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3.1 Use of criteria of stability in working out of programs of anti-recessionary bank management

Specific conditions of activity of banks in modern conditions assume development of crisis not only as potential possibility, but also as real threat to which the bank is subject constantly. The combination of risks during the certain adverse moment for bank is capable to lead to crisis development.

In these conditions the bank should be ready to timely revealing of problems and acceptance of adequate measures on an exit from crisis.

the legislative and standard base of bank activity defines occurrence of obvious signs, the bases leading to bank crash [117, 118, 120] as conditions of the beginning of carrying out of anti-recessionary actions. As such criteria the indicators estimating capacity of a bank to meet its liabilities are used: sufficiency of a shareholder's interest (not less than 2 %), terms and volumes of execution of obligations, indicators of separate risks, dynamics of the factors characterising activity of bank. Let's designate two problems of use such kriterialnogo level. First, the set of requirements to liquidity, credit, to market risks is identical to all banks, distinction of banking groups - branch, state, regional, banks with participation of non-residents is not considered.

Secondly, change of three basic specifications of liquidity is the bases for introduction sanatsionnyh or liquidating measures in bank. During too time, bank practice has confirmed, that the big banks having the sufficient capital and carrying out all specifications of liquidity were more unstable (9 of 20 the largest are deprived
the licence) in crisis of 1998, crisis of four banks in 2002 has occurred against performance by banks of specifications to accounting dates.

in our opinion, the establishment of individual criteria krizisnosti is necessary by working out of programs of anti-recessionary management at strategic level.

To signs problemnoste it is possible to carry change not only official standard requirements, but also own kriterialnyh values, dynamics of separate indicators characterised in 1 head as symptoms of crisis. Our offers are reduced in revealing of individual criteria krizisnosti and accordingly the bases for introduction antkrizisnyh actions. We carry to such criteria:

a negative shareholder's interest, decrease in a shareholder's interest more than on 10 % from the previous accounting date within last month, decrease in factor of sufficiency of a fixed capital to level of 4 % at 30-50 % absolute risk in relation to SK, decrease in factor of sufficiency of the cumulative capital to level of 8 %;

card file presence on a corresponding account, the delayed debts against corresponding banks and the Central Bank of Russia;

dynamics of overall risk on active operations and achievement of 15-30 % of level of a parity of absolute size of risks on assets to a fixed capital and the created reserves;

decrease in degree of reliability of bank assets, increase in the delayed debts on an advances portfolio more than on 30 %, dynamics of increase under articles of arrears of interest and a debt principal sum under credits, decrease in quality of maintenance on business deals;

presence of losses on separate operations, decrease in sufficiency of reserves on cover of loss;

increase in expenses at acquisition of resources from depositary and not depositary sources, change of degree of reliability of incomes and increase in expenses under separate articles (transfer price change);

change of the average term on assets and liabilities and increase disbalansa terms, disbalansa volume of assets and liabilities;

change of degree of concentration of credits in hands of the clients connected with bank on business or under the capital;

secession of shareholders of separate persons and the enterprises;

change of a degree of solvency taking into account fluctuations of interest rates, rates of exchange, disbalansov, market risks;

change of the Central Bank of standard requirements, a monetary and credit policy,

adverse change of volume of the given operations and growth of client base, absence of growth of the rests under accounts and negative dynamics in the cash flow forecast.

there are also official and standard techniques of an estimation of a financial circumstances and reliability of bank (a technique k.e.n. V.S.Kromonova, ITS "Rating", "Businessman", a technique k.e.n V.J.Polushkina, k.e.n I.E.Amelina, k.e.n. A.A.Buzgalina and dr). In model of anti-recessionary management offered by us in KB as objects of administrative influences liquidity, promptness, cost, profitableness and riskiness in activity of separate bank have been selected.

such model is capable to reflect changes of objects AKU on axes, as scales volumes saved up disbalansa assets and liabilities, disbalansa the average due dates, the average cost of the banking capital and the price of resources, volume of the saved up risks of bank are chosen.

as ideal model of a parity of these parametres we will offer the scheme on fig. 3.1, specifying in system of difficult interdependence of objects AKUKB.

a Fig. 3.1 Model of interdependence of objects AKUKB

Liquidity To

Promptness

Cost

Profitableness

iskovannost

the Source: It is made by the author

the Characteristic of the parametres necessary for modelling of activity of bank taking into account possible occurrence of crisis it is presented in table 3.1.

Criteria of an estimation of stability of a bank of commerce Table 3.1

Object AKUKB the Characteristic of object for use in construction of model AKUKB
Liquidity Are considered volumes of the saved up and got liquidity by bank, volumes real, saved up and potential disbalansa assets and liabilities
Cost Considers banking capital cost, including shareholder's interest cost, cost or value of bank as business, The cost price of the involved and extra resources
Profitableness Considers indicators of profitableness and efficiency of separate operations of bank
Promptness Considers the average terms of attraction and retirement of assets and passives
Riskiness Considers influence of separate risks and set market, credit risks, liquidity risk and solvency

the Source: It is made by the author

the objects Listed in table 3.1 are analyzed on initial

to balance data for last 6 months, liquidity and risk indicators to th basis of daily balance. Each object is estimated on 10-ball system, the area of expected values is defined on the basis of value judgment, taking into account statistical data processing of balances of banks by rating agencies ("Profile", ITS "Expert", Banks-Rate and dr). The bank management establishes these criteria independently, that
will allow to use models of construction of crisis CONDITIONS for preventive decision-making on anti-recessionary bank management. In this case the model will change, and to have an individual configuration for each bank (fig. 3.2 see.)

a Fig. 3.2 Model of a condition of a soundness of bank

Liquidity

10

Promptness

Profitableness

Cost

Riskiness

- criterion Actual criterion

the Source: it is made by the author

In working out of programs of anti-recessionary management it is necessary to use influence modelling on a financial circumstances and capacity of a bank to meet its liabilities of separate risks and their adverse combination. Symptoms of a crisis condition can be not only in time are revealed, but predicted, that will allow to overcome negative consequences of their action. The dynamic analysis of indicators reflecting change of a parity of profitableness - risk is necessary also, for cost - liquidities and combinations of other parametres. For example, the zone increase promptness - costs leads to infringement of liquidity of bank, and consequently also zones profitableness - risk. On fig. 3.3 decrease in a rating of riskiness and profitableness of operations of bank, thus bank is reflected has a stable parity of promptness of is active-passive operations and liquidity.

a Fig. 3.3 Dynamics of indicators of stability

-

--Profitableness

Riskiness

Cost

-> - Promptness

given buh.otchetnosti KB "Companion"

the Source: the Dynamic analysis is made by the author on the Orenburg area

gives representation about a condition of separate parametres of a soundness of bank at obligatory daily calculation of indicators of liquidity and riskiness.

everyone their criteria of liquidity, promptness, costs and riskinesses of activity of bank represents group of indicators (see table 3.2) and is reflected in more details in koeffitsientnyh indicators and a total rating of parametres.

Indicators of stability of KB Table 3.2

Liquidity 1= a bank position
2= pure outflow of liabilities of bank
= disbalans assets and liabilities
4= liquidity 2 (under the instruction 1 Central Banks of Russia)
L5 = Current liquidity NZ (under the instruction 1 Central Banks of Russia)
L6 = Long-term liquidity 4 (under the instruction 1 Central Banks of Russia)
L7 = Overall liquidity 5 (under the instruction 1 Central Banks of Russia)
8= by calculations / Obligations poste restante
L9 = bank Liabilities on bills of exchange / Current obligations
0 = Assets of 4 and 5 groups / Current obligations
Cost Sl = a shareholder's interest Balance cost
S2 = the Average cost of borrowed funds
S3 = the Commercial value of assets of bank
S4 = the Average cost of a shareholder's interest before payment

taxes

S5 = the Average costs at the critical rate of break-even

table 3.2 Continuation

Profitableness 1 = Net profit / Assets profitable
2 = Net profit / the Shareholder's interest
3 = Profit - astable incomes /Ustavnyj the capital
4 = Pure percentage marzha
5 = Efficiency of depositary operations
6 = Efficiency of credit transactions
7 = the Size obshchebankovskih expenses
8 = the Size doubtful zadolzhnosti under credits
9 = Incomes/assets
10 = neprotsentnye / Assets
Promptness 1 = the Average term of assets
2 = the Average term of passives
Tz - Disbalans the average due dates of assets and liabilities
4 = the Balanced promptness of credit-depositary operations
5 = the Average term of placing of means in financial instruments
Riskiness Rl = Sufficiency of shareholder's interest 1 (under the instruction 1

the Central Bank of Russia)

R2 = the Animator of the capital
= an interest risk (by Position 89-P the Central Bank of Russia)
R4 = the Size of share risk (by Position 89-P the Central Bank of Russia)
R5 = the Size of currency risk (by Position 89-P the Central Bank of Russia)
R6=Pa3Mep credit risk 6 (under the Instruction 1 Central Banks of Russia)
R7=Pa3Mep a credit risk on shareholders of bank N9.1 (under the instruction 1 Central Banks of Russia)
R8 = the Size of the involved deposits of population 11 (under the instruction 1 Central Banks of Russia)
R9 = Assets the Cumulative assets weighed taking into account risk /
R10=3anac stability to non-returns under credits

the Source: Each of the parametres resulted in table 3.2 Is made by the author

has the calculation standards, widely known to experts of bank management and the analysis of activity of bank.

by division of anti-recessionary management (the analysis and the control) it is formed base, optimal model of a steady acritical condition of bank, reference points of deviations are established and the model of introduction of certain methods and tools of anti-recessionary management depending on degree of deviations is developed.

at calculation of indicators the method eksponentsialnoj aproksimatsii (formulas 3 and 4) is used.

Y = 10 * Exp (-to (X - Xnorm)/D) for X Xnorm

D = (Xmax-Xmin)/2 (5)

Parameter TZ (disbalans the average due date of a portfolio

assets and liabilities) is offered to be counted by P.Rose's technique [158].

Disbalans the average due dates Table 3.3

Assets Sumy

ma

(million

rub)

Term Becoming

ka

a disco

n

shooting galleries

anija

(%)

Environments -

nevzv

eshen

nyj

term

the Pass

sivy

Sumy

ma

(million

rub)

Term Becoming

ka

a disco

n

shooting galleries

anija

(%)

Environments -

nevzve

necks

nyj

term

Cash desk,

a corresponding account

100 - - Deposits to vostr. 900 1. 0,5 1,0001

6

Likv.

valuable

papers

900 5. 7 4,39 Sber.

accounts

100 the Dragon 15 3,007
the Credit

jur.

to persons

1500 1. 32 1,32 Sroch.

accounts

700 1. 20 1,2
the Credit

potreb.

900 Zg. 26 4,85 Dolgosr.

oblig.

1200 Zg. 10 3,28
the Credit

aktsione

frames

300 2. 20 2,64 Kratkosr.

loans

100 1. 38 1,38
the Credit

the farmer

m

200 5. 24 9,98 Bank.

bills

400 1. 12 1,12
Mater.

assets

200 JUl. 6 13,97 Sobstv.

the capital

700 - -
Total 4100 3,84 4100 1,93

the Source: it is made by the author on conditional data

According to calculations of the author, presented in table 3.3, parametre TZ (Disbalans the average due dates of assets and liabilities) is equal to a difference of the average due date of assets (3,84) and passives (1,93) that makes 1,94 (years)

For indicator reduction to uniform function of an estimation we will substitute in the formula the received and accepted normalising value:

At = 10 * Ehr (-to (T - Tnorm)/D) for> Tnorm, (6)

where TZ norm = 1,35

TZ tah = 2,65

TZ min = 0,05 to = 0,5

the Total rating estimation of average due date TZ is equal 7,9 points. All criteria of the analysis in the same way pay off and are summarised for exhibiting of a total estimation of object AKUKB, in this case - promptness. Results can be specified by means of weight factors of each criterion and object of the analysis. For presentation construction not only is offered to total model of stability, but also graphic representation of deviations from norm taking into account the importance of infringement of separate indicators.

a Fig. 3.4 Deviation of indicators of stability from norm

the Source: It is made by the author according to calculations of stability of KB "Companion"

For the given bank it is characteristic, as well as for many Russian banks, decrease in indicators of profitableness, overall liquidity, fear causes infringement of 5 indicators of risk (fig. 3.4). On separate indicators it is necessary to construct the schedules representing dynamics of a combination of parametres. On fig. 3.5 dynamics of a combination of parametres of profitableness (Net profit on assets) and riskinesses (Stability to non-returns under credits) is presented.

a Fig. 3.5 Dynamics of a combination of parametres profitableness-riskiness

the Source: it is made by the author according to calculations of KB "Companion"

Of a point with co-ordinate (0,0) and further according to each accounting date of the considered period steams of values are postponed to track sequence of changes. On fig. 3.5 it is visible, that analyzed bank 01.02.03. Was in the "Unprofitable" zone, on 01.03.03. In the "Brave" zone, on 01.04.03. In "Depressive", corresponding to a crisis condition, then has met crisis and has returned to profitable, steady work. We will explain in more details a design procedure of the separate, most important indicators influencing a soundness of bank. The offered analysis of a liquid position (L1), methods of use of a matrix of liquidity are developed on the basis of P.Rose's works, k.e.n. D.A.Kiseleva, k.e.n. V.V.Ivanov [11,77,160]. The author offers to count daily disbalans, saved up disbalans between active and passive operations on sensitive to
to revaluation to articles (L3) and on the basis of the analysis disbalansov to plan a bank liquidity situation on accounting terms. Knowing size saved up disbalansa it is possible to calculate change of a liquid position of bank and shareholder's interest size on certain date (see table 3.4).

the Technique is used for an estimation disbalansa AKB "Buzulukbank" the Orenburg area.

calculation disbalansov assets and liabilities (in thousand rub) Table 3.4

Articles To

vostr. And on 1

d.

To 7 d. From 7 to 31 d. From 31 to 90 d. From 91 to 180

d

From

181 till 1

From 1 to 3 l. From above

3 l.

Bessro

chnye

Total assets 34156 841 254 1647 3600 34535 13819 389 11405
Total

passives

39752 25 0 920 21937 1015 9967 0 17854
Disbalans assets and

passives

-5596 816 254 727 -18337 33520 3852 389 -6449
Saved up

disbalans

- -4780 -4526 -3799 -22136 11384 15236 15625 9176

the Source: it is made by the author according to balance of KB "Companion" on 01.05.03

Calculation disbalansa specifies in high dependence of bank on on-demand accounts. Negative disbalans for date poste restante testifies to use of on-demand accounts in urgent active operations. The great bulk of passives for the term up to 180 days is used in more urgent (from 181 days till 3 years) and profitable moneylending business. The analysis saved up disbalansa on fig. 3.6 specifies in possible display of liquidity risk for term over 180 days. The indicator disbalansa under termless articles reflects shareholder's interest use in profitable active operations in 6449 thousand rbl.

40000

a Fig. 3.6 Dynamics saved up disbalansa

-10000

-20000

20000

30000

10000

0

-30000

Disbalans on 03.03

Saved up

disbalans on 04.03

Disbalans on 05.03

Saved up disbalans on 05.03

the Source: it is made by the author according to reports AKB "Buzulukbanka"

On fig. 3.6 preservation of indicators disbalansa is reflected, but for the analysis it is more important indicators of dynamics saved up disbalansov and their influence on liquidity of bank. The size saved up disbalansa L3 allows to calculate change of a commercial value of a shareholder's interest. In case of growth of the average rate on passives till 1 year on 1,5 % change of shareholder's interest AKB "Buzulukbanka" will make 254 thousand rbl., at the same change of the rate for the term up to 180 days in the conditions of negative ND reduction in market value SK will make 533 t.r.

it is necessary for Bank to differentiate on terms short-term passives till 90 days and to reduce idle assets. For more exact analysis of indicators of liquidity L1 and L2 it is offered to use a liquidity matrix, having added with its calculations under alternative scenarios. On the basis of a matrix it is possible to receive the information on equation of actively - passive operations on terms, dependences of bank on liquidity of the market, sufficiency saved up both liquidity and bank possibilities on acquisition of resources. The analysis of a liquid position of bank from the point of view of anti-recessionary management gives the chance workings out of the plan of optimisation of level of the saved up and got liquidity, the plan of attraction and placing of means on terms and the sums from external

sources.

the Matrix of liquidity with alternative scenarios Table 3.5

the Liquid position of bank (L1)

(in thousand rub)

Alternative scenarios
Base the Scenario

crisis

likvidnost

and

Crisis in the market

valuable

papers

the Scenario

crisis

shareholders

Crisis regional nyh banks
Saved up

liquidity

8564 5472 7896 6984 6758
Got

liquidity

2358 3246 < /td> 2968 3875 1522
Total

liquidity

11102 8718 10864 10859 8180
Flowing

liquidity (till 1 day)

5263 3659 6578 4876 4231
For the term of 7 dn. 845 125 563 658 457
For the term of 30 dn 241 54 147 210 153
For the term up to 90. 786 769 536 724 722
For the term up to 180 dn. 15465 14542 12564 13256 14269
For the term up to 1 year 26566 26354 21259 24587 22588
For the term up to 3 years 298 25 285 365 250
the Total liquid position 49464 45528 41932 44676 42670

the Source: It is made by the author according to balance AKB "Buzulukbanka"

the Orenburg area.

for the given bank dependence on a liquid position for term over 90 days, in particular from payments under the securities which have been let out by bank and credits, placed for the term from 189 is characteristic. Till 1 year. Decrease in a liquid position most sharply can will be reflected in bank activity at realisation of the scenario of crisis of regional banks and a securities market.

for an estimation of a scale cost, indicators S4, S5 there are design procedures of the cost price and accounting of bank resources. The average costs pay off at the critical rate of break-even on borrowed funds, as the relation of percentage and not percentage expenses of bank to assets, income.

the factor of rise in price of resources is that only the part from the involved deposits becomes working assets and assets, income. It is connected with obligatory reservation of the sums in TSRB and on a corresponding account.

also this method considers, that the bank pays dividends, taxes. For this purpose count rate of return after deduction taxes and the average cost of the capital. It is possible to use a design procedure of the average cost of resources taking into account norms of reservation, change in interest rates, norms of the profit tax and bank possibilities on a reinvesting of means [167].

Calculation of indicators of risks R1-R10 accepted by bank for today is clearly enough designated in an instructive material [120,127]. There is also a fulfilled design procedure of cost of a shareholder's interest, debt capital costs. The most unfinished in practice still has a design procedure of a commercial value of assets and liabilities of bank, for a basis in the given model workings out LarionovojI.V [88] are taken. Specification of calculation of separate indicators of stability was not research problems and demands additional study.

by results of research of criteria of a soundness of bank it is possible to draw conclusions: 1) individual criteria krizisnosti the bank, stability developed as base model are necessary; 2) on the basis of own indicators working out of scenarios of possible development of crisis in separate bank is necessary; 3) use of author's design procedures of a liquid position of bank on a basis stsenarnogo the approach, calculation disbalansov volumes and due dates of assets and liabilities, their dynamic analysis allows to carry out early diagnostics of crisis development; 4) perfection of methods upravdenija liquidity, use of matrixes of a condition of a liquid position of bank for certain dates is necessary; 5) on the basis of statistical methods construction of models AKUKB with the detailed analysis of such objects as liquidity, cost, promptness, profitableness, riskiness and research of dynamics of a condition of their components is necessary.

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A source: DZJUBAN SVETLANA VIKTOROVNA. ANTI-CRISIS MANAGEMENT OF COMMERCIAL BANKS IN THE CONDITIONS OF RESTRUCTURING THE BANKING SYSTEM. Thesis for the degree of candidate of economic sciences. Orenburg - 2003. 2003

More on topic 3.1 Use of criteria of stability in working out of programs of anti-recessionary bank management:

  1. 1.3. Necessity and features of anti-recessionary management of stability of the enterprise in market
  2. 3.1 Methodical approach to strategic management of the noncommercial organisation with use of tools of preventive anti-recessionary management
  3. Essence, necessity and functions of anti-recessionary management by banks of commerce
  4. 3.2 Directions of development of anti-recessionary management in banks of commerce
  5. the Organization of anti-recessionary management of banks in the conditions of re-structuring of a banking system of the Russian Federation
  6. Frameworks of interaction of anti-recessionary management and banking system re-structuring
  7. the Maintenance of system of anti-recessionary management of banks of commerce and its development at the present stage
  8. System model of management of the noncommercial organisation with use of tools of anti-recessionary management
  9. TEORETIKO-METHODICAL BASES of MANAGEMENT of the NONCOMMERCIAL ORGANIZATIONS With USE of TOOLKIT of ANTI-RECESSIONARY MANAGEMENT
  10. the Analysis of practice of anti-recessionary management of regional banks of the Orenburg area
  11. WORKING out of ANTI-RECESSIONARY STRATEGY of DEVELOPMENT of the NONCOMMERCIAL ORGANIZATIONS
  12. Chapter 1 Theoretical bases of anti-recessionary management of banks of commerce
  13. Chapter 3. Development and perfection of the mechanism of anti-recessionary management by banks of commerce
  14. Efficiency of activity of Agency on re-structuring of the credit organisations of the Russian Federation in the field of anti-recessionary management
  15. Chapter 2 the Role of anti-recessionary management of banks of commerce in the conditions of re-structuring of the Russian banking system