№ 12/2019

Fìnansi Ukr. 2019 (12): 71–84https://doi.org/10.33763/finukr2019.12.071

MARKET OF FINANCIAL SERVICES

KORNYLIUK Roman ¹, KORNYLIUK Anna ²

¹SHEE “Kyiv National Economic University named after Vadym Hetman”
OrcID ID : https://orcid.org/0000-0002-4615-5468
²Institute for Economics and Forecasting of NAS of Ukraine
OrcID ID : https://orcid.org/0000-0001-8713-0681

Open data based bank rating for systemic risk assessment

Banking crisis and wide series of defaults in 2014-2015 opened a unique opportunity to assess the predictive accuracy of bank solvency rating estimates for a very short period of time in historical terms. In addition to the traditional theoretical and expert methods of rating argumentation, a new empirical method is added, which allows us to improve the methodology based on real historical data instead of subjective or generalized conclusions. The main goal of the paper is to evaluate a predictive ability of open data based rating methodology based on scoring approach, ?nancial ratios and open data on Ukrainian banks. Sources of information include: indicators of ?nancial reporting of banks and other necessary information from open sources, such as o?cial sites of bank regulators, banks, banking associations, rating agencies, etc. As a result of the comparative analysis of rating indexes dynamics for groups of active and bankrupt banks during the system crisis and recovery 2014-2018, it is found that reliability ratings based only on open data may have a high ability to bankruptcy early warning, because the ?nal scores for the further defaulted banks were below the median values of the system. Moreover, insolvent banks were inclined to gradually lose their position in the rating for a few quarters before the default. The ?ndings of the retrospective analysis are used to select the most signi?cant default indicators for banks and serve as the basis for an updated methodology for rating the reliability of banks and assessing their systemic vulnerability based on relevant data regularly published by the National Bank of Ukraine. Metrics with the highest signaling power are the indicators of ROA and cash-to-resources ratio, retail deposits dependence ratio, type of ownership, expert consensus corrections etc., while traditional indicators of asset quality, previously used in methodology as well as deposit growth coe?cients appeared less e?ective in default prediction.

Keywords:banks, bank solvency rating, early-warning indicators, systemic risk, ?nancial crisis, banking system of Ukraine

JEL: G01, G17, G18, G21, G28

Kornyliuk R. . Open data based bank rating for systemic risk assessment / R. Kornyliuk, A. Kornyliuk // Фінанси України. - 2019. - № 12. - C. 71-84.

Article original in Ukrainian (pp. 71 - 84)

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