Механізм державного антикризового регулювання банківської системи

Abstract

Дисертаційна робота присвячена розвитку теоретичних засад, науково-методичних підходів та розробленню практичних рекомендацій щодо формування й реалізації механізму ДАРБС. У дисертації вдосконалене визначення поняття "банківська криза"; розроблений підхід до класифікації банківських криз; обгрунтовано, що банківські кризи виникають унаслідок впливу некерованих факторів зовнішнього середовища та накопиченого внутрішнього деструктивного кризового потенціалу. Розвинено концептуальні засади формування механізму державного антикризового регулювання банківської системи; вдосконалено методичні засади діагностування кризових явищ та операціоналізації антикризового інструментарію. Розроблено науково-методичний підхід до оцінювання концентрації банківської системи як основи для вдосконалення державного антикризового регулювання процесів її деградації; вдосконалено механізм превентивного державного антикризового регулювання на мікрорівні на основі аналізу ризик-профілю бізнес-моделей та стрес-тестування фінансових ризиків банків.

The thesis is devoted to the development of theoretical foundations, scientific and methodological approaches and the development of practical recommendations for the formation and implementation of the state anti-crisis regulation of the banking system. The author has proved that the occurrence of a banking crisis is caused both by the influence of uncontrollable environmental factors (macroeconomic, political, social instability and the shocks caused by them), and the destructive crisis potential of the banking system, due to the subjective aspects of the internal characteristics of its elements, in particular, the effectiveness of banking management and the adequacy of the actions of the regulator. The paper analyses banking crises in Ukraine, based on which it is determined that the stage of banking distress was observed for a long period, while the triggers (different for the banking crisis of 2008–2009 and 2014–2015, except for the devaluation of the national currency) have resulted in significant fiscal expenses, economic and social consequences. A generalization of the key aspects of the state anti-crisis regulation of the banking system made it possible to consider it as a specific function of state management of the economy as a whole and the banking system, in particular, subordinated to the general imperatives of the anti-crisis policy of the national and supranational (interstate) levels, in the form of targeted regulatory influence of government bodies and institutions on the banking system, implemented at its micro and macro levels, using the appropriate mechanism is aimed at early diagnosis of the banking crisis, the formation of a set of measures to overcome it, reducing and / or neutralizing the negative impact on the financial and economic systems. It is determined that the mechanism of state anti-crisis regulation of the banking system has a complex component structure, including a targeted, functional and organizational-structural subsystem. The paper suggests the functional component of the mechanism of state anti-crisis regulation of the banking system to differentiate depending on the phase of the crisis, with the release of anticipatory, preventive, reactive and rehabilitation regimes. In the thesis improved methodological approach for crisis diagnosis, which is proposed to be considered it as a holistic, multilevel, hierarchically constructed set of modules, including diagnostic and analysis tools that allow you to transform the input information and generate analytical data on economic phenomena and processes that characterize the system: - and macro-level, cause and effect relationships, represented by a variety of external factors affecting them, and result indicators. The approach to operationalization of the instruments of the state anti-crisis regulation of the banking system by sequential implementation of the following stages is developed: diagnostics to determine the current and forecast states of the banking system at the micro and macro levels; determining the mode of regulation, design and selection of tools according to the results of diagnosis; preliminary assessment of the regulatory instruments; activation (and deactivation) of anti-crisis instruments; final evaluation of the effectiveness of the tools. As a result of the testing, negative tendencies in the functioning of the banking system of Ukraine were identified, namely the transition from a relatively highly competitive environment to a market with a high level of concentration, which may indicate early, initial signs of the emergence of potential crisis phenomena. Because of this, should strengthen monitoring of the concentration of the banking system and develop and implement the necessary preventive anti-crisis measures. It is substantiated that to increase the efficiency of banking crisis prevention it is advisable to analyse the risk profile of their business models as a set of specific aspects of activities that characterize the level of sensitivity to financial risks. The paper proposes to apply stress testing of key financial risks by the defined risk profile of the bank's business model, which involves the consistent implementation of such steps as goal setting, infrastructure formation, detailed stress testing procedure and updating of stress test parameters. For credit risk stress testing, the risk of concentration and changes in the correlation between credit and currency risk, as well as shock parameters for such components of the loan portfolio as mortgage and consumer loans, are considered. Liquidity risk stress testing involves examining risk factors for both liabilities and assets with a time horizon of two horizons. For stress testing of currency and interest rate risk, it is suggested to perform sensitivity analysis and determine the basic parameters of shock.