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7/28/2019 Analysis of the Albanian Banking System in a Risk Performance Framework
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AnAlysis of the
AlbAniAn bAnking
system in A
risk-performAnce
frAmework
03
(2
6)2011
i kau*
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* Irini Kalluci, Research Department, Bank of Albania.email: [email protected]
Views expressed in this paper are those of the authors and do not necessarilyreflect those of the Bank of Albania.
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contents
Abstract 5
1. Introduction 8
2. Financial ratios analysis, using the modified DuPont model 9
3. Matrix analysis of banking system performance 24
4. The risk index 31
5. Conclusions 38
References 40
ANNEX 42
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AbstrAct
The banking industry is the most important segment of the Albanianfinancial system and, for that reason, it requires more attention whenit comes to financial analysis. This paper handles theoretically andanalytically some indicators of risk and performance, and for the firsttime, the methodology of measuring a risk index for the Albanianbanking system is presented. The aim of this paper is not simply toanalyse financial ratios or measures of risk and return, but also to
suggest some indicators and an index that may be used by supervisorsduring their work.
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list of AbbreViAtionsAva ma
AU A Uza
b bu
bVe b Vau equ
col c la
eA ea A
eAer ea A equ ra
eAr ea A ra
eAt ea A ta
em equ mu
er e ra
ie i e
inir i n-i ra
ioA i A
ioe i equ
ir i rvu
itir i ta i raleA la ea A
llp la l pv
neir n ea i ra
nenii n ea n i i
nenir n ea n-i ra
nie n i e
nieA n-i ea A
nii n i i
niioe n i i equniir n i i ra
nirtir n-i rvu ta i ra
nim n i ma
ninir n i n-i ra
nioA n-i A
nioe n-i equ
nir n-i rvu
nitir n i ta i ra
nnii n n-i i
noi n oa i
nreA n ru ea A
pl pa la
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pm p ma
reA ru ea A
roA ru A
roe ru equ
t ta
tA ta A
tieA ta i ea A
tioe ta i equ
toe ta oa e
toi ta oa i
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1. introdUction
r, a a qu u aa a av 2007, a a a u a a a aa a a a a a , a , aua. t au u uv a a auu -a aa a, a. taa a u a a a a a,a ua a uv. d aa aaz a a, a u aua uv , a v aa, a v, Aaaa .
t roe a u dup a a a a. i , a a uu a aa aa a u. t
u a aua a r i Aaa a , a v haa a ha (1988) a a a au. i u a.
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2. finAnciAl rAtios AnAlysis, Using themodified dUpont model
mau a aaz a a v a a v a a aa ua a a, a v aa a a a . fu, a aa aaa a u a a a a u va v uu.
2.1 the dUpont model At A glAnce
t a au a aa aa aa a ( u) a u qu (roe), a v v a a, a v.
t dup m a 1919, a uaa a a u a a a a a a aa u qu a a aa , a . t a a v a a a v a u: , a u a aa a aa a a u a u aa; , aa aa uu u a a a a v a a (wa, 2007). o ap s Ja u u , t dup a a vuaz a a v a .
t dup (qua) a roe va a:
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f a:
i a, u qu a ;u a (roA) a aa va ( aqu u - em):
ROE = ROA * EM (1)
s a:
t a roe a roA , v a (pm) a a uza (AU):
ROA = PM * AU (2)
t a:
A a a a a, a ua a aa vu a a aa aa a u.
2.2 the methodology of decomposingroe for the bAnking sector
c (1972) a a aa a a dup a. t a a a u a ua, uv a v a. i a u a v a u u. taa a a a , a ua a aaza av. A a qu, aa a a a a a, a a a a aua .
c (1972) a a a a a au a a ju
a. i a, u a aa a u a u a qu a a a aa aa a a
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a. A a qua (3), a a aa v a. A vau roe uua a a a a a ua a. bu a vau a a au a v a qu ( a aua) a v a . o a, uau av vau a qua u u v vau roe.
(3)
i ua, av a ua u qu a a , a aau a qu u, a (em a roA)1, roA u (pm a AU)2.
(4)
t qu u (em) a a a aav avaa u qu v a a, a v vau qu / aa a v a aaza. i, em v a a aa va a, a (1-1/em) = d / ta a, v a a. A vau qu ua a a a ( a a a a u a a u a ).
t u a (roA) a a:
(5)
1 s qua (1).2 s qua (2).
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t a roA v a a au a . A vau roA a a a aa =, u aa u.
i a aa a, roA a roe.ev u a a , a a aa aa v a a a v a a, a . w roe v a a a a , roA
. ta a a .
d au av roA a, a aa aa a a a :
(6)
a
(7)
t a a a aa a a a . c (1972)u a ua a a , a a a a , a a u a.
t , a uza a (AU), a a a a (ava)a, a a a a a a u ava a.
A a aa a u a a, u a a : u k a mada (2002), a
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u V a. (2004). b a aa dup . i aa au, a a dup a u, a v a a aa a a.
ia, k a mada (2002) ua roea a a a roA a em. Aa, a roA a, a a a a a ,
a qua :
ROA = AU ER (8)
, AU av- a uza a; a era a. w a (AU) aa a aa aa, (er) qua aa.
f qua (8), a AU a er3 a :
(9)
and
ER = = (10)
t a a a a a ava a a, a aa, a a a u u aaz. tu roAa a:
ROA = AU ER = (11)
A a, v a a a :
3 Au a a u a, a l Ava.
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(12)
a
(13)
t eAr a a a a a a a v a a a av -a a. t a u v - -
(b) a a aa.Uua a av vau, a - (u , a u, a a, .) v - ( , aav , ,.). t a (nim) a a a aau a a a a a u a v
a av. s a au a u a a u, u aaz a, a :
(14)
reA ava u a a ( , u), v a ava a a v a, v u, a. col a a ava u, a a aa. t a a (leA) au av (.. -a a v a a).
fa, roA a roe a a:
ROA = (REA-COL*LEA) * EAR + B - (15)
ROE = [(REA-COL*LEA) * EAR + B - ] * EM (16)
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2.3 performAnce AnAlysis of theAlbAniAn bAnking system, Using the
modified dUpont model
ta 1 a u qu a a 2005-2008, Aaa a a a a u, a d a a.
Table 1. The ROE and ROA comparison for some countries of the region
ru qu, % (roe) ru a, % (roA)
cu 2005 2006 2007 2008 2005 2006 2007 2008
Aaa 22.4 20.2 20.3 11.4 1.4 1.4 1.6 0.9
ba ahzva
6.2 8.5 8.9 4.3 0.7 0.9 0.9 0.4
buaa 21.4 25 24.8 23.1 2 2.2 2.4 2.1
caa 15.1 12.7 10.9 10.1 1.6 1.5 1.6 1.6
cz ru 26.4 23.4 25.4 21.7 1.4 1.2 1.3 1.2
maa 7.5 12.3 15.0 12.5 1.2 1.8 1.8 1.4
m 4.2 6.8 6.2 -6.9 0.8 1.1 0.7 -0.6
raa 15.4 13.6 11.5 18.1 1.9 1.7 1.3 1.7
sa 6.7 10.0 10.2 10.7 1.1 1.7 1.7 2.1
g 15.9 12.7 14.8 3.0 0.9 0.8 1.0 0.2
ia 9.7 14.3 12.8 4.8 0.7 0.8 0.8 0.3
su: ga faa sa r (imf), o 2009; ba Aaa Aaa.
A a aa, Aaa a a u
u qu, a ua qu. A a , a a a a u a aa a aa u vu u v a Aaa a a avaa aa u a a, a a qu v av a. hv, 2008, a av aa. i u a aaz vua a, u a, a 2008, u a a av u a
a qu a u ( u a av a aa a 4 a 2007 8 a 2008)4.
4 s ga 7 a 8.
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s 2.2 a a aaa u aa a ,a k a mada (2002) a V a. (2004), a u qu a (roe). taa a v a, aua Aaa a , a a v aa . t a a u
Aaa a a ( vaza a, aqu a a, a, ua a a uv va ua qu,
a u a v, a v,.) av uu a a a aazuqu.
ta 2 u qu au a, a a dup a a u k a mada(2002) a V a. (2004). t aa aa
a Aaa a 5
. t aa (a a, a qu, a a, aa) a ava, a a a a uuav a a.
5 ta 5 a u a a Aaaa u a 2001-2008, aa aa a u au u aa u qu.
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Table 2. The ROE components through years 2001-2008
faa a 2001 2002 2003 2004 2005 2006 2007 2008
ru equ ( %),roe= eAt/bVe
23.45 19.20 19.53 21.10 22.43 20.17 20.32 11.35
ru A ( %),roA= eAt/tA
1.58 1.20 1.24 1.28 1.41 1.36 1.48 0.91
t roe, roe=pm*AU*em
p ma ( %),pm=eAt/toi
15.99 14.23 14.29 15.80 17.24 17.67 17.95 10.43
A Uza ( %),AU=toi/tA 9.90 8.46 8.66 8.08 8.15 7.70 8.24 8.76
equ mu ( ),em=tA/bVe
14.81 15.94 15.78 16.54 15.96 14.82 13.74 12.42
t roA, roA=AU-er
A Uza (%),AU=toi/tA
9.90 8.46 8.66 8.08 8.15 7.70 8.24 8.76
e ra (%),er=toe/tA
8.32 7.26 7.42 6.80 6.75 6.34 6.76 7.85
t roA, roA=nim*eAr+b-llp/tA-t/tA
n i ma(%), nim=nii/eA
3.35 2.91 3.23 3.08 3.75 4.22 4.35 4.13
ea A ra( %), eAr=eA/tA
91.00 94.21 95.85 94.80 93.33 93.19 93.34 92.95
ba bu (%), b=nnii/tA
-0.77 -0.85 -1.11 -0.93 -1.45 -1.69 -1.62 -1.68
la l pv taA a ( %), llp/tA 0.23 0.33 0.25 0.26 0.19 0.48 0.53 1.05
ta ta Aa ( %), t/tA
0.47 0.35 0.50 0.45 0.46 0.41 0.44 0.18
t nim, nim=reA-col*leA
ru ea A( %), reA=ir/eA
8.39 7.73 8.07 6.96 6.84 7.05 7.72 8.06
c la (%), col=ie/pl
5.33 5.17 5.23 4.14 3.28 3.05 3.70 4.30
la ea Aa ( %), leA=pl/eA
94.65 93.26 92.47 93.80 94.36 92.90 91.15 91.59
su: ba Aaa, au aua
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t a u qu (roe) uua v aaz , u a a a a 19-23% v ( 2001-2007). w a,v, v a a a 2008. t ( a qua (3)) a a a aaz a uu 2008, a vu a ( 2003-2007, a a ua a ava 21% a). t a aa a 2008 7.3 , a aua 26.5 . b a, ava a qu a a,u a a va u a, a ava 19 2002-2008. t aua a a
qu a 31.6% a 2008. Aa, aav a roe .
hv, u a a au roe (ga 1).
t a (a a a/a a )a uu 2003, u u a v 2008 a a a a av au roe a. cu a, ,a aua a a a a 26.5%, a,
, aua a a a (26.5%) a. A a a a a a a (a u ) a a
Graph 1. Graphical display of the components of return on equity
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
2001
2002
2003
2004
2005
2006
2007
2008
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.016.0
18.0
EM (right axis) ROE PM AU
Source: Bank of Albania, authors calculations
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a a ( u v) a a a ( -v).
ma, a a a uza 8.24% (2007) 8.76% ( 2008) v. s a a avaa u a ( uua 8 a 9% 2002 a 2007), a u qu a.
t qu u6 (em) a u a 2008, a a a 2005. t a
u a aua a aqu (ava 28% v 2005-2008, a avaaua a a 19% v a . t vau qu u a 2008 a a v a 12 v aa. t aua a a qu au 32% a 2008 a u au a a v aazaa aa u ua a a
a a. A 2.2, qu u (em) u aua a a , a a ( ta 3). t a a a a ( a a a a a ava a a v qu), u a a a a 2007-2008. ta a a a a aa v a a , a a a v a a aa ua.
Table 3. The debt ratio of the Albanian banking system
2001 2002 2003 2004 2005 2006 2007 2008
d a ( %),1-1/em = d / ta A
93.25 93.73 93.66 93.95 93.73 93.25 92.72 91.95
su: ba Aaa, au aua
U , a a u a a roe 2008a a au a a a a qu u.
6 i Aua r suv da ba Aaa, a faa lva.
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n, u a a a, a, 2008 (ga 2).
t a u a (roA) Aaa a
a aa a a. ga, a aa va 1.2-1.6% 2001-2007; v, 2008 a 0.9%. l a a vu au a a a a a, av v a u a . i 2008, a aa vu a u a ,u aa u a a a vu,u au a u a .
fu, a aa roA(ta 2), u ga 3 a a.
t a (nim) a a a u aa a. du u aa, a a a a a v, a Aaa a a a a a a a
a. bu 2008, Aaa a a a a. w a 2005-2007, auaa a a a a
Graph 2. Graphical display of the components of return on assets
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
2001
2002
2003
2004
2005
2006
2007
2008
ROA AU ER
Source: Bank of Albania, authors calculations
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a ( u a), vu 2008, a a 12%, a aua a a a a18%, u v nim a. t va a a aa , aau v, a a ( a a).
t Aaa a a v a. o ava, a a a90 a a a 2001-2008. t eAra a u 2008, v a a a a a u a, a, , u qu.
A , a u av. t aav a a u - vu v - . fu, -7, a av, a uu u a a a. f, ava uu, a vu a a a vu a
a a av. tu, a a7 caua a : n av + n aa oa . A a aua : n- n- ( a 5).
Graph 3. Graphical display of the components of return on assets
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
2001
2002
2003
2004
2005
2006
2007
2008
88.0%
89.0%
90.0%
91.0%
92.0%
93.0%
94.0%
95.0%
96.0%
97.0%
ROA NIM B LLP/TA T/TA EAR (right axis)
Source: Bank of Albania, authors calculations
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a a v a - . o , a a a a u a aa av - av. i u a a 2008 u a a a vu a( 23.5%) u uu a ava aa a a , au 40% a .
t a a v a a a (a 0.5%) 2001 a 2007, u 2008 a a
a a 1.05%, a qu a a a qua. t a v v 2008( a 1.4 a 2007), a a u a a a au a a u a v u ua a ua, a ava a a (19%), u av a u a.
ta a a ava 0.5% aa, a 2008 0.2%, v a u a. t au vau a au a a a.
Graph 4. Graphical display of the components of net interest margin
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
2001
2002
2003
2004
2005
2006
2007
2008
89.0%
90.0%
91.0%
92.0%
93.0%
94.0%
95.0%
LEA (right axis) NIM REA COL
Source: Bank of Albania, authors calculations
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i u, a a a a v v , a va 2008. t a , a aaz ( qua 14 a ga 4).
t u a a (reA) a a au ava a a a a .t a a a, a
Aaa a a v u (u a , .. ) av. d a, u v u a a a a a v a a
u a.
t u (col) a a a a a, u, a (2001), 1 a . t aj a a u ( ). t a v qu, a a qu au vau
a, u a au a a a a a ( au a aua a a 2005, a/ a a a aa ).
t a a a a a (leA) a va v . i 2008, a a a v a, u a, u aaz, a90 a a a a a aa .
fa, a a a a a 2008 u a a u aa (reA) aa v av a a (col) a a aa a a a (leA).
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3. mAtrix AnAlysis of bAnking systemperformAnce
A aav a aaz aa a u a aa V a. (2004). t auu a a aa a eaa , a a a aa a. i , uu aaa a a au , a a aa aa aa a
u a Aaa a .
3.1 methodology
V a. (2004) a a quaav ay
(=1,2,....), 2- quaav a
(aa a).
(i, j= 1,2,...n; i j) (17)
b a quaav a, a( ) a a a, a .
X =
= {xij} (18)
t a a (18) a aa a a a (
j
a a a j
a) a aua a: a v a v a v. t aa a aa a v ( aa), u aua a aa a.t a a a u a
aa a a aa a.
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A quaav a a a aaz a u aa a a v u ua:
1. iu a a av, a a aa . t a a a au a a a u a, a av aa u. t a u ua: a a (tA), vau qu (bVe), a a(eA), a a (pl), .
2. ouu a a av, a a a. t a a a auu a a u u ua. t au u a: a a a (eAt), a a (toi), (nii), vu (ir), - vu (nir), .
t a a u a
v a aa a a, aa a:
A aua a a uu a, uu a.
A aua a a u a, u a;
A a quaa a a uu-u a, a uu a a ua.
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mAtr
ixno1
eagaf
a
(eAt)
y1
n
c(nii)
y2
i
vu(ir)
y3
n-
vu(nir)
y4
ta
ag
c
(toi)
y
5
eag
a(eA)
y6
taa
(tA)
y7
n
c(nii)
y2
12=y1
/y
2
neag
ni
ic(nenii)
i
vu
(ir)
y3
13=y1
/y
3
neag
i
ra(neir)
23=y2
/y
3
n
i
i
ra(niir)
n-
vu(
nir)
y4
14=y1
/y
4
neag
n-i
ra(nenir)
24=y2
/y
4
n
i
n-i
ra(ninir)
34=y3
/y
4
i
n-i
ra(inir)
taag
c(t
oi)
y5
15=y1
/y
5
pfmag
(pm)
25=y2
/y
5
n
i
taic
ra(nitir)
35=y3
/y
5
i
taic
ra(itir)
45=y4
/y
5
n-
i
rvuta
icra(nirtir)
eag
a(e
A)
y6
x16
=y1
/y
6
nruo
eagAsss
(nreA)
x26
=y2
/y
6
n
is
mag
**(nim
1)
x36
=y3
/y
6
ruo
eagAsss
(reA)
x46
=y4
/y
6
no-
iso
eagAsss(nieA)
x56
=y
5
/y
6
toalico
oea
g
Asss
(tieA)
taa(tA)
y7
17=y1
/y
7
ru
A(roA)
27=y2
/y
7
n
i
m
ag**
(nim
2)
37=y3
/y
7
i
A(ioA)
47=y4
/y
7
n-
i
A(nioA)
57=y
5
/y
7
AUza
(AU)
67=y6
/y
7
eagA
ra(eAr)
bvau
f
qu(bVe)
y8
18=y1
/y
8
ru
equ(roe)
28=y2
/y
8
n
i
ic
equ(niioe)
38=y3
/y
8
i
equ(ioe)
48=y4
/y
8
n-
i
equ(nioe)
58=y
5
/y
8
taic
equ(tioe)
68=y6
/y
8
eagA
equ
ra
(eAer)
78=
y7
/y
8
equ
mu(em)
**th
agaaud
wwa:nceaga(
26
)nctaa(
27
),(kauc,
2010).
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3.2 some explAnAtions of the meAningof finAnciAl rAtios in mAtrix no.1
A u av, aa uu a a a. A vau nenii a a a a a a a , a ua ua a a a a v u a a a. A niir a a a vu a a a a, a
a u. t inir, itir a nirtir uau a a a aa a - vu. ga, a vau a (pm) a, a a a u a , u (a a a) aa a a .
i aa u a, a eAr a , a a a a a a v a
av. A qu u (em), a, a a av.
t aa uu-u a a a a aa , a, a, vau quaav a a .i a a a a uza u a a
v a a a u.
3.3 mAtrix AnAlysis of the AlbAniAnbAnking system performAnce
o a a a a a aa a aua, a ju a a .
U dup , u a, aa aa a a a uaa a a . i a .2, a
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28 aa a (a) a 2001, 2005 a2008. tu, a a a a , a a a a a a .
i uu a, 15
pm ( a) a a a a a a:
x15
= x12
* x23
* x34
* x45
(19)
or,
PM = NENII*NIIR*INIR*NIRTIR =
(20)
ba av a, a a va a a u a a a aa a ( a a a aa a ).
f a, pm08 / pm01 = 0.652, a aa a a a pm u 2001-2008 ( qua 19 a a .2),v:
= 0.459*1.281*1.757*0.631= 0.652 (21)
h a au pm v 2001-2008 nenii a.suqu, a a , a a aa ua a v a a av au .
i u a, 68
eAer (a a qu a) a a a a a u a:
x68 = x67 * x78 (22)
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or,
EAER = EAR*EM = (23)
sa, a aaz a a a a eAer (v 2001-2008) v a a au a qu u (em).
fa, uu-u a, 18
roe (u qu) a a a a a :
x18 = x12 * x23 * x34 * x45 * x56 * x67 * x78 (24)
or,
ROE = NENII*NIIR*INIR*NIRTIR*TIEA*EAR*EM=
(25)
Aa, a av u roe a a a :
=0.459*1.281*1.757*0.631*0.866*1.021*0.839= 0.484 (26)
A av, a nenii a a a au roe a 2008, a 2001. o a a av a a av roea nirtir, tieA a em .
i a a a u aaz a a a v a.
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mAtr
ixno.2
eagaf
a(eAt)
y1
n
c(nii)
y2
i
vu(ir)
y3
n-i
vu(nir)
y4
taag
c(to
i)
y5
eaga(eA)
y6
taa
(tA)
y7
n
c(n
ii)y
2
nenii
51.9
%
(2001)
40.2
%
(2005)
23.8
%
(2008)
ivu
(ir)y
3
neir
20.7
%
(2001)
22.0
%
(2005)
12.2
%
(2008)
niir
39.
9%
(2001)
54.
8%
(2005)
51.
2%
(2008)
n-i
vu(n
ir)y
4
nenir
69.9
%
(2001)
79.4
%
(2005)
72.2
%
(2008)
ninir
134
.5%
(2001)
197
.5%
(2005)
302
.8%
(2008)
inir
336.9
%
(2001)
360.5
%
(2005)
591.9
%
(2008)
taag
c(to
i)y
5
pm
16%
(2001)
17.2
%
(2005)
10.4
%
(2008)
nitir
30.
8%
(2001)
42.
9%
(2005)
43.
8%
(2008)
itir
77.1
%
(2001)
78.3
%
(2005)
85.5
%
(2008)
nirtir
22.9
%
(2001)
21.7
%
(2005)
14.5
%
(2008)
eaga
(eA)y
6
nreA
1.7
%
(2001)
1.5
%
(2005)
1.0
%
(2008)
nim
1
3.4
%
(2001)
3.7
%
(2005)
4.1
%
(2008)
reA
8.4
%
(2001)
6.8
%
(2005)
8.1
%
(2008)
nieA
2.5
%
(2001)
1.9
%
(2005)
1.4
%
(2008)
tieA
10.9
%
(2001)
8.7
%
(200
5)
9.4
%
(200
8)
taa
(tA)y
7
roA
1.6
%
(2001)
1.4
%
(2005)
0.9
%
(2008)
nim
2
3.0
%
(2001)
3.5
%
(2005)
3.8
%
(2008)
ioA
7.6
%
(2001)
6.4
%
(2005)
7.5
%
(2008)
nioA
2.3
%(2001)
1.8
%
(2005)
1.3
%
(2008)
AU
9.9
%
(200
1)
8.2
%
(200
5)
8.8
%
(200
8)
eAr
91.0
%
(2001)
93.3
%
(2005)
93.0
%
(2008)
bvau
f
qu(bVe)y
8
roe
23.4
%
(2001)
22.4
%
(2005)
11.4
%
(2008)
niioe
45.
1%
(2001)
55.
8%
(2005)
47.
6%
(2008)
ioe
113.1
%
(2001)
101.9
%
(2005)
93.1
%
(2008)
nioe
33.6
%
(2001)
28.3
%
(2005)
15.7
%
(2008)
tioe
146.6
%
(20
01)
130.1
%
(20
05)
108.8
%
(20
08)
eAer
13.4
7
(2001)
14.8
9
(2005)
11.5
5
(2008)
em
14.81
(2001)
15.9%
(2005)
12.42
(2008)
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4. the risk index
ga, aa v u a a ,a a u ua -av a. i vu aaz a Aaa a ; v u v a u a av. ba a a aaa a av, u a , a, qu , a a , aa , . A v a au a av, a r i a a a a u a a .
4.1 methodology
t r i (a au a Z-a, Z- Z-) a a va v a aa. r , u a a au ua a aa u, a a.t v a a vauv u. d v aua au au, vua a u a (u av, a a u). t aua a haa a ha (1988)8, v a
vau v9 ( a a a aa vau a qu, a a a vau a a vau a) a.
t r i v a a u a (roA), qu u (em) a aa va roA. i a :
8 la a a la a sava (1990), e a ka (1991),s a na (1993), na a s (1997), na (2005), a .9 i vau a a vau.
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RI= (27)
:
ri r i (a a Z-a, Z- Z-);e(roA) ava () u a;cAp = em-1 qu a a;
roA roA aa va.
w a vau v ( ) au a:
= (28)
t (Z-) u aa va a a ( a ) u av a qu (e aka, 1991); a a a.
i u a a vau va a v aa (.. ua a a (a) a a ua) .ga, v ; a a a a v v a a a aav v. Ja (1998) u Z- uvv a a a v 1989-1992 nea, a a u a
u . h a u a u a uvv a a ava vau Z- (13.33) a qu a a vau v, a a a a (Z=8.71). ba lav (2006) au Z- 57 u au a . t aua 1997-2003 aava Z- ( a u u) a 50 U sa, u 2 ka a 11.6 Aaa, ava Z- a 57 u a 24. h a
ihk (2007)calculate the risk indexfor individualbanksof29ava a oecd u 1994-2004 a u a av a av vau (
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u ava a 59.6) a av a(55.4) a a (46.5), a a typeismorestable.ihk(2007),usingagroupof29countries,12 av a , u aa a aaz a Z-(Z=32) a a (Z=89).
t aa v a vau va u a/ a . tu, aua Aaa a , ju a a au vau.A vau a
a, a a vau, a a a. s vau v a a vau v, a vau a a a a a a a vu.
i a a (a ) aaz a u a, a v aaza a a va roA, a (a ) a ( a a
). n u u u a , au a a a a a; roA a a a au a a a(a u vu ), va a aaau a, a aaza v aaa a a a a.
4.2 compUtAtion of the risk index forthe AlbAniAn bAnking system
f Aaa a, aua v a au10, u a u a-u a. i u az a a u aa a au u, u u v.
mv, u, aa u a a a Aaa a ( aa a
10 b a lav (2006); A (2009); Aa a. (2009).
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a ba). f , a aua a Aaa a a a vau a d 2001-Ju 2009 .t aa a qua a a. t a a aa a a. t, aua qu a a , aa aa a ava vua aa (a a a a a a u a a).
t a aua ava roA a aa
va a u au a u au. t aua (ava) vau, a ava vau roA u a v , aa va vau u a a v. t aa a aua v a a aaua a a .
t aua ava vau roA aa u ava vuaa roA; aa va aa vaa a. t aa a a a v a a a , a u vua a, a aa a u ava roA a aa va a a a .
s aua Aaa a a a a a a a , u a. hv,uu u au a aua vau a , av aa . t vau roA a qua aua a a ava a a roA11 a qua, a a a a
11 Uua, aua vau, a a uau a u a a. s a u uu() vau , u a vau roAa aa ava a u roA a a.
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a, a v (29).
e(roA) = (roA * ) (29)
e(roA) a ava () u
a a qua ;
roA
u a a a - qua, aua a;
a a a a aa, a qua ;
a - a a - qua.
t aa va aua a qua (30):
(roA) = (30)
ta 4 a a a a vau v Aaa a u 2001-2008 .
Table 4.The Albanian banking systems Risk Index and Probability of bookvalue insolvency
d2001
d2002
d2003
d2004
d2005
d2006
d2007
d2008
r i (ri) 9.0 10.9 7.8 9.2 7.3 5.8 9.4 7.2
Ava ri a dvau v 01-08
8.3 8.3 8.3 8.3 8.3 8.3 8.3 8.3
pa
Vau v ( )0.61% 0.42% 0.83% 0.59% 0.95% 1.48% 0.56% 0.96%
su: ba Aaa, au aua
t Aaa a a uua v, u ava v u 2001-2008 ( vau ad v a a a) a
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8.3. A 2008, vau a a ava a a. i qua 2009, vau 5.1 aaa a u. tu
Aaa a a. hv, qua 2009, a v , a a ua. t a a a a uu av a a v u a .
ga, qu/a a a a v
(.. a v a vau ). t a au a a ava roA , a, a qua qua 2009. i qua, av ava roA au a. i a, va roA u a a 2008 a qua 2009. A qua, aa va
a, v (ga 5).
l a u , a a a qu u u ava , uua 1 a 2 v .
Graph 5. The components of Risk Index for the Albanian bankingsystem
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Dec2001
Jun2002
Dec2002
Jun2003
Dec2003
Jun2004
Dec2004
Jun2005
Dec2005
Jun2006
Dec2006
Jun2007
Dec2007
Jun2008
Dec2008
Jun2009
0.0%
1.0%
2.0%3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
Standard deviation E(ROA) CAP (right axis)
Source: Bank of Albania, authors calculations
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d a a vau vu a aa (a a qu ), vau a u Aaa a ( ga 6).
Graph 6. The Albanian banking systems Risk Index and Probability ofbook value insolvency
0.00
2.00
4.00
6.00
8.00
10.00
12.00
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Risk index Average RI (Dec 200-Jun 2009)Probability of insolvency (right axis)
Source: Bank of Albania, authors calculations
Dec2001
Jun
2002
Dec2002
Jun2003
Dec2003
Jun
2004
Dec2004
Jun
2005
Dec2005
Jun
2006
Dec2006
Jun
2007
Dec2007
Jun
2008
Dec2008
Jun
2009
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5. conclUsions
du a, Aaa a aaaz a a a av, v a a a, a a , ,a u a v a a, a a a a quaav a quaava. i 2001-2007, Aaa a a a u qu a a, aa u . t a a Aaa a a av, u a aa u. hv, 2008 a a v aa , Aaa a a a av a a aaa. t u qu a a a , qu u a u a. t a a a qu a a a a a a, a a a qu a ua v - -
a a v a a a.t a u 2008 a a u a u a v a a a a a.
t a a , , a qua vau aua Aaa a v d 2001 Ju 2009. t
vau v aaz, u u a a a aaz a , a a roA va. nv, a a aa ua, Aaa a aa, a a qu aa a.
t u, a ju a aa aa a Aaa a , a a au a a, a aaz av a, aa aa a a uv.
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fuu a a u a , a a a a a roe a roA u . i a, a , a qua a a a aua va a a a a qua.
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references
1. Agoraki, Maria-Eleni, Delis, Manthos D. and Pasiouras, Fotios (2009),Regulations, competition and bank risk-taking in transition countries. MPRAPaper, Unpublished.
2. Ariss Rima T. (2009), On the implications of market power in banking:Evidence from developing countries, Journal of Banking and Finance.
3. Bank of Albania, Annual Reports of Banking Supervison, 2001-2007.
4. Beck, T. and L. Laeven (2006), Resolution of Failed Banks by Deposit
Insurers: cross-country Evidence, World Bank Policy Research WorkingPaper, no. 3920.
5. Blumenthal Robin G. (1998), Tis the Gift to Be Simple - Why the 80-year-old DuPont model still has fans., CFO Magazine, January 1998.
6. ihk, M. (2007) Systemic Loss: A measure of financial stability. CzechJournal of Economics and Finance, Vol. 57.
7. Cole, David W. (1972), Return on Equity Model for Banks, The Bankers
Magazine, Vol. 155.
8. Eisenbeis, R.A. and Kwast, M.L. (1991). Are Real Estate DepositoriesViable? Evidence from Commercial Banks, Journal of Financial ServicesResearch, March.
9. Hannan, T.H. and Hanweck, G.A. (1988). Bank Insolvency Risk andthe Market for Large Certificates of Deposit, Journal of Money Credit andBanking, Vol. 20, No. 2, May.
10. Hesse, H. and ihk , M. (2007): Cooperative Banks and FinancialStability, IMF Working Paper, WP/07/2.
11. Jordan John S., (1998). Problem loans at New England banks, 1989to 1992: evidence of aggressive loan policies, New England EconomicReview, January/February.
12. Kalluci, I. (2010), Determinants of net interest margin in the Albanianbanking system, Working Paper Series 2010, Bank of Albania.
13. Kimball, Ralph. (1997). Specialization, Risk, and Capital in Banking.New England Economic Review, November/December.
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14. Koch, Timothy W. and MacDonald, Scott S., (2002). Bank Management5-th edition.
15. Liang, J.N. and Savage, D.T., (1990). The Nonbank Activities of BankHolding Companies, Federal Reserve Bulletin, May.
16. Namy, V. (2005). Overall Lebanese Banks Performance: A Risk Return Framework, International Business & Economics Research Journal,January.
17. Sinha, Pankaj, Taneja Varundeep Singh and Gothi, Vineet. (2009).Evaluation of riskiness of Indian Banks and probability of book valueinsolvency, MPRA Paper No.15251, University Library of Munich,
Germany.
18. Sinkey J. Jr. (2002). Commercial Bank Financial Management in theFinancial-Services Industry, Sixth Edition, Prentice Hall.
19. Sinkey, J.F. Jr., Nash, R.C. (1993). Assessing the Riskiness and Profitabilityof Credit-Card Banks, Journal of Financial Services Research, June, Volume7, Number 2.
20. Vensel V., Aarma, A., Vainu J., (2004). Bank Performance Analysis:Methodology and Empirical Evidence (Estonian Banking System, 1994-2002), Working Paper Series.
21. Walker John S., (2007), Using the Du Pont Equation to Improve YourBanks Performance, Ambassador Financial Group Inc. Research, October2007.
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Annex
Graph 7. The distribution of ROE by the number of banks, for theAlbanian banking system
2
4
6
8
10
12
14
16
18
Dec2001
Dec2002
Dec2003
Dec2004
Dec2005
Dec2006
Dec2007
Dec2008
Numberofbanks
ROE
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Table5.In
comestatementofAlbania
nbankingsystem(
inmillionleks)
2001
2002
2003
2004
2005
2006
2007
2008
iv
u(1)
22,4
46
23,5
38
27,8
38
26,3
94
29
,961
35,9
89
48,6
36
60,1
59
ie(2)
13,4
84
14,6
91
16,6
88
14,7
31
13
,549
14,4
52
21,2
22
29,3
81
n
c(3)=(1)-(2)
8,9
62
8,8
47
11,1
50
11,6
63
16
,412
21,5
37
27,4
13
30,7
78
n-
vu(oagcf
hacv+e
adac)(4)
6,6
62
3,8
20
3,3
41
5,9
15
8,3
10
6,1
87
6,9
62
10,1
64
n-
(efhac
v+
oag
+e
ada)(5)
8,9
30
6,5
68
7,3
26
9,6
22
15
,092
15,4
28
17,8
92
23,6
84
n-c(6)=(4)-(5)
(2,2
68)
(2,7
48
)
(3,9
85)
(3,7
06)
(6,7
82)
(9,2
41)
(10,9
30)
(13,5
20)
lav(7)
668
1,0
63
908
1,0
39
8
69
2,6
15
3,5
44
8,4
54
ta(a
udgc
a+
ca)(8)
1,3
72
1,1
42
1,8
02
1,8
11
2,1
63
2,2
30
2,9
62
1,4
68
eagaf
a(9)=(3)+(6)-(7)-(8)
4,6
54
3,8
94
4,4
55
5,1
06
6,5
98
7,4
51
9,9
78
7,3
36
suc:ba
fAaa,auhcacua
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cip kaa bk ta
i kauAa Aaa a a-a a- // kau i - ta:ba Aaa, 2011
-44 ; 15.3 23 . (aa u ..)
b.isbn: 978-99956-42-36-5.
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