став пошук інших джерел і
можливостей власниками та менеджерами банків для залучення
коштів. Аналіз вітчизняного банківського ринку дозволяє нам
стверджувати, що одним з можливих сценаріїв виходу з ситуації, яка
склалася, може бути укрупнення та концентрація капіталу
банківських установ, у тому числі шляхом створення банківських
груп.
Згідно із Законом України “Про банки і банківську діяльність”
банківська група – група юридичних осіб, які мають спільного
контролера, що складається:
 з материнського банку і його українських та іноземних дочірніх та/
або асоційованих компаній, які є фінансовими установами;
 з двох або більше фінансових установ та в якій банківська діяльність
є переважною.
Найголовнішим питанням при створенні банківської групи є
визначення контролера, який зобов’язаний забезпечити таку
структуру банківської групи (систему взаємодії між учасниками
банківської групи, систему управління, контролю та звітування в
банківській групі), яка дасть змогу здійснювати за нею нагляд на
консолідованій основі, враховуючи своєчасне виявлення та
обмеження ризиків у такій групі.
Слід також зазначити, що, окрім явних переваг створення
банківської групи, у ймовірних учасників групи виникають певні
труднощі та ризики, на які слід звернути особливу увагу. Серед
основних ризиків та недоліків можна виділити такі:
 залежність ефективності діяльності всіх членів банківської групи
від ефективності кожного з учасників – у випадку виникнення
проблем в одного з учасників групи ці проблеми стають
проблемами всіх учасників та самої групи;
36
 різні можливості банківських установ (технічні та технологічні),
труднощі з оперативним отриманням та обміном інформацією на
перших етапах становлення групи;
 необхідність зменшення загального обсягу операцій, що генерують
кредитний ризик, групи з пов’язаними особами, які не є фінансовими
установами, з 30 до 20 % статутного капіталу (норматив Н 10).
Підсумовуючи вищевикладене, ми вважаємо, що питання
створення банківських груп є доволі актуальним для вітчизняного
банківського ринку. Водночас, зважаючи на недостатність практичного
досвіду з цього питання у регулятора та банківських установ (за весь
час існування в Україні не було створено жодної банківської групи,
незважаючи на декларації та плани окремих власників банків), воно
потребує подальшого вивчення та опанування, дослідження
іноземного досвіду, розробки та вдосконалення технологічних
аспектів процесу, враховуючи наявні ризики та можливості.
С. В. Вахнюк, канд. екон. наук, доц.,
ДВНЗ “Українська академія банківської справи НБУ”, Україна
ХАРАКТЕРИСТИКА ВПЛИВУ БАНКІВСЬКОЇ СИСТЕМИ
НА ІНТЕНСИВНІСТЬ ВНУТРІШНЬОЇ КОНКУРЕНЦІЇ
В КРАЇНІ
В основу конкурентної боротьби між підприємствами покладені
їх рівнозначні можливості в межах регіону, що потрапляє в сферу їх
бізнес-діяльності. Інтенсивність внутрішньої конкуренції в країні буде
нарощуватися при створенні однакових умов ведення бізнесу у всіх
регіонах. У випадках створення для певного регіону (регіонів)
пріоритетних умов ведення бізнесу конкуренція набуває прояву
локальності, загальна її інтенсивність знижується, створюючи
передумови розвитку монополізму. Значною мірою це стосується
системи забезпечення банківськими послугами економіки країни.
Характеристику впливу банківської системи на інтенсивність
внутрішньої конкуренції в країні ми пропонуємо визначати на основі
показника IBilc (Influence of the Banking on ILC). Цей показник
визначає, наскільки рівномірно представлені банківські установи та їхні
філії в регіонах країни. Розрахунок IBilc здійснюється за формулою (1):
TR
Nqb  
IBilc 
i 1
TR
BCRi
BCRi  ( BCRi  BC )
2
 Nqbb  
i 1
TR
BBCRi
BBCRi  ( BBCRi  BBC )
2
.
(1)
37
У формулі (1) змінні BC та BBC являють собою відношення
загальної кількості банків країни, що мають ліцензію на проведення
банківських операцій, та, відповідно, банківських філій до 100 тисяч
населення. BCRі та BBCRі – аналогічні значення по окремих
економічних регіонах країни. Змінні Nqb та Nqbb нормалізують
співвідношення банків і філій у країні, причому при розрахунку
кількість банків збільшується в 2 рази з оглядом на виконання
кожним з них функцій як головного банку, так і філії. TR – загальна
кількість регіонів (Total Regions).
Nqb та Nqbb розраховуються відповідно за формулами (2) і (3):
Nqb  1 
2TB
2TB  TBB
Nqbb  1 
TBB
TBB  2TB
(2)
(3)
де TB – загальна кількість банків (Total Banks);
TBB – загальна кількість банківських філій (Total Branches of
Banks).
Результати розрахунку показника IBilc та динаміку його зміни за
попередні роки подано на рисунку 1.
Економічна сутність наведених результатів полягає в тому, що
наближення IBilc до одиниці означає рівномірність розподілу
банківських установ та їхніх філій у регіонах країни відповідно до
густоти населення.
38
Значення показників впливу
банківської системи на індикатори
економіки знань
Рік
1.00
0.90
0.80
0.70
0.60
0.50
0.40
0.30
0.20
0.10
0.00
IBils
2006
0.40
2007
0.41
2008
0.42
2009
0.43
2010
0.45
2011
0.50
Рисунок 1 – Динаміка значень показників IBilc та IBirc
Навпаки, наближення IBilc до нуля вказує на концентрацію
банківського бізнесу в одному або декількох регіонах, тоді як у
переважній більшості адміністративно-територіальних компонентів
країни інтенсивність його діяльності зумовлює відносно низький
рівень конкуренції.
Alexander Vaschenko, Ph.D., Financial analyst, Ukraine
THE STRATEGY FOR ENSURING THE COMPETITIVENESS
OF COMMERCIAL BANKS BY IDENTIFYING SUSPICIOUS
TRANSACTIONS USING THE ANALYTIC HIERARCHY
PROCESS
The method of analytic hierarchy process (AHP) T. Saaty is extremely
effective as a tool to support management making in conditions of multicriteriality. The method consists in decomposing the problem into simpler
components and processing sequences of expert opinions by pairwise comparisons. As a result, rates are determined by the interaction of the elements
of the hierarchy and opinions are characterized numerically. AHP includes
procedures: a synthesis of multiple opinions, obtaining priority criteria,
finding alternative solutions.
To carry on a subjective basis of pairwise comparisons of the relative
importance of scale has been developed that is based on the results of many
years of approbation conclusively demonstrated its practical value. It should
be emphasized that the pairing of the comparisons is a defining element AHP.
The point is that people are not able to think multi-dimensionally and trying
39
in some way to group a large number of features of different properties, be
sure to make a mistake.
The sources of the banking activity can be met by considerations of
that by winning one of the positions we are in terms of the other criteria, it
is likely to lose, and methods to overcome this contradiction does not exist.
Let’s look at the situation from the standpoint of money laundering schemes
to be recognized. In most cases, these schemes are hidden from direct observation, and you may discuss them basing only on indirect evidence of
character. Considered separately, said the signs often are uninformative,
but their analysis together can form a fairly complete picture of the potential money laundering schemes.
The list of features, they can be called as the criteria that can be used to
identify financial operations of dubious nature, is contained in. Touching,
external economic operations, we note, in particular, those of them:
 Transfer money abroad in the absence external economic contract and
import of goods without their import into the customs territory of the
country;
 Transfer funds to a beneficiary located in countries that are potentially
on macroeconomic indicators can not carry out such a transaction;
 The countries of translation and/or beneficiaries are those volumes of
export-import operations which do not confirm the size of cash flows;
 Carrying out large-scale financial operations involving securities of low
liquidity that are not quoted in an active market.
Obviously, in the end, we would like to have a quantitative measure of
the integral properties characterizing the risk of financial operation from
the point of view of the legalization of criminal proceeds. To achieve this
allows AHP. Refers to the following procedure:
 Digitizing signs of a humanitarian nature;
 Differentiation financial operations by type;
 Determining weighting coefficients.
It should be taken into consideration that AHP is a “man-machine” in
the fullest sense of the expression, as optimally complements of each of the
parties. If a person is characterized by the ability of analytical and heuristic
thinking, the computer operates easily with a variety of formal features.
T. Saaty described the AHP as a new methodological approach. He considers the AHP as a systematic procedure for layering of elements that defines
the essence of any problem. The latter fact should be emphasized from the
perspective of community method. In this system are separated T. Saaty on
the grounds of: purpose; function; flow; and the structure.
By pairwise comparison of criteria (see above) in the context of the scale
of the relative importance of developing the back-symmetric matrix. Its treat40
ment with complex algorithmic software “Expert Choice”, provides a vector
priority criteria. Then, using the same scale, making variations compared
pairwise by experts in the context of each of the criteria, that allows to build
a matrix of the above kind which are similarly processed by a computer to
obtain the corresponding vectors. Their multiplication (computer) in the vector gives priority rating options to assess suspicious transactions.
О. А. Гарасюк, канд. екон. наук, доц., А. С. Свириденко,
студентка, Криворізький національний університет, Україна
СУЧАСНИЙ СТАН КОМЕРЦІЙНИХ БАНКІВ УКРАЇНИ
ТА ЇХ РЕСУРСНА ПОЛІТИКА
Акумулювання тимчасово вільних грошових коштів та їх
розміщення на певних умовах здійснюється за рахунок банківських
установ. Саме від відповідного стану даних ресурсів залежить
добробут як банку, клієнта, так і економіки в цілому, тому ефективна
ресурсна політика банку є провідною в банківській діяльності та
потребує постійного дослідження та вдосконалення.
Ресурсна політика банку спрямована на управління ресурсною
базою банку, зокрема власними, залученими та запозиченими
ресурсами.
Банківська установа формує свої банківські ресурси самостійно,
відповідно у межах законодавства, і залежно від цього банк надає
певний спектр операцій, а також встановлюється розмір процентних
ставок, що визначає його конкурентоспроможність на фінансовому
ринку, тому необхідно вміло управляти банківськими ресурсами.
Управління банківськими ресурсами здійснюється завдяки
встановленій політиці кожного банку окремо. Політика являє собою
суспільне явище, що спрямовує свою діяльність на досягнення
певних потреб, цілей та інтересів, тому слід відмітити, що ресурсна
політика банку – це сукупність стратегічних цілей із врахуванням
суспільних інтересів, що спрямовані і взаємозалежні від формування
та стану ресурсів кожного банку окремо, що базується на нормативах
капіталу та оцінці депозитів з метою досягнення поставлених цілей та
регламентується чинним законодавством певної країни.
Фінансовий результат комерційних банків, що відображає
ефективність ресурсної політики, не є стабільним протягом 2007–
2012 рр. Це свідчить про те, що відбувається зниження чистого
прибутку, і як результат такої тенденції маємо в 2010 р. збиток у
розмірі – 38 750, а вже в 2012 р. дана ситуація поліпшується. Така
тенденція виникла у зв’язку зі світовою фінансовою кризою, яка
41
посилила недовіру клієнтів та нестабільність фінансового становища
суб’єктів господарювання, надмірні вимоги з боку банку до клієнтів та
дорогі кредити, що зумовлюються високими процентними ставками, а
також проблеми в економіці країни в цілому, зокрема зовнішній борг,
зниження інвестиційної привабливості, підвищення цін на газ і
енергоресурси та інше.
Відомо, що 15 лютого 2011 р. був прийнятий Закон України “Про
внесення змін до деяких законів України щодо регулювання
діяльності банків”, згідно з яким НБУ має право отримувати та
перевіряти дані про фінансовий стан і ділову репутацію засновників і
власників банку. Це свідчить про посилення і регулювання НБУ щодо
діяльності банків, яка, у свою чергу, призводить до збільшення в
2011–2012 рр. довіри клієнтів. Статутний капітал, згідно з законом,
був підвищений з 75 до 120 млн. грн.
Капіталізація комерційних банків у сучасних умовах є головним
фактором підвищення ефективності діяльності ресурсної політики
банку в цілому, що має 5 позицій: реінвестування прибутку,
додаткові внески власників, залучення інвесторів, об’єднання банків,
реінвестування коштів держбюджету.
В Україні з 2007–2012 рр. кількість банків, які функціонують на іноземному капіталі, збільшується з 35 до 55. Частка іноземного капіталу у
статутному капіталі банків зростає з 27,6 до 39,0 протягом 2007–2012 рр.
Отже, сучасна ресурсна політика банків України залежить від
політики кожного банку окремо, що в підсумку відображає загальний
стан банківської системи. На даному етапі банківська система
перебуває в кризовому становищі, що підтверджується результатами
діяльності та рейтинговою оцінкою протягом 2007–2012 рр. Доцільно
проводити комплексні заходи або певні програми щодо поліпшення
даної ситуації в цілому.
Oleksiy Plastun, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
ANALISYS OF POSSIBLE REASONS
FOR MARKET OVERREACTIONS
The key economic theory that explains the behavior of financial markets
is the efficient market hypothesis (EMH). According to this theory all participants of financial markets are rational economic subjects and have equal access to information. As the result it is impossible to get extra profits, since all
important information is already included in price. So there is no way to identify undervalued assets and buy them or conversely sell overvalued.
42
Despite popularity, consistency and simplicity of the EMH, empirical
data from financial markets show that assumptions underlying the EMH do
not always correspond to reality. The same applies to the main provisions
of the efficient market hypothesis.
Discrepancies between the real life and EMH are observed in practice
and in theory. Much attention among these inconsistencies researchers pay
to the overreactions in the financial markets – significant deviations in
price changes on assets from their average (typical) values during certain
period of time.
Despite a large number of scientific researches devoted to the problem
of overreactions, even today there is no consensus about its causes. According to EMH overreactions should not exist, because they create opportunities to extra profits obtain. However, real life evidence in favor of the
overreaction hypothesis. Summarizing existing theories we can form the
list of reasons for overreactions, divided into the following groups: psychological; technical; fundamental; other.
Group of psychological factors is the most common today. Actually
behavioral finance first hypothesized overreactions and human psychology
as a key reason for them. So overreactions are associated with:
1. Overreaction to new information – investors, traders instead of
objective interpretation of new information and its influence on the price of
the asset, including its future value. Instead of compare this new information
with existing one and take a rational decision on this basis, investors act
under emotions and herd effect.
2. Existence of “nois” traders – irrational investors who take decisions
on fragmentary information and current price fluctuations.
One of the most common behavioral signs of noise traders is their attempt to sell, if current prices fall and buy if prices increase. Thus, their activity increases the price fluctuations in the markets.
Developing the idea of presence in the market different investors,
Hong and Stein (1999) note the existence of two types of investors: those
ones who trade on inside and private information (“newswatchers”, investors who use fundamental analysis as a base for investment decisions), the
other ones take decisions based on past prices analysis and extrapolation its
results on the future (“momentum traders”, investors who use technical
analysis as a base for decision-making). Depending on dominating type of
investor in the market overreaction or underreaction may occur. For example, technical analysts react to price fluctuations very quickly, that leads to
the overreactions, if they dominate in the market of course. Conversely, investors who use fundamental analysis are oriented on a longer time horizons. They respond to new information not so fast. This can lead to underreaction of the market for particular new information.
43
3. The representativeness effect – if a particular market or market
sector is growing rapidly for some time, it forms a positive image among
investors. Accordingly, investors begin to prefer assets of this sector. In turn it
leads to increase in demand and therefore price growth.
Barberis, Shleifer and Vishny (1998) explain representativeness effect
by the fact that investors often ignore the laws of chance and behave as if the
events, that took place recently, are typical. However, they are very slow to
change their previous views and beliefs in response to the emergence of new
information.
4. Psychological characteristics of investor’s behavior, such as panic
and the effect of the crowd – typical human psychological flaws can explain
why “rational” investors buy assets higher then their fundamental value and
sell below their fair value.
5. Overconfidence and biased attitude – investors often overestimate
their ability to analyze the market situation. In this regard, they underestimated the likelihood of errors in the prediction of a certain event. Usually it
is associated with a certain experience which caused the illusion of market
understanding.
One more psychological feature is biased attitude. If some information
confirms predictions of investor, it strengthens his belief in own rightness.
Plus investor’s confidence decreases very slowly even if information begins
to refute their predictions. In other words, there is a tendency to consider
random success as own achievement and to think that mistakes are caused
totally by the external factors, independent from investor.
An important group of factors that can lead to the emergence of market overreactions are technical reasons, i.e. factors associated with the use
of technical analysis by investors in making decisions. Technical analysis
methodology is based on the previous price fluctuations in forecasts of future prices. Thus the current movement can generate trading signals from
various technical indicators that will lead to massive operations in the current movement direction and will strengthen it causing overreaction.
Another important technical factor is price behavior when it approaches
“level” (term from technical analysis that characterizes certain price values
which act as some sort of a barrier to the next movement, since interest of
the market is generally concentrated in these price zones). “Level” breakthrough usually leads to massive operations in direction of current price
movement.
One of the most important technical factors leading to overreactions is
execution of so-called “stop-losses” (“stops”) – orders to close opened positions when a certain level of losses is achieved. Execution of stops means
opening positions in the direction of current movement (forced closure of the
short positions means opening of the long positions and vice versa). Stops ex44
ecution acts as a movement catalyst or accelerator, and leads to increase in the
scale of basic movement and lost of control over its size. The most typical example of overreaction caused by stops execution is the collapse of U.S. stock
indexes in 1987 (Black Monday), when Dow Jones index lost 22,6 %.
Analyzing the role of technical factors, Aiyagari-Gertler (1999) proposed the following explanation for the emergence of overreactions. It can
be called margin-call theory. Its meaning is very close to previously analyzed stops execution. The bottom line of their idea is: to open a position
on particular asset investors need cash collateral – margin. To increase clients’ operations, increase their trading opportunities, brokers usually provide traders with the so-called leverage (some sort of a loan). For example,
with a $ 10,000 account trader can open positions on hundreds of thousands
dollars. When position is opened certain amount of margin is needed and is
reserved on the trade account. The consequence of this practice is an opportunity to make bigger profits, but bigger risks and losses too. At the same
time, brokers, do not want to risk their own money (acting as a creditor of
client’s operations they share risks). So they limit the risks of the client using
the margin-call mechanism. Positions are closed when margin requirements
reach certain level of equity (when trade account is insufficient to cover existing losses plus a certain level of margin). In case of large and unexpected
movement in the markets margin-call mechanism often comes into action,
closing the most unprofitable position of the client to release the margin.
Closure of unprofitable positions means, that opposite positions are opened,
i.e. positions in the direction of current movement, thus increasing its scale.
Margin-call theory has the right to life, especially in case of supermovements (as in 1929 or 1987 years), though there are doubts that in the
case of “normal” overreactions this factor can be dominant.
One more important group of factors are fundamental ones. As the example of fundamental factors, may act so-called “price-ratio hypothesis”,
proposed by Dreman (1982). According to this hypothesis, companies with
low P/E ratio are undervalued. However usually there are few investors
who wish to buy stocks of these companies. It happens because past negative still strong in the memory of investors. Nevertheless, when negative
news on such companies end and positive news become dominant, the demand for shares increases dramatically. That leads to abnormal movements.
Opposite situation is observed for overvalued shares.
Other reasons include the lack of liquidity in the market, when even
small amounts of transactions could lead to significant price fluctuations
(Grossman-Miller (1988), Jegadeesh-Titman (1992)).
So market overreactions are caused by a complex of reasons. It is hard
to highlight the dominating one. That is why overreactions should be treated as a complex phenomenon.
45
Elena Krukhmal, Ph.D., Associate Professor,
Ukrainian Academy of Banking of the National Bank of Ukraine, Ukraine;
Elena Krikliy, Ph.D., Associate Professor,
Ukrainian Academy of Banking of the National Bank of Ukraine, Ukraine
CREDIT POLICY OF THE BANK AS A MEANS
OF ENHANCING ITS COMPETITIVENESS
Restoring stability of Ukraine’s economy at present is largely dependent on the provision of financial resources to enterprises. In case of lack of
own financial resources essential role in financing enterprises plays a bank
loan, that requires the formation of an appropriate level of collateral.
The main goal of the study is to determine how Ukrainian banks’ credit
policy influences provision of loan financing. Another aim is to develop tools
to improve efficiency of banks’ credit policy.
We determine that the credit provision mechanism for business entities
should be considered as a set of measures and instruments of credit activity
of banks as at the macro level (NBU) and the micro level (the level of individual banks).
It is proved that the basis of credit activity of the bank is lending policy – part of banking policy, which defines objectives of credit services bank
provides and strategies to achieve them.
The credit policy of the bank with respect to its current formulation and
implementation – a structural and functional integrity of the interconnected
elements (goals, objectives, principles and mechanism). These elements interact to determine the strategy and tactics of the bank on the market of credit
services.
Mechanism of credit policy is offered to define as a set of organizations
and technologies (fig. 1).
Technology shaping monetary policy is a set of techniques that provide systematic and continuous identification, analysis and control of the
factors that affect it, developing and implementing a comprehensive harmonized influence on them. As a result of these methods is provided to
achieve the goals and objectives of monetary policy of the bank at a specified time interval.
46
preparatory stage
subject of manegement
monitoring
and
analysis
stage
of development
stage of implementation
and correction
development
goals
and principles
development of measures
to implement the bank credit policy
select type
of bank credit
policy
analysis
of internal
and external
factors
and
prediction
of change
development
of performance
criteria
formation mechanisms
of policy implementation
The implementation
of monetary policy
assessment
of the bank’s credit
policy
object
management
The effectiveness
of implementation
no
yes
development
of alternatives
identifying
the causes
of deviations
monitoring
of indicators
correction bank credit policy
_____________ direct links
- - - - - - - - - - - - feedbacks
Figure 1 – Mechanism of credit policy
Organization of forming loan policy – a set of techniques and methods
of rational combination of elements of the control subsystem (control subjects) with internal factors that influence the formation of credit policy in
time and space.
The technology of setting credit policy – is a number of techniques
that provide systematic and continuous identification, analysis and control
of the factors that affect it, developing and implementing a comprehensive
harmonized impact on them. That results in a goals and objectives of the
credit policy of the bank at a specified time interval.
47
Я. М. Кузніченко, Національний банк України, м. Київ, Україна
МЕТОДИ ОЦІНКИ РИЗИКІВ БАНКУ З МЕТОЮ
ВИЗНАЧЕННЯ ДОСТАТНОСТІ КАПІТАЛУ
Фінансові кризи, що відбувалися в різних країнах у 90-х роках, а
також наслідки світової фінансової кризи 2008 року засвідчили
необхідність посилення макропруденційної орієнтації підходів до
регулювання діяльності фінансових установ. Ключовим напрямком
цього процесу є регулювання, нагляд та фінансове оздоровлення
банківських систем країн, спрямоване на підвищення їх стійкості та
мінімізацію ризиків у діяльності.
Наслідки фінансових криз (банкрутства та витрати, понесені в
зв’язку з рекапіталізацією банківських установ, зниження економічної
активності суб’єктів реального сектору економіки) висувають на
перший план питання достатності капіталу банківських установ як
засобу поглинання збитків, спричинених реалізацією ризиків, та
упередження їх неплатоспроможності в майбутньому.
Оскільки основною функцією банківського сектору є
посередництво між глобальними фінансовими ринками та суб’єктами
внутрішнього ринку, недоліки у функціонуванні банків можуть суттєво
впливати на довіру споживачів та інвесторів, потоки капіталу, стан
державних фінансів країни тощо. Саме тому пруденційні вимоги
спрямовані на обмеження ймовірності банкрутств банківських
установ.
Стійкість банку до різких змін у зовнішніх або внутрішніх умовах
функціонування
визначає
достатність
капіталу.
Найбільш
прогресивним підходом до її визначення є розрахунок, заснований на
методології Базельського комітету з банківського нагляду (далі –
БКБН), який забезпечує найбільш повне врахування (покриття)
основних ризиків, на які наражаються банки в процесі своєї
діяльності (кредитний, ринковий, операційний).
БКБН пропонується вибір можливих методів розрахунку вимог
до капіталу з метою покриття зазначених ризиків: від спрощених
(стандартизованих) до більш складних (на основі внутрішніх
рейтингів), з огляду на розмір банку, складність і різноманітність
здійснюваних ним операцій, чутливість до певного виду ризику тощо.
В українській банківській практиці пруденційне регулювання
достатності регулятивного капіталу ґрунтується на вимогах Базеля І,
який охоплює кредитні ризики, та враховує поправку до Базеля І щодо
ринкових ризиків (1998 року) у частині врахування валютного ризику.
Інтеграція банківської системи України до європейського
48
співтовариства обумовлює потребу в подальшому наближенні
методичних підходів оцінки достатності капіталу положенням БКБН,
зокрема в частині врахування (належного врахування) зазначених вище
ризиків під час розрахунку нормативу достатності (адекватності)
регулятивного капіталу (Н2).
Зважаючи на те, що застосування спрощених (стандартизованих)
підходів може бути прийнятним для застосування всіма банками,
незалежно від їх розміру та характеру діяльності, не потребуватиме
впровадження складних інформаційних систем та розробки власних
внутрішньобанківських моделей оцінки ризику, вдосконалення
пруденційних методів виміру банківських ризиків із метою контролю
та покриття їх капіталом (розрахунок нормативу Н2) доцільно
здійснювати саме в цьому напрямку.
Надання банкам можливості використовувати удосконалені
підходи (на основі внутрішніх рейтингів) на даному етапі розвитку
банківської системи України вважається передчасним, оскільки:
 потребує впровадження в банках внутрішніх систем вимірювання
ризиків та пов’язане зі значними витратами на розробку та
введення необхідних процедур та стандартів управління ITтехнологіями;
 наявні суттєві відмінності в рівні розвитку систем ризик-менеджменту банків України, в більшості банків відсутній досвід використання
математичних моделей, які є в основі розрахунків обсягу ризиків;
 не поширена практика присвоєння рейтингів корпоративному
сектору України зовнішніми рейтинговими агентствами. Водночас,
виходячи з проведеного БКБН аналізу, надмірне покладання
учасників фінансового сектору на зовнішні рейтингові оцінювання
призвело до недооцінки ризиків і стало однією з причин
фінансової кризи 2008 року. Тому основоположним принципом у
процесі визначення рейтингів контрагентів банку має бути
покладання на власні експертні оцінки. Розробка, апробація,
застосування та актуалізація експертних оцінок – все це передбачає
високу кваліфікацію відповідальних фахівців;
 банки не мають накопиченої статистичної бази даних про збиткові
події (Базель ІІ передбачає, що такі дані мають охоплювати період
не менше 5 років. Крім того, такі бази даних мають бути щільно
інтегровані до щоденних процесів управління ризиками банку).
З урахуванням зазначеного та з метою визначення потреб банку в
покритті ризиків капіталом на сьогодні прийнятними з точки зору
оптимальності використання в національній банківській практиці є
49
такі оцінки кредитного, ринкового та операційного ризиків, що
ґрунтуються на спрощених (стандартизованих) підходах.
О. В. Сисоєв, аспірант Класичного приватного університету,
м. Запоріжжя, Україна
ФАКТОРИНГ В ІСТОРИЧНІЙ РЕТРОСПЕКТИВІ
Фінансовий механізм організації економіки України потребує
подальшого удосконалення з урахуванням потреб сучасної економіки.
Розвиток ринкових відносин в Україні, необхідність забезпечення
високих темпів економічного зростання, пошук засобів підвищення
ефективності вітчизняного бізнесу привернули увагу багатьох
фахівців у галузі економіки до факторингу. Більшість наукових праць з
проблеми факторингу спрямовано на розкриття правових аспектів
впровадження факторингу, розвиток міжнародного факторингу та
оцінку економічної ефективності факторингових операцій.
Проблемам історичного розвитку факторингу, як сучасного
фінансового інструмента, приділяється значно менше уваги.
Дослідження в цьому напрямі започатковані як вітчизняними
(О. Пальчук, Я. Чапічадзе, В. Бойко, В. Грицишин, О. Александров
та ін.), так і російськими дослідниками (Т. Маханова, О. Докукіна,
Д. Колобанов, М. Чиж тощо). Разом з тим дослідження факторингу
як фінансового інструмента в історичній ретроспективі є актуальним
завданням, оскільки дозволяє глибше зрозуміти сутність і особливості
факторингу.
Історія факторингу трактується дослідниками неоднозначно.
Пояснення такої ситуації криється в різних поглядах економістів і
юристів на зародження факторингу: те, що з точки зору економіки є
моментом зародження факторингу, з позиції права може здаватися
лише певного роду кредитними відносинами.
Більшість дослідників-економістів проблеми факторингу вважають,
що факторинг з’явився як логічне продовження традицій
середньовічного англійського інституту торгового посередництва.
Відносини, які виникли як виключно торгова діяльність,
трансформувалися у фінансову операцію і стали частиною діяльності
комерційних банків.
Аналіз зародження факторингу у Великій Британії (ХVІІ ст.),
становлення і розвитку факторингу в США (кінець XIX ст.),
поширення факторингу в європейській банківській сфері (ХХ ст.),
сучасного ринку факторингових послуг у країнах СНД (з 2000 року),
50
розвитку міжнародного факторингу дозволив зробити висновок, що
виникнення та розвиток факторингу слід пов’язувати з посиленням
конкуренції серед постачальників продукції, гострою потребою
покупця у наданні товарного кредиту, а також з дефіцитом
обігових коштів. Факторинг став своєчасною відповіддю на потребу
в обігових коштах, що виникла у постачальників. Основна
відмінність між факторингом того часу і сучасним факторингом, на
нашу думку, полягає лише в тому, що факторинг перестав нести
функцію дистриб’ютора товарів. Початком формування ринку
факторингу в Україні можна вважати 2001 рік. Слід зазначити, що в
Україні під терміном “факторинг” не завжди розуміють саме те, чим
він насправді є. Підкреслимо, що найбільш неадекватним синонімом,
який застосовують для позначення факторингу, є кредит. Історія
розвитку факторингу показує, що він є надійним економічним
інструментом, який забезпечує компаніям додаткове фінансування
порівняно з традиційним кредитування обігових коштів, і в той же
час факторингова промисловість має менший ступінь ризиків. Саме це
робить факторинг унікальним фінансовим інструментом і доводить
доцільність його використання й заохочення щодо прийняття бізнесспільнотою, банками і фінансовими установами. Факторинг як
комплекс послуг продовжує активно розвиватися (проведення
факторингових операцій).
Факторинг як фінансовий механізм відіграє важливу роль у
структурній перебудові економіки України. Він сприяє прискоренню
руху грошових потоків у державі, “втягує” у виробництво
найрізноманітніші галузі, що в кінцевому підсумку відображається у
зростанні темпів виробництва продукції і ВВП, а відтак впливає і на
покращення добробуту населення. Слабкий попит на факторинг в
Україні пояснюється дорожнечею послуги факторингу, недостатнім
розвитком середнього бізнесу, котрий зазвичай має найвищу динаміку
розвитку (останнє означає найвищу потребу в обігових коштах),
нерозвиненістю нормативно-правової бази.
51
Tetiana Turchenyuk, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine;
Olena Rozkoshna, Ph.D., Associate Professor, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
THE CONTROLLING SYSTEM OF UKRAINIAN BANKS
AND KEY TOOLS OF ITS IMPLEMENTATION
Competitive relations in the global and domestic financial markets, the
rapid development of innovative technologies, the growth of business diversification and other factors lead to the introduction of the controlling
system in the banking activity as the part of the general system of management. The control should be the basis of the controlling system that
promptly detects negative aspects in the implementation of business processes revealing the corrective actions (towards the previously defined
goal, if the result of evaluating and monitoring has become unrealistic) taking into account the influence of factors both internal and external environment.
The urgent need of the implementation of the controlling system in
domestic banks is caused by a number of factors: significant problems in
the development of strategies of many banks, especially in the aspect of
building organizational structures; limited range and the lack of standards
and understanding of the costs and profitability of individual banking services; a significant degree of environmental instability and failure to respond to its changes; a deficit of qualified staff and the lack of established
corporate values; poor information provision of effective information systems for decision-making.
Introduction of the controlling system is useful in cases when the functions of management are delegated to all departments and services. Under
these conditions the controlling achieves the maximum of positive result.
Thus, the forming of the effective controlling system has helped “Raiffeisen
Bank Aval”, “Alfa-Bank”, “Ukrsotsbank” and others to occupy the leading
position in all the segments of the Ukrainian banking market.
The controlling in banks should cover the bank strategic planning (goals
and key points of the development), use a portfolio approach to estimate the
current state of public credit risk position (situation analysis), implementing
the bank reengineering business processes, improving the reporting and cost
accounting, making the managerial influence on reduction of risks.
The main tools of controlling should include the strategic planning of
basic methods and audit; GAP-analysis (analysis of breaks); CVP-analysis
(analysis of the relationship between “cost – volume – profit”); methods of
52
financial analysis (calculation of profitability, liquidity, sensitivity); static
and dynamic investment calculation methods and determination of breakeven point; portfolio analysis; strategic balance method and others.
So, we should note that the system of controlling in banks can operate
successfully only when it is organized in a separate dedicated service management. The controlling service as the important element of the banking
managerial system will contribute to the definition and successful implementation of both strategic and operational objectives of financial institutions.
Halina Shamota, Ph.D., Ukrainian Academy of Banking
of the National Bank of Ukraine, Ukraine
CREDIT RISK IN COMMERCIAL BANKS
The future of banking will undoubtedly rest on risk management dynamics. Only those banks that have efficient risk management system will
survive in the market in the long run. The effective management of credit
risk is a critical component of comprehensive risk management essential
for long-term success of a banking institution. Credit risk is the oldest and
biggest risk that bank, by virtue of its very nature of business, inherits. This
has however, acquired a greater significance in the recent past for various
reasons. Foremost among them is the wind of economic liberalization that
is blowing across the globe. Ukraine is no exception to this swing towards
market driven economy. Competition from within and outside the country
has intensified. This has resulted in multiplicity of risks both in number and
volume resulting in volatile markets. A precursor to successful management of credit risk is a clear understanding about risks involved in lending,
quantifications of risks within each item of the portfolio and reaching a
conclusion as to the likely composite credit risk profile of a bank.
The major risk banks face is credit risk. It follows that the major risk
banks must measure, manage and accept is credit or default risk. It is the
uncertainty associated with borrower’s loan repayment. For most people in
commercial banking, lending represents the heart of the Industry. Loans
dominate asset holding at most banks and generate the largest share of operating income. Loans are the dominant asset in most banks’ portfolios.
The fundamental business of lending has brought trouble to individual
banks andentire banking system. It is, therefore, imperative that the banks
are adequate systems for credit assessment of individual projects and evaluating risk associated therewith as well as the industry as a whole.
53
Better and effective strategic credit risk management process is a better way to manage portfolio credit risk. The process provides a framework
to ensure consistency between strategy and implementation that reduces
potential volatility in earnings and maximize shareholders wealth. Beyond
and over riding the specifics of risk modeling issues, the challenge is moving towards improved credit risk management lies in addressing banks’
readiness and openness to accept change to a more transparent system, to
rapidly metamorphosing markets, to more effective and efficient ways of
operating and to meet market requirements and increased answerability to
stake holders.
Therefore, it is imperative to adopt the advanced Basel-II methodology for credit risk. The Basel Committee has acknowledged that the current
uniform capital standards are not sensitive and suggested a Risk Based
Capital approach. Reserve Bank of India’s Risk Based Supervision reforms
are a fore-runner to the Basel Capital Accord-II. For banks in India with the
‘emerging markets’ tag attached to them going down the Basel-II path could
be an effective strategy to compete in very complex global banking environment. Indian banks need to prepare themselves to be competed among the
world’s largest banks. As our large banks consolidate their balance sheets
size and peruse aspirations of large international presence, it is only expected that they adopt the international best practices in credit risk management.
Lyudmila Katrosha, Postgraduate student, Ukrainian Academy
of Banking of the National Bank of Ukraine, Ukraine
FUNCTIONS OF THE STATE FINANCIAL CONTROL
IN CONJUNCTION WITH THE PUBLIC PROCUREMENT
SYSTEM
The role of the state financial control (SFC) is most commonly manifested in its functions, which is closely related to the more efficient use of
public funds. Particularly important is the disclosure of functions that perform SFC in public procurement to satisfy state and social and economic
needs of society. The main purpose of DFK and at the same time the main
feature of its implementation in the public procurement are: to identify deviations from accepted SFC’s standards at the earliest stage; to detect violations of the principles of legality, efficiency, expediency and economy in
the formation, distribution, possession and use of public financial and material resources for the controlled objects; prosecution, to ensure compensation of losses; to take measures to prevent future financial offenses.
54
The role of financial control is primarily manifested in the results of
practical use of distribution and control functions of the finance, which are
inextricably linked and must be implemented in order to enhance the efficiency of financial resources.
Analysis of the scientific approaches to defining functions of the SFC
allowed us selecting and organizing of them as: information and analytic
function, the function of feedback, preventive and protective function, forecasting and practical function, mobilizing and stabilizing function, scientific
and cognitive function etc.
The implementation of these functions will achieve SFC at all levels
and objectives, particularly in the area of the public procurement. Thus, information and analytic function will provide oversight authorities at all levels to take appropriate and economically sound management decisions to
regulate the management of public funds. This feature is implemented
through the collection, analysis and evaluation of information on the movement of public financial resources. Important for implementation information and analytic function is a function of the feedback, which ensures
the unity of decision management solutions for distribution and redistribution of public funds on the basis of information and analytical system.
Also very important is the implementation of preventive and protective function of the SFC, that consists in finding of violations of the norms
and standards of law, wrongful termination actions and identify persons
that are responsible for financial violations for the mobilization, distribution, redistribution and use of public funds and elimination of the consequences of such violations, and in bringing them to justice, especially at the
level of the previous (active) control, which will increase the effectiveness
of SFC, particularly in the public procurement.
Preventive and protective function is related to implementation of forecasting and practical function. This function is inherent in SFC methodologically and provides management and forecasting of the ways and areas
of appropriate and efficient expenditure of public resources based on the
priorities and objectives of the financial policy. All mentioned features allow implementing of mobilizing and stabilizing function, which consists in
revealing of additional sources of reserves and financial resources and in
maintaining of the stability of the main indicators of regulatory authorities.
In general, all SFC’s functions cannot be realized without the exercise of
scientific and cognitive function, which provides an explanation of the laws,
principles, processes and phenomena of economic life, related to the outcomes of state financial control as well as factors that affect economic relations, including the system of public procurement.
55
Olga Neselevska, Hanken School of Economics, Finland
DO POLITICAL FACTORS INFLUENCE CORPORATE
GOVERNANCE QUALITY, DYNAMICS OF THE CAPITAL
AND NATIONAL ECONOMY DEVELOPMENT?
The impact political connections have on the corporate governance and
national economy has attracted a growing body of economic and finance
studies.
In practice, under hypothesis about full information available to the
market, different manifestations of politicization are important signals for
investors. This claim is supported by the existence of many international
indexes that measure politicization (such as Corruption Perception Index by
Transparency International, Doing Business and Paying Taxes by World Bank
Group).
Term “politicization” could have been reconsidered. Traditional understanding of this concept does not catch several prima facie unobvious phenomena (such as spread of politically-connected firms, image of political
leaders, rumors about legislation changes).
At the first stage of my study, the following results are obtained:
 percentage of politically-connected firms in Ukraine is drastically high and
even grows;
 given hypothesis about substitution of competitiveness/good corporate
governance/foreign investments with political connections, the aforementioned phenomenon explains low quality of both corporate governance and relations with investors, low interest of foreign investors in doing
business in Ukraine, liquidation of existing businesses and large-scale
extirpation of assets.
To conclude, politicization of the economy (Ukrainian economy, in
particular) leads to the growing frequency of the rent-seeking activities with
long-term pernicious effects on market efficiency and economic growth.
Thus, further research in this field is essential: better understanding of the
relationships between politicization and investors’ behavior could facilitate
reforms needed to improve living standards in the countries like Ukraine.
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Наукове видання
МІЖНАРОДНА БАНКІВСЬКА КОНКУРЕНЦІЯ:
ТЕОРІЯ І ПРАКТИКА
Збірник тез доповідей
VІІІ Міжнародної науково-практичної конференції
(23–24 травня 2013 р.)
Технічне редагування
І. О. Кругляк
Комп’ютерна верстка
Н. А. Височанська
Відповідальність за фактичні помилки, достовірність інформації
та точність викладених фактів несуть автори.
Усі права застережено. Посилання на матеріали збірника обов’язкові
Підписано до друку 05.07.2013. Формат 60х90/16. Гарнітура Times.
Обл.-вид. арк. 3,2. Ум. друк. арк. 3,5. Тираж 100 пр. Вид. № 1272
Видавець і виготовлювач
Державний вищий навчальний заклад
“Українська академія банківської справи Національного банку України”
вул. Петропавлівська, 57, м. Суми, 40000, Україна, тел. 0(542) 61-93-37
Свідоцтво про внесення до Державного реєстру видавців, виготівників
і розповсюджувачів видавничої продукції: серія ДК, № 3160 від 10.04.2008