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Èëëþñòðàöèè ê "Alexander A Shemetev Forecasting bankruptcy and financial stability of regional commercial banks with limited input data"

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  • © Copyright Øåìåòåâ Àëåêñàíäð Àëåêñàíäðîâè÷ (anticrisis2010@mail.ru)
  • Îáíîâëåíî: 20/10/2011. 112k. Ñòàòèñòèêà.
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    The probability of bank bankruptcy in % Alexander Shemetev
    11.jpg:224x62, 4k

    Y – is the power exponent of e, calculated by this formula Alexander Shemetev
    12.jpg:534x68, 14k

    Tag for web-tipography Alexander Shemetev
    123.jpg:28x21, 0k

    X1 Ratio Alexander Shemetev
    13.jpg:350x63, 7k

    X2 Ratio Alexander Shemetev
    14.jpg:140x90, 3k

    X3 Ratio Alexander Shemetev
    15.jpg:115x70, 3k

    NBP – Non-Bankruptcy Probability is calculated by the formula developed by the author Alexander Shemetev
    16.jpg:184x91, 4k

    Probability of total bank failure is calculated from a formula developed by the author Alexander Shemetev
    17.jpg:276x78, 5k

    Parameter A is calculated from equation Alexander Shemetev
    18.jpg:525x65, 20k

    AY1 – is the sum of money (bank’s monetary fund: MFBANK) in the balance of the credit institution to total assets (ABANK) Alexander Shemetev
    19.jpg:211x34, 4k

    AY2 – is the ratio of equity (bank’s owned capital /equity/: OC(Eq)BANK) to total liabilities of credit institutions (total liabilities of bank: TLBANK) Alexander Shemetev
    20.jpg:237x37, 4k

    The author analyzed and developed a model that allows us to calculate the aggregate banking sector risky stability in a region, based only on data from banks' balance sheets in the region in the minimal representation Alexander Shemetev
    201.jpg:514x72, 12k

    P – is a function calculated from the balance of each bank in the region as follows Alexander Shemetev
    202.jpg:518x88, 23k

    AY3 – the ratio of total assets’ revaluation funds in equity (ARFIEBANK) to equity (OC(Eq)BANK) (the aggregate value of own sources of credit institution) Alexander Shemetev
    21.jpg:270x38, 5k

    AY4 – is the sum of retained earnings of the year (RetEYBANK) (from the passive in balance) to the total value of bank’s liabilities (TLBANK) (1.12) Alexander Shemetev
    22.jpg:276x41, 5k

    AY5 – is the sum of retained earnings from previous years (RetEPYsBANK) (excluding retained earnings this year, which is reflected as a separate line in bank balance) to the total value of assets (ABANK) Alexander Shemetev
    23.jpg:288x41, 5k

    The parameter C is calculated from equation Alexander Shemetev
    24.jpg:533x56, 17k

    AM1 – is the ratio of the total value of assets (ABANK) to the total value of liabilities of credit institution (TLBANK) Alexander Shemetev
    25.jpg:229x38, 4k

    AM2 – the ratio of total assets’ revaluation funds in equity (ARFIEBANK) to the total value of liabilities (TLBANK) Alexander Shemetev
    26.jpg:251x34, 5k

    AM3 – the ratio of equity’s value of credit institutions (OC(Eq)BANK) to the total value of assets (ABANK) Alexander Shemetev
    27.jpg:278x40, 5k

    AM4 – is the sum of retained profits of the year (RetEYBANK) and past years (RetEPYsBANK) from the passive in balance to the total value of liabilities of credit institutions (TLBANK) Alexander Shemetev
    28.jpg:369x35, 6k

    The sum of the coefficients A and C inside the model will clearly identify those banks Alexander Shemetev
    29.jpg:515x114, 32k

    The quick to use variant of real quality of bank's equity-capital estimation Alexander Shemetev
    30.jpg:219x80, 4k

    Where the exponent-power of regression of equation (1.20) is given by Alexander Shemetev
    31.jpg:499x89, 22k

    AA1 – the ratio of cash (bank’s monetary fund: MFBANK) to the obligations of the bank (TLBANK) Alexander Shemetev
    32.jpg:216x37, 4k

    ÀÀ2 – the ratio of equity of bank (OC(Eq)BANK) to total assets of credit institution (ABANK) Alexander Shemetev
    33.jpg:255x33, 4k

    ÀÀ3 – the ratio of retained earnings of previous years (RetEPYsBANK) to the deposits of individuals (DepIndBANK) Alexander Shemetev
    33a.jpg:275x24, 5k

    ÀÀ4 – this is the undistributed profits of the year (RetEYBANK) (from the passive in balance) to the sum of: CBRF (Central Bank) funds on the credit institutions’ accounts (CBFCIABANK); other credit institutions’ funds on bank accounts (OCIFBABANK); clients’ funds – who are not credit institutions – within their full amount (CFNCIBANK). Alexander Shemetev
    34.jpg:365x51, 8k

    ÀÀ5 – is the ratio of the revaluation of fixed assets (total assets’ revaluation funds in equity: ARFIEBANK) to the sum of fixed assets (property, plant and equipment, or main funds) of the credit institution (FABANK) Alexander Shemetev
    35.jpg:258x33, 5k

    ÀÀ6 – this is the net amount of net loan debt (NLDBANK) to the sum of bank liabilities (TLBANK) Alexander Shemetev
    36.jpg:291x46, 5k

    ÀÀ7 – the ratio of equity (owned capital) of bank (OC(Eq)BANK) to the sum of liabilities (TLBANK) Alexander Shemetev
    37.jpg:284x35, 5k

    ÀÀ8 – the ratio of bank assets (ABANK) to its obligations (TLBANK) Alexander Shemetev
    38.jpg:224x36, 4k

    Formula suspected bogus bank’s failure is developed by the author and is as follows Alexander Shemetev
    39.jpg:380x88, 7k

    The author’s method of a more profound calculation of the H1 right from the official balance sheet of a credit institution (the balance sheet is enough for this method) Alexander Shemetev
    40.jpg:311x74, 6k

    AT – is the total value of the function, which is calculated from the balance sheet using the following formula Alexander Shemetev
    41.jpg:515x292, 74k

    Af1 – the ratio of equity (owned capital) of the bank (OC(Eq)BANK) to total assets (ABANK) Alexander Shemetev
    42.jpg:279x38, 6k

    Af2 – the ratio of total assets of the bank (ABANK) to the liabilities’ sum of the credit institution (TLBANK) Alexander Shemetev
    43.jpg:238x37, 4k

    Af3 – the ratio of total fixed assets’ revaluation (ARFIEBANK) to the total value of liabilities (TLBANK) Alexander Shemetev
    44.jpg:272x33, 5k

    Af4 – the ratio of fixed assets (PPE) of the bank (FABANK) to liabilities (TLBANK) Alexander Shemetev
    45.jpg:238x34, 4k

    Af5 – this ratio is the amount of money held by the credit institution on its accounts (bank’s monetary fund: MFBANK) to equity (OC(Eq)BANK) Alexander Shemetev
    46.jpg:277x34, 6k

    Af6 – the ratio of equity capital of the bank (OC(Eq)BANK) to the sum of liabilities (TLBANK) Alexander Shemetev
    47.jpg:271x38, 5k

    Af7 – is the ratio of net loan debt (NLDBANK) to the sum of the contributions of individuals (ConIndBANK) Alexander Shemetev
    48.jpg:328x35, 6k

    Af8 – a ratio of the sum of retained earnings of previous years (RetEPYsBANK) relative to the amount of retained earnings of the year (RetEYBANK) (taken in the liability balance for the same date) Alexander Shemetev
    49.jpg:338x35, 6k

    Af9 – the ratio of irrevocable commitments (IrrCommBANK) in relation to the amount of: a credit institution issued guarantees and sureties (IssG&S), plus the sum of irrevocable commitments (IrrCommBANK), plus the sum of shareholders’ (participants’) means of credit organization / own stocks (shares) repurchased from shareholders /members/ (OSRFMBANK) Alexander Shemetev
    50.jpg:401x54, 9k

    Af10 – the ratio of the contingency fund of the bank /reserve fund of bank/ (RFBBANK) to the sum of the authorized capital /own stocks (shares) repurchased from shareholders /members/ (OSRFMBANK) Alexander Shemetev
    51.jpg:365x43, 7k

    Af11 – a ratio of the sum of bank’s funds in the Central Bank of Russia (SBFiCBRBANK) to the sum of bank assets (ABANK) Alexander Shemetev
    52.jpg:313x42, 6k

    Af12 – the ratio of other assets (OtABANK) to the total value of assets (ABANK) Alexander Shemetev
    53.jpg:259x34, 5k

    Af13 – a ratio of the sum of investments in subsidiaries and associated companies / organizations / (SIS&ABANK) to gross assets ratio (ABANK) Alexander Shemetev
    54.jpg:283x37, 5k

    Af14 – a measure, the numerator of which is the sum of retained earnings of previous years (RetEPYsBANK) minus the sum of retained earnings of the year (RetEYBANK) in the denominator is the sum of the bank's liabilities (TLBANK) Alexander Shemetev
    55.jpg:336x68, 8k

    Af15 – is the amount of required reserves (ARRBANK) in balance assets to the amount of equity (OC(Eq)BANK) Alexander Shemetev
    56.jpg:264x27, 4k

    Af16 – a ratio of the sum of the fair value of securities available for sale (SFVSASBANK) in relation to the amount of own capital (OC(Eq)BANK) Alexander Shemetev
    57.jpg:316x34, 5k

    Af17 – is the ratio of reserves for possible losses on credit related commitments (RPLCRCBANK) in relation to the amount of own capital (OC(Eq)BANK) Alexander Shemetev
    58.jpg:328x35, 6k

    Af18 – the ratio of debt issued by the bank (DIBBANK) to the gross amount of liabilities of credit institutions (TLBANK) Alexander Shemetev
    59.jpg:216x29, 4k

    Af19 – the ratio of other liabilities (OtLBANK) to assets (ABANK) Alexander Shemetev
    60.jpg:228x31, 4k

    Af20 – a ratio of the sum of loans, deposits and other funds of the Central Bank of Russia (SLDOFCBRBANK) in relation to the gross amount of the bank's liabilities (TLBANK) Alexander Shemetev
    61.jpg:287x34, 5k

    Af21 – the ratio of other credit institutions’ funds /let me remind you that the Bank of Russia and its means is not among them/ (/other credit institutions’ funds on bank accounts (OCIFBABANK)/) in relation to customers’ funds (that are not credit institutions) (/clients’ funds – who are not credit institutions – within their full amount (CFNCIBANK)/) Alexander Shemetev
    62.jpg:301x34, 6k

    Af22 – the ratio of share premium /emission income/ (EIBANK) to the sum of the bank's equity capital (OC(Eq)BANK) Alexander Shemetev
    63.jpg:290x37, 5k

    Af23 – the ratio of net income of investments in securities and other financial assets available for sale (NIoIiSOFAASBANK) to gross total assets of credit institution (ABANK) Alexander Shemetev
    64.jpg:373x41, 7k

    Af24 – a ratio of the sum of means a bank holds in other credit institutions (SMBHiOCIBANK) to gross assets (ABANK) Alexander Shemetev
    65.jpg:330x34, 6k

    Af25 – the ratio of net bank’s investment in securities held to maturity (NBISHMBANK) to total assets (ABANK) Alexander Shemetev
    66.jpg:292x36, 5k

    Af26 – the ratio of net investments in securities, assessed at fair value through profit or loss (NISAFVTPLBANK) to the gross amount of assets (ABANK) Alexander Shemetev
    67.jpg:307x36, 5k

    Af27 – a ratio of the sum of bank’s liabilities (TLBANK) to total assets (ABANK) Alexander Shemetev
    68.jpg:224x36, 4k

    Af28 – the ratio of bank assets (ABANK) to equity (OC(Eq)BANK) Alexander Shemetev
    69.jpg:299x36, 6k

    Af29 – this is the natural logarithm (ln) of the amount of assets (ABANKA), expressed in thousands of rubles Alexander Shemetev
    70.jpg:343x43, 6k

    Af30 – this is the natural logarithm (ln) of the amount of bank liabilities (TLBANK), expressed in thousands of rubles Alexander Shemetev
    71.jpg:376x45, 7k

    Af31 – this is the natural logarithm (ln) of the amount of bank’s own capital (OC(Eq)BANK), expressed in thousands of rubles Alexander Shemetev
    72.jpg:382x33, 7k

    Af32 – is the cosine (cos) of the size of revaluation of fixed assets’ fund of a bank (ARFIEBANK), expressed in thousands of rubles Alexander Shemetev
    73.jpg:305x35, 6k

    Fact cumulative assets risk for the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    aktiwy.jpg:770x434, 164k

    Alexander Shemetev's photo Alexander Shemetev
    alexshemetev.jpg:1001x1003, 351k

    First assets’ group Central Bank of Russia, translated to English by Alexander Shemetev
    clas1.jpg:465x503, 98k

    Second group of bank’s assets Central Bank of Russia, translated to English by Alexander Shemetev
    clas2.jpg:468x549, 130k

    Third group of banks’ assets Central Bank of Russia, translated to English by Alexander Shemetev
    clas3a.jpg:463x395, 98k

    Third group of banks’ assets Central Bank of Russia, translated to English by Alexander Shemetev
    clas3b.jpg:463x395, 84k

    Third group of banks’ assets Central Bank of Russia, translated to English by Alexander Shemetev
    clas3c.jpg:470x150, 30k

    Fourth group of banks’ assets Central Bank of Russia, translated to English by Alexander Shemetev
    clas4.jpg:466x353, 77k

    Fifth group of banks’ assets Central Bank of Russia, translated to English by Alexander Shemetev
    clas5.jpg:467x90, 9k

    Fact cumulative profitability risk for the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    dohodnostx.jpg:772x435, 168k

    Adequacy of own funds (capital) (H1) is calculated by the formula Central Bank of Russia, translated to English by Alexander Shemetev
    f11.jpg:540x47, 9k

    Indicator assessing the quality of capital (PC3) Central Bank of Russia, translated to English by Alexander Shemetev
    f110.jpg:329x77, 10k

    Indicator of the quality of loans Central Bank of Russia, translated to English by Alexander Shemetev
    f111.jpg:371x104, 11k

    Indicator of risk of loss (PA2) Central Bank of Russia, translated to English by Alexander Shemetev
    f112.jpg:690x78, 17k

    Index of the share of overdue loans (PA3) Central Bank of Russia, translated to English by Alexander Shemetev
    f113.jpg:464x90, 13k

    Indicator of the size of reserves for losses on loans and for other assets (PA4) Central Bank of Russia, translated to English by Alexander Shemetev
    f114.jpg:523x92, 14k

    Rate of return on assets PP1/0 Central Bank of Russia, translated to English by Alexander Shemetev
    f117.jpg:480x109, 14k

    Rate of return on equity (PP2/0) Central Bank of Russia, translated to English by Alexander Shemetev
    f118.jpg:650x117, 22k

    Indicator of the cost structure (PP4) Central Bank of Russia, translated to English by Alexander Shemetev
    f119.jpg:362x121, 11k

    The ratio of instantaneous liquidity Central Bank of Russia, translated to English by Alexander Shemetev
    f12.jpg:381x100, 11k

    The net interest margin (PP5) Central Bank of Russia, translated to English by Alexander Shemetev
    f120.jpg:380x111, 13k

    Net spread of the credit operations (PP6) Central Bank of Russia, translated to English by Alexander Shemetev
    f121.jpg:581x73, 13k

    Indicator of the overall short-term liquidity Central Bank of Russia, translated to English by Alexander Shemetev
    f123.jpg:494x90, 12k

    The index structure of borrowed funds (PL4) Central Bank of Russia, translated to English by Alexander Shemetev
    f124.jpg:374x132, 11k

    Indicator of depending on the interbank market (PL5) Central Bank of Russia, translated to English by Alexander Shemetev
    f125.jpg:502x122, 15k

    Indicator of risk of the own bill obligations (PL6) Central Bank of Russia, translated to English by Alexander Shemetev
    f126.jpg:427x120, 14k

    The index of non-bank loans (PL7) Central Bank of Russia, translated to English by Alexander Shemetev
    f127.jpg:380x105, 11k

    Indicator of risk for large depositors (PL10) Central Bank of Russia, translated to English by Alexander Shemetev
    f128.jpg:366x124, 11k

    The ratio of the current liquidity Central Bank of Russia, translated to English by Alexander Shemetev
    f13.jpg:409x106, 11k

    The ratio of the long-term liquidity Central Bank of Russia, translated to English by Alexander Shemetev
    f14.jpg:414x92, 11k

    The ratio total liquidity Central Bank of Russia, translated to English by Alexander Shemetev
    f15.jpg:589x83, 15k

    Maximum risk per borrower or group of related borrowers Central Bank of Russia, translated to English by Alexander Shemetev
    f16.jpg:561x129, 21k

    Maximum large credit risk Central Bank of Russia, translated to English by Alexander Shemetev
    f17.jpg:508x131, 16k

    The maximum size of loans, bank guarantees and sureties granted by the bank to its members (shareholders) Central Bank of Russia, translated to English by Alexander Shemetev
    f18.jpg:454x116, 14k

    Aggregate risk for the bank's insiders Central Bank of Russia, translated to English by Alexander Shemetev
    f19.jpg:429x110, 14k

    Indicator: the overall capital adequacy ratio Central Bank of Russia, translated to English by Alexander Shemetev
    f19a.jpg:409x117, 13k

    Fact capital adequacy in the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    faktn1.jpg:771x443, 224k

    Fact instant liquidity of the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    faktn2.jpg:770x446, 227k

    Fact current liquidity of the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    faktn3.jpg:771x437, 223k

    Fact long-term liquidity of the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    faktn4.jpg:769x442, 220k

    RGA – Ratio General of Assets Central Bank of Russia, translated to English by Alexander Shemetev
    frga.jpg:450x196, 19k

    RGC – Ratio General of Capital Central Bank of Russia, translated to English by Alexander Shemetev
    frgc.jpg:426x184, 16k

    RGL – Ratio General of Liquidity Central Bank of Russia, translated to English by Alexander Shemetev
    frgl.jpg:453x198, 20k

    RGP – Ratio General of Profitability Central Bank of Russia, translated to English by Alexander Shemetev
    frgp.jpg:407x177, 16k

    Scoring and weighting of indicators of performance assessment of assets valuation Central Bank of Russia, translated to English by Alexander Shemetev
    ftablepa.jpg:500x383, 85k

    Scoring and weighting of performance assessment indicators for assessing bank’s capital Alexander Shemetev
    ftablepc.jpg:499x171, 39k

    Scoring and weighting of performance assessment indicators to measure the liquidity Central Bank of Russia, translated to English by Alexander Shemetev
    ftablepl.jpg:501x452, 114k

    Scoring and weighting of performance assessment indicators to measure the profitability of commercial bank Central Bank of Russia, translated to English by Alexander Shemetev
    ftablepp.jpg:506x203, 50k

    Information about the bankruptcy of banks in Russia January 1, 2006 to January 1, 2010 Alexander Shemetev
    gr1.jpg:503x259, 54k

    Completion of bankruptcy proceedings of banks in Russia from January 1, 2006 till January 1, 2010 Alexander Shemetev
    gr2.jpg:482x240, 40k

    Fact cumulative capital risk for the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    kapital.jpg:769x440, 165k

    Fact cumulative liquidity risk for the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    likwidnostx.jpg:770x439, 170k

    Fact cumulative overall risk for the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    obshij.jpg:769x435, 160k

    Reporting long-term liquidity of the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    otchdolgsrochlikw.jpg:869x490, 262k

    Reporting capital adequacy in the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    otchdostkap.jpg:869x490, 263k

    Reporting instant liquidity of the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    otchmgnlikw.jpg:869x492, 275k

    Reporting current liquidity of the Regional banks of Sverdlovsk region, 2007-2010 (end) Alexander Shemetev
    otchteklikw.jpg:868x496, 278k

    Information about the bankruptcy of banks in Russia January 1, 2006 to January 1, 2010 Alexander Shemetev
    ta1.jpg:495x635, 64k

    Completion of bankruptcy proceedings of banks in Russia from January 1, 2006 till January 1, 2010 Alexander Shemetev
    ta2.jpg:452x157, 32k

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