MODEL FOR ASSESSING AND FORECASTING THE FINANCIAL STABILITY OF THE BANKING SYSTEM OF UKRAINE
DOI:
https://doi.org/10.37332/Keywords:
financial stability index, banking system, macroprudential indicators, capital ratios, liquidity, credit risk ratios, return on assets, return on capital, normalized values, integrated valuesAbstract
Chaikovskyi Ye.Ya. MODEL FOR ASSESSING AND FORECASTING THE FINANCIAL STABILITY OF THE BANKING SYSTEM OF UKRAINE
Purpose. The aim of the article is to develop a model for assessing the financial stability of the banking system based on the integral financial stability index, which will contribute to maintaining the economic security of the state, as well as the application of the scenario forecasting method to take into account various risks and uncertainties affecting the stability of the banking system.
Methodology of research. The following methods were used during the study: the indicator normalization method – to bring the indicators to a single scale (0; 1); the expert assessment method – to determine the weighting coefficients; the weighted average index method – to calculate the integrated financial stability index; the comparative analysis method – to determine the optimal ranges for each indicator; the statistical method – to analyse the variability of indicators over the years, identify trends and correlations between different elements of financial stability; the generalization method – to form the main results.
Findings. The integrated financial stability index (IFS) is considered as an important tool for assessing and modeling the resilience of the banking system to economic and financial shocks. The methodology for calculating the IFS is presented, which includes five stages: selection of key financial stability indicators, normalization of indicators, determination of weight coefficients, calculation of the integrated indicator, and classification of the level of stability of the banking system. Based on this methodology, the IFS was calculated for the period 2019-2024 and the forecast for 2025-2030 under three scenarios (pessimistic, baseline, and optimistic). The results indicate the effectiveness of using scenario analysis to predict the stability of the banking system, which allows taking into account various risks and economic factors, as well as assessing the system's ability to respond to changes in the economic environment.
Originality. The application of the integrated financial stability index of the banking system as an important tool for assessing and modeling financial stability, as well as the scenario forecasting method, which allows taking into account various risks and uncertainties affecting the stability of the banking system, has been further developed.
Practical value. The results of the conducted research provide a deep understanding of the tools for assessing and modeling financial stability. In particular, the results contribute to improving the policy of the NBU and other state bodies regarding the timely identification of problems in the banking system and making informed decisions to support the stability of the financial sector. The application of the scenario forecasting method allows assessing future risks and uncertainties that may affect financial stability, as well as developing strategic plans to strengthen the system under different economic scenarios. This makes it possible to respond more effectively to possible economic shocks and adapt macroprudential regulation policies, ensuring the stability of banks and the stability of the economy as a whole.
Key words: financial stability index, banking system, macroprudential indicators, capital ratios, liquidity, credit risk ratios, return on assets, return on capital, normalized values, integrated values.
References
1. Androsova, O.F. and Vasylenko, O.S. (2016), “Modeling the assessment of the financial stability of the banking sector of Ukraine”, Stalyi rozvytok ekonomiky, no. 1(30), pp. 252-259, available at: https://economdevelopment.in.ua/index.php/journal/article/view/468/450 (access date February 04, 2025).
2. Blahun, I.I. (2013), “Cognitive model of the development of the banking system of Ukraine”, Aktualni problemy ekonomiky, no. 4(142), pp. 209-2017, available at: http://nbuv.gov.ua/UJRN/ape_2013_4_24 (access date February 05, 2025).
3. Irshak, O. (2013), “Structural modeling of the development of the banking sector in Ukraine”, Ekonomichnyi analiz, no. 12, pp. 36-40, available at: http://nbuv.gov.ua/UJRN/ecan_2013_12(2)__9 (access date February 07, 2025).
4. Kuzmenko, O.V. and Yevtushenko, A.S. (2014), “Modeling the stability level of the banking system of Ukraine based on decomposition analysis”, Investytsii: praktyka ta dosvid, no. 4, pp. 126-134, available at: http://www.investplan.com.ua/pdf/4_2014/26.pdf (access date February 10, 2025).
5. Omelenchuk, V. (2024), “Forecasting the stability of the banking sector”, Scientia fructuosa, no. 6, pp. 17-30, DOI: https://doi.org/10.31617/1.2024(158)02.
6. Onyshchenko, Yu.I. and Pshenychna, A.A. (2011), “Methodological approaches to determining the factors ensuring the stability of the banking system of Ukraine”, Finansovo-kredytna diialnist: problemy teorii ta praktyky, no. 1(10), pp. 19-25.
7. “Official website of the National Bank of Ukraine”, available at: https://bank.gov.ua/ (access date February 18, 2025).
8. Pozdniakova, V.D. (2017), “Econometric model for assessing the financial results of the activities of banks of Ukraine”, Ekonomika i suspilstvo, Issue no. 11, pp. 582-587, available at: https://economyandsociety.in.ua/journals/11_ukr/94.pdf (access date February 12, 2025).
9. Prykaziuk, N. and Pohybil, A. (2022), “Assessment of the financial stability of the banking system of Ukraine based on a complex indicator and a taxonomic indicator taking into account FSI”, Visnyk Kyivskoho natsionalnoho universytetu imeni Tarasa Shevchenka, no. 2(219), pp. 25-33, DOI: https://doi.org/10.17721/1728-2667.2022/219-2/4.
10. Yehorycheva, S., Khutorna, M., Rudenko, M. et al. (2022), “Development of the methodology for assessing the financial stability of banks by the taxonomic method”, Financial and Credit Activity Problems of Theory and Practice, no. 1(42), pp. 13-25, DOI: https://doi.org/10.55643/fcaptp.1.42.2022.3650.
11. Samorodov, B.V. and Hoikhman, M.I. (2014), “Construction of an integral indicator for assessing problem situations in the banking system”, Visnyk Nats. tekhn. un-tu “KhPI” : zb. nauk. pr. Temat. vyp. : Aktualni problemy upravlinnia ta finansovo-hospodarskoi diialnosti pidpryiemstva, NTU “KhPI”, Kharkiv, Ukraine, no. 46(1089), pp. 113-121, available at: https://repository.kpi.kharkov.ua/handle/KhPI-Press/13752 (access date February 13, 2025).
12. Serhiienko, O.A., Savchenko, H.O. and Morozova, N.L. (2016), “Models for studying the stability of the banking system of Ukraine: phase and cointegration analysis”, Visnyk Universytetu bankivskoi spravy, no. 1-2, pp. 97-105, available at: http://nbuv.gov.ua/UJRN/VUbsNbU_2016_1-2_18 (access date February 14, 2025).
13. Stepanenko, O.P. (2013), “Modeling of synergistic effects in the development of the banking system”, Biznes Inform, no. 8, pp. 123-127, available at: http://nbuv.gov.ua/UJRN/binf_2013_8_22 (access date February 17, 2025).
14. Khalatur, S., Velychko, L., Pavlenko, O. et al. (2021), “A model for analyzing the financial stability of banks in the VUCA-world conditions”, Banks and Bank Systems, no. 16(1), pp. 182-194, DOI:10.21511/bbs.16(1).2021.16.
15. Aymanns, C., Farmer, J.D., Kleinnijenhuis, A.M and Wetzer, T. (2018), “Models of Financial Stability and Their Application in Stress Tests”, In: Hommes, C. and LeBaron, B. (Eds.) Handbook of Computational Economics, Volume 4, pp. 329-391.
16. Sahel, B. and Vesala, Ju. (2021), “Financial stability analysis using aggregated data”, BIS Papers, no. 1, pp. 160-185, available at: https://www.bis.org/publ/bppdf/bispap01f.pdf (access date February 03, 2025).
Downloads
Published
Issue
Section
License
Open-access articles (open-access journals)
Authors whose articles are published in open-access retain all rights to the content of the articles.
Open access articles are committed to be published under Creative Commons Attribution (CC BY) 4.0. This license allows others to distribute, edit, correct and build upon your work, even commercially, as long as they indicate your authorship. Detailed information at Creative Commons site: https://creativecommons.org/licenses/by/4.0/
Permissions for open-access journals
If the article is published in open-access under CC BY 4.0 or CC BY-NC 4.0 (which was possible till the 15th of December, 2018) licenses, users may reproduce it in accordance with their terms.
Additionally, if the article had been published under CC BY-NC 4.0 (this license authorizes others to download your works and share them with others as long as they indicate your authorship, but they can’t use them commercially in any case.), the use for the following commercial purposes requires permission:
– reproduction of content in a work or product intended for sale;
– reproduction in presentations, brochures or other marketing materials used for commercial purposes;
– distribution of the content to promote or market a person, product, course, service or organization;
– text and data mining for the purpose of creating a saleable product or product which benefits from promotional or advertising revenue;
– use of the content by a commercial entity or individual for the purposes of remuneration, directly or indirectly through sale, licensing, promotion or advertising;
– linking to the content (in an email, webpage, portable electronic device or otherwise) for the specific purpose of marketing or advertising a person, product, course, service or organization for commercial benefit.
For further details and permission requests, please contact.
