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AIP Conference ProceedingsVolume 2293, 24 November 2020, Article number 120026International Conference on Numerical Analysis and Applied Mathematics 2019, ICNAAM 2019; Sheraton Rhodes ResortRhodes; Greece; 23 September 2019 through 28 September 2019; Code 165330

Statistical analysis of the use an internal capital adequacy assessment procedure in the monitoring of banks stability(Conference Paper)(Open Access)

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  • aUral Federal University, Mira Street, 19, Yekaterinburg, 620002, Russian Federation
  • bUral State University of Economics, March 8 Street, 62, Yekaterinburg, 620144, Russian Federation
  • cDepartment of Economic Cybernetics, Donetsk National Technical University, Artema Street 131, 83015, Ukraine

Abstract

To increase the stability of the banking system, it is necessary to use effective systems of risk management and monitoring of banks. One of these systems is the internal procedure for capital adequacy assessment (IPCAA). The purpose of this study is to assess, using a statistical analysis, the impact of the IPCAA procedure on changes in the value of banks' capital adequacy ratios. Some results of monitoring data are presented on risk-weighted assets, level 1 and 2 capitals, and capital adequacy ratios (CAR) for two foreign (2008 - 2018) and three Russian banks (2014 - 2018). The study showed the direct effect of increasing the risk-weighted assets on the level of capital adequacy (CAR). The results obtained allow concluding that there is a direct significant connection between the IPCAA procedure use and the stability of banks. This procedure provides a comprehensive assessment of the overall capital adequacy of banks, taking into account the existing risks in order to maintain an adequate and stable forecast level of capital. The study also revealed the needs of banks in creating adequate structures to ensure proper management of financial and operational risks, which will simplify the IPCAA process and ensure more effective capital planning and decision-making to provide the stability of both individual banks and the entire banking system. © 2020 American Institute of Physics Inc.. All rights reserved.

Author keywords

Assessment of capital adequacyInternal assessment proceduresStability of the banking systemStatistical analysis
  • ISSN: 0094243X
  • ISBN: 978-073544025-8
  • Source Type: Conference Proceeding
  • Original language: English
  • DOI: 10.1063/5.0027265
  • Document Type: Conference Paper
  • Volume Editors: Simos T.E.,Simos T.E.,Simos T.E.,Simos T.E.,Simos T.E.,Tsitouras C.
  • Publisher: American Institute of Physics Inc.

  Medvedeva, M.A.; Ural Federal University, Mira Street, 19, Yekaterinburg, Russian Federation;
© Copyright 2020 Elsevier B.V., All rights reserved.

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