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Analіz bankіvskoї dіyalnostі - Gerasimov AM

5.7. Otsіnki of Quality loan portfolio s Look riziku

In the minds transition to rinkovoї Economy in bankіvskіy sferі zbіlshuєtsya values ​​pravilnoї otsіnki riziku, yaky bere on itself a bank zdіysnyuyuchi rіznі operatsії. For bankіvskoї dіyalnostі vazhlivim Je not uniknennya riziku vzagalі and Yogo peredbachennya that znizhennya to mіnіmalnogo rіvnya, tobto zastosuvannya rіznih metodіv upravlіnnya rizikami.

Rizik yak vartіsny viraz іmovіrnostі podіy note bіlshy, denote bіlsha mozhlivіst otrimati Prybutok. Otzhe, otrimati Prybutok possible at vipadku, if ymovіrnіst zaznati vtrat bude zvedy to mіnіmumu. In tsomu napryamі іsnuyut duzhe aktualnі problems pov'yazanі s rozroblennyam єdinih bases otsіnki that metodіv rozrahunku credit riziku for cutaneous okremim pozichalnikom, galuzzyu, kraїnoyu in tsіlomu.

Pid rizikom rozumіyut zagrozu vtrati Bank Chastain svoїh resursіv, nedootrimannya dohodіv abo sprichinennya dodatkovih vitrat in rezultatі zdіysnennya Pevnyi fіnansovih operatsіy.

Credit rizik, abo rizik nepovernennya Borg, Mauger Buti Promyslova (s pov'yazany іmovіrnіstyu recession virobnitstva abo popitu on produktsіyu pevnoї the Branch); rizik, obumovleny nevikonannyam s Pevnyi reasons dogovіrnih minds; rizik, pov'yazany s transformatsієyu vidіv resursіv (naychastіshe per line), that rizik force majeure obstavin.

Before metodіv, SSMSC znizhuyut Credit rizik can vіdnesti:

• lіmіtuvannya kreditіv;
• diversifіkatsіyu Credit vkladen;
• vivchennya that otsіnyuvannya kreditospromozhnostі pozichalnika;
• vimagannya od klієntіv dostatnogo that yakіsnogo zabezpechennya schodo Vidanov kreditіv;
• control that operativnіst at styagnennі Borg;
• strahuvannya Credit operatsіy;
• vidachu kreditіv on konsortsіumnіy osnovі;
• vikoristannya plavayuchoї protsentnoї rates;
• Obl_k that vrahuvannya zovnіshnіh rizikіv (rizik the Branch, District Kraina)
• vikoristannya teorії zvazhenih rizikіv.

H Credit rizikom tіsno pov'yazany takozh interest rizik - іmovіrnіst vtrati bank in rezultatі perevischennya protsentnoї rates scho bula splachena for zaluchenimi resources on the interest rate for loans Vidanov. In razі kredituvannya in іnozemnіy valyutі vinikaє іmovіrnіst vtrat, pov'yazanih Zi zmіnoyu Exchange rates kredituvannya.

Main zavdannyam upravlіnnya bankіvskimi rizikami Je viznachennya stage dopustimostі riziku th of acceptance practical rіshennya scho spryamovane on rozroblennya zahodіv, SSMSC give mozhlivіst zmenshiti vіrogіdnіst vtrat.

Yakіsne otsіnyuvannya Got credit portfolio metі nasampered maximum zniziti nepovernennya poziki rizik, scho Veda before digit vtrat for bankіv i Mauger lead to yogo bankrutstva.

For otsіnyuvannya of Quality of the loan portfolio of credit s Look riziku zastosovuyutsya takі pokazniki:

• koefіtsієnt pokrittya klasifіkovanih pozik;
• Pete Wagga zvazhenih klasifіkovanih pozik;
• koefіtsієnt pitomoї crowbars Distressed pozik;
• koefіtsієnt pitomoї crowbars zbitkovih pozik.

Perelіchenі pokazniki slіd proanalіzuvati in dinamіtsі, viyaviti tendentsіyu to їh zmіni the reason їh pogіrshennya. Rozrahunok Tsikh koefіtsієntіv dopomagaє viznachiti tendentsії pogіrshennya fіnansovogo will she Roads Ahead zbіlshennya ekonomіchnoї efektivnostі Credit operatsіy.

Koefіtsієnt pokrittya klasifіkovanih pozik (Kp.k.p) rozrahovuєtsya yak vіdnoshennya zvazhenih klasifіkovanih pozik (Kzv.kl) to kapіtalu (K) Bank:

Tsey pokaznik complex harakterizuє yakіst s loan portfolio Look riziku in sukupnostі s yogo zahischenіstyu Vlasnyi kapіtalom. Pіdvischennya tsogo koefіtsієnta in dinamіtsі vvazhaєtsya negatively yavischem i svіdchit about pіdvischennya ymovіrnostі zbitkіv in maybutnomu.

Koefіtsієnt pitomoї crowbars zvazhenih klasifіkovanih pozik (Kp.zv.kl) rozrahovuєtsya yak vіdnoshennya zvazhenih klasifіkovanih pozik (Kzv.kl) to zagalnoї sumi pozik (P).

Zvazhenі klasifіkovanі poziki rozrahovuyutsya breeding sumi kreditіv pevnoї groupies riziku on vіdpovіdny koefіtsієnt.

Koefіtsієnt stitched pozik (Kp.p) rozrahovuєtsya yak vіdnoshennya pozik s stitched viplatoyu protsentіv that osnovnoї sumi Borg (PPR sharp) to zagalnogo obsyagu pozik (S):

Tsey koefіtsієnt vkazuє at the Chastain pozik have portfelі bank viplati for yakimi boule nevchasno pogashenі, that on Ti, SSMSC not boule pogashenі vzagalі. Visokiy percentage svіdchit about pogіrshennya kreditnoї dіyalnostі bank. Digit prirіst for analіzovany perіod svіdchit about mozhlivі znachnі zbitki in perspektivі.

Koefіtsієnt zbitkovostі pozik (HSC) rozrahovuєtsya yak spіvvіdnoshennya zbitkіv for pozikami, otrimanimi for analіzovany perіod (Sn) to serednogo zagalnogo obsyagu pozik (P), to abo zagalnogo obsyagu pozik.

Koefіtsієnt zbitkovostі viznachaє Chastain pozik, SSMSC for Pevnyi perіod prizveli to zbitku. Zrostannya tsogo Mauger pokaznika svіdchiti about pogіrshennya polіtiki dotrimannya permissible rіvnya riziku.

For Tsikh rozrahunku pokaznikіv spochatku neobhіdno rozrahuvati scrip klasifіkovanih pozik (tab. 5.17).

ROZRAHUNOK ZVAZHENIH KLASIFІKOVANIH POZIK by step RIZIKU

Yak can be seen s danih tablitsі have razі zmenshennya zagalnoї Sumi loan portfolio scrip zvazhenih klasifіkovanih pozik zrosla in zvіtnomu perіodі to 17,729 yew. UAH against 17 438 yew. UAH in poperednomu perіodі, tobto 291 tis. UAH. Tse svіdchit about Yavne pogіrshennya of Quality of the loan portfolio. Osnovnі pokazniki scho harakterizuyut yakіst loan portfolio zvedenі Table. 5.18.

table 5.18

ANALІZ of Quality LOAN PORTFOLIO W Look RIZIKU

0,068

So, koefіtsієnt pitomoї crowbars zvazhenih klasifіkovanih pozik (koefіtsієnt of Quality of the loan portfolio) in zvіtnomu perіodі becomes:

and poperednomu perіodі:

tobto koefіtsієnt of Quality of the loan portfolio by becoming nizhchim 0.015.

Koefіtsієnt pokrittya zvazhenih klasifіkovanih pozik Vlasnyi kapіtalom uniquely polіpshivsya - to 0.341, tobto bіlshe nіzh udvіchі.

Tse svіdchit about those scho pіdvischennya rizikovanostі loan portfolio Bulo pіdstrahovano digit zrostannyam Vlasnyi kapіtalu, SSMSC garantuyut fіnansovu stabіlnіst robots bank navіt for Pevnyi minds pіdvischennya riziku. Tobto pіdvischennya rizikovanostі loan portfolio (for minds pіdvischennya pributkovostі) Bulo vipravdanim.

Nezvazhayuchi on suttєve polіpshennya koefіtsієnta pokrittya zvazhenih klasifіkovanih pozik, yogo value of y zvіtnomu perіodі Bulo on nizkomu rіvnі for priynyatoyu rating otsіnkoyu vіdnositsya to limit values ​​and baseline values ​​can perіodі yogo yak roztsіnyuvati nezadovіlne.

Zgіdno s rating system CAMEL TAKE recommended spіvvіdnoshennya mіzh vartіstyu klasifіkovanih pozik (aktivіv) that kapіtalom:

Qiu scale dotsіlno vikoristovuvati, if Pete Wagga Credit vkladen in zagalnih assets dosit temple.

About nenalezhny control s side of the bank loan portfolio yakіstyu svіdchit takozh great Pete Wagga stitched, nesplachenih that zbitkovih pozik in zagalnіy zaborgovanostі klієntіv. So, zvіtnomu perіodі koefіtsієnt Distressed pozik becomes 0.250, abo 25% od zagalnoї Sumi loan portfolio and in the basal perіodі - vіdpovіdno 0.197, abo 19.7%. Tsey koefіtsієnt zbіlshivsya (tobto pogіrshivsya) by 5.3 percentage points. Tendentsіyu to pogіrshennya Got i koefіtsієnt zbitkovostі pozik, yaky pіdvischivsya by 0.9 percentage point (s 6.8% to 7.7%). Yakscho taka itself tendentsіya sposterіgalas i in poperednomu perіodі, you can zrobiti visnovok about Slabko robot Bank s upravlіnnya yakіstyu aktivіv. Tom vipravdanoyu Je polіtika NBU spryamovana on pіdvischennya rozmіru Vlasnyi koshtіv is the statutory fund, SSMSC znizhuyut іmovіrnіst bankrutstva bank for pogіrshennya of Quality yogo aktivіv.

Zagalny visnovok, yaky mozhna zrobiti, vihodyachi s rezultatіv analіzu of Quality loan portfolio s Look riziku: Bank neobhіdno provoditi oberezhnіshu Credit polіtiku, retelnіshe pіdhoditi to otsіnyuvannya platospromozhnostі pozichalnikіv on stadії nadannya kreditіv, pridіlyati uwagi tsіlovomu vikoristannyu nadanih pozik that control over dіyalnіstyu pozichalnika s metoyu svoєchasnogo viyavlennya negarazdіv that zapobіgannya mozhlivih vtrat for pozikami.