Фінансово-кредитна діяльність: проблеми теорії та практики (Mar 2022)
THE DEVELOPMENT OF METHODOLOGY OF BANKS’ FINANCIAL STABILITY ASSESMENT BY TAXONOMETRIC METHOD
Abstract
Abstract. The article examines the methodology of assessing bank’s financial stability. It is researched scientific evolution of financial stability nature definition, discerning endogenous and exogenous approaches. It is proved that financial stability simultaneously feels effect from endogenous and exogenous factors and it should be taking into consideration while managing financial stability of a bank, as well as assessing its level. It is grounded a set of requirements while constructing methodological approach for assessing bank’s financial stability that are as follows: it is necessary to form a set of indicators that would allow to characterize the bank’s activity in complex; it is important to consider the dynamic nature of financial stability; it is significant to take into account how any indicator effects on the bank’s financial stability. It is proved taxonomy method as an effective technology of processing quantitative indicators of bank’s financial stability. We propose to normalize values of indicators by the Euclidean distance tool in order to figure out their deviation from the determined standard values. It is proposed to use a set of indicators for assessing the bank’s financial stability, that are grouped as follows: 1) the quality of capitalization; 2) the level of liquidity; 3) quality of assets; 4) risk-validity of business activity; 5) currency risk; 6) credit risk; 7) profitability; 8) operational risk; 9) interest rate risk; 10) factors of the macroeconomic environment. In general, it is proposed to use thirty-eight indicators which are presented by point and dynamic ones. Practical approbation of the proposed methodological approach is carried out on the example of systemically important banks of Ukraine. The purpose of the article is to improve methodology of assessing bank’s financial stability using taxonomy approach. The proposed method, in contrast to the existing ones, provides: 1) flow method construction of a set of indicators; 2) implementation of point and dynamic indicators; indicators-stimulators / destimulators and of a mixed type; 3) indicative consideration of macroeconomic environment factors. The application of such an approach allows to comprehensively determine the level of bank’s financial stability and to quantify the impact of the macroeconomic environment on it. Keywords: bank’s financial stability, taxonomy method, dynamic indicator, integrated index of bank’s financial stability, normalization of indicators, indicator-stimulator, indicator-destimulator. JEL Classification C13, C81, D53, G21, G23 Formulas: 6; fig.: 1; tabl.: 2; bibl.: 32.
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