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Analіz bankіvskoї dіyalnostі - Gerasimov AM

13.2.4. Factorial analіz credit riziku for species klasifіkovanih kreditіv

Vihіdnimi danimi for otsіnyuvannya credit riziku Je:

• rіven riziku (ri), yaky diferentsіyuєtsya in rozpodіlі riziku by step;
• obsyagi kreditіv at tsomu rozpodіlі - KR i.

On osnovі Tsikh pokaznikіv rozrahovuyutsya obsyagi klasifіkovanih kreditіv abo kreditіv s urahuvannyam stage riziku (KRkl) of the formula:

.

Vihіdnі danі for rozrahunku navedenі Table. 13.5.

table 13.5

ROZRAHUNOK OBSYAGU KLASIFІKOVANIH KREDITІV software USTANOVІ

Obsyagi klasifіkovanih kreditіv Je bazoyu for viznachennya obsyagu rezervіv on pokrittya rizikіv for credit operatsіyami.

On osnovі guidance danih zdіysnyuєtsya analіz rіvnya riziku for okremimi regіonalnimi install jar. For tsogo rozrahovuyutsya serednі rіvnі riziku on okremih install and takozh on the bank in serednomu of the formula:

.

Rozrahunok obsyagu klasifіkovanih kreditіv (KRkl) that rіvnya riziku (r) on the bank ustanovі sightings at the table. 13.5. Zgіdno s danimi tablitsі ustanovі at "A"

KRkl = 1369 • 0,02 + 293 • 0,05 + 117 • 0,20 + + 99 • 0,50 +78 • 1,0 = 192 tis. UAH;

= 192/1956 = 9.8%.

For danimi about riziku rіven r buduєtsya rankings Tsikh number of values, and for naochnostі - gіstograma (Figure 13.2.).

Chim bіlshe values r, note bіlsh rizikovanoyu Je Credit dіyalnіst.

Vische navedenі danі about riziki Credit operatsіy one perіod. Odnochasno Bank musit Know tendentsії riziku for chogo zdіysnyuєtsya monіtoring vіdpovіdnogo dinamіchnogo row. Zokrema at tsomu Got great significance analіz vplivu dinamіki riziku on okremih Set the jar on vіdpovіdny pokaznik in serednomu by the bank. For tsogo vikoristovuyutsya іndeksi rіvnya riziku zmіnnogo, fіksovanogo warehouse that structural zrushen.

Fig. 13.2. Gіstograma rozpodіlu rizikіv Set on the bank

Vihіdnі danі for rozrahunku іndeksіv navedenі Table. 13.6.

table 13.6

Іndeks riziku zmіnnogo warehouse viznachaєtsya of the formula:

.

Absolutely rozmіr zmіni rіvnya riziku viznachaєtsya of the formula:

.

de r 0, r 1 - rіvnі riziku Credit operatsіy by the Bank shall establish vіdpovіdno in base i zvіtnomu perіodah;

d 0, d 1 - Pete Wagga obsyagіv kreditіv in Tsikh install vіdpovіdno in zagalnomu obsyazі for sukupnіstyu setup.

Іndeks showing scho in serednomu on bank rіven riziku zmenshivsya 12.5%, abo by 1.98 percentage points, for rakhunok usіh faktorіv.

Іndeks riziku fіksovanogo warehouse viznachaєtsya of the formula:

.

.

Іndeks showing scho in serednomu for sukupnіstyu SET bank rіven riziku zmenshivsya 10.3%, abo by 1.6 percentage points, tіlki for rakhunok zmіni rіvnya riziku okremih Set in the bank.

Іndeks riziku structural zrushen viznachaєtsya of the formula:

.

Іndeks showing scho in serednomu for sukupnіstyu SET bank rіven riziku zmenshivsya 2.4%, abo by 0.38 percentage points, tіlki for rakhunok zmіni rozpodіlu obsyagіv kreditіv Set on the bank (di).

Vzaєmozv'yazok mіzh guidance pokaznikami:

• mіzh іndeksami - multiplіkativny:

Іz.s = x Іf.s Іstr.zr, abo 0,897 = 0,875 • 0,976;

• mіzh absolutely zmіnami - additive function:

D1 = D2 + D3, abo = -1.6 -1.98 + (-0.38).

Analіz svіdchit about the positive results of the robot bank spryamovanoї on zmenshennya rіvnya credit riziku.

Buli vikoristanі obidva osnovnі eg: zmenshennya rіvnya riziku in okremih set the bank, about scho svіdchit іndeks fіksovanogo warehouse Mensch odinitsі, i polіpshennya rozpodіlu SET bank for obsyagom kreditіv and the Same - znizhennya chastki SET s bіlshim rіvnem riziku (іndeks structural zrushen takozh Mensch odinitsі) .

Factors SSMSC formuyut dinamіku obsyagu klasifіkovanih kreditіv and zvіdsi i rezervіv on pokrittya riziku, Je zagalny obsyag kreditіv that serednіy rіven riziku. Absolutely rozmіr zmіni klasifіkovanih kreditіv for rakhunok dinamіki obsyagu kreditіv rozrahovuєtsya of the formula:

DKRkl (CR) = (KR1 - KR0) r 0,

abo in tsіlomu Set on the bank

DKRkl (CR) = (6630 -5918) • 0,1593 = 113,42 yew. UAH.

And for rakhunok dinamіki rіvnya riziku:

DKRkl (r) = (r 1 - r 0) CR1 = (0,1395 - 0,1593) • 6630 = -131.27 yew. UAH.

Perevіrka:

DKRkl = KRkl1 - DKRkl0;

DKRkl = DKRkl1 (KR) - DKRkl (r)

abo

? KRkl = 925 - 943 = -18;

? KRkl + = 113.42 (-131.27) = -18.

In his Cherga, factors SSMSC vplivayut on rіven riziku kreditnoї masi, Je dinamіka klasifіkovanih kreditіv that zagalnogo obsyagu kreditіv. Dinamіka rіvnya riziku pid vplivom klasifіkovanih kreditіv obchislyuєtsya for formula.

So rank, in tsіlomu on bank obsyag klasifіkovanih kreditіv zmenshivsya 18 tis. UAH (925 - 943). Rіznі chinniki in rіznomu vplinuli on qiu dinamіku.

Zrostannya zagalnogo obsyagu kreditіv zbіlshilo obsyag klasifіkovanih kreditіv at 113.42 tis. UAH, scho tsіlkom zakonomіrno. Znizhennya serednogo rіvnya riziku zooms zmenshennya klasifіkovanih kreditіv at 131.27 tis. UAH.

In tsіlomu - the result positively.

For rozroblennya upravlіnskih rіshen stosovno rіvnya credit riziku vazhlivo nobility SSMSC chinniki i yakoyu mіroyu vplivayut on yogo dinamіku. These chinnikami Je obsyagi klasifіkovanih kreditіv i zagalnogo obsyagu kreditіv. Vpliv on dinamіku serednogo rіvnya riziku kreditіv dinamіki klasifіkovanih kreditіv rozrahovuєtsya of the formula:

and vpliv zagalnogo obsyagu kreditіv:

Otzhe for perіod, yaky analіzuєtsya, serednіy rіven riziku zmenshivsya s 13.95% to 15.93%, abo by 1.98 percentage points, in addition chislі for rakhunok dinamіki obsyagіv klasifіkovanih kreditіv 0.27 p. P., And zagalnogo obsyagu kreditіv - 1.71 pp..

On znizhennya rіvnya riziku positive vplinuli obidva chinniki.