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Commercial bank valuation using the multiplier method

Salmanov O.N. University of Technology (UNITECH), Korolev, Moscow Oblast, Russian Federation ( olegsalmanov@yandex.ru )

Journal: Financial Analytics: Science and Experience, #1, 2019

Subject The article addresses valuation of commercial banks other than listed companies, using a comparative approach.
Objectives The study aims to find a solution to the problem of rapid and reliable valuation of commercial bank equity capital, using the multiplier method.
Methods I employ the CAPM model and the two-stage dividend discount model, and interpretation of the latter to express the price-earnings and the price-book value multiple to value assets that are not traded publicly. The study draws on regression analysis to establish a connection between multipliers and fundamental indicators for a sample of 50 banks based on the bank's equity rating.
Results The paper offers analytical tools for evaluation of banks as non-tradable assets, presents an approach to estimate the beta coefficient as a regression coefficient of the banking sector index and its adjustment for financial leverage. Furthermore, it states regression dependence of the price-earnings multiplier on the most significant factors of value creation and regression dependence of the price-book value multiplier on profit growth rate and ROE, and establishes statistical confidence of the regressions.
Conclusions The established regression dependence of PE and PBV multipliers enables a comparative analysis of value of banks. Regressions help mitigate differences, in this case through such fundamental indicators as growth rate, beta coefficient and profitability.


Specifics of monetary transmission channels' operation before and after the financial crisis

Salmanov O.N. University of Technology, Korolev, Moscow Oblast, Russian Federation ( olegsalmanov@yandex.ru )

Zaernyuk V.M. Russian State Geological Prospecting University n.a. Sergo Ordzhonikidzе (MGRI-RSGPU), Moscow, Russian Federation ( zvm4651@mail.ru )

Lopatina O.A. University of Technology, Korolev, Moscow Oblast, Russian Federation ( ogunba@mail.ru )

Journal: Economic Analysis: Theory and Practice, #7, 2017

Subject The article addresses the monetary policy in the Russian economy and the operation of monetary transmission channels.
Objectives The aim of this work is to identify differences in the transmission of the regulator's policy before and after the 2008 financial crisis.
Methods The study rests on identification of the monetary transmission mechanism using the VAR model. We analyzed the channel of interest rate, corporate lending, money supply, and price level growth, and interpreted the differences in monetary policy of the regulator before and after the 2008 financial crisis.
Results We considered and statistically confirmed the changes in the transmission of the regulator's monetary policy through the channels of monetary transmission, i.e. level of prices, interest rate, exchange rate, bank lending and cash flows.
Conclusions Based on the study of the monetary policy tools, we found that the said channels have a relative importance in the transmission of the policy and operate with relatively different degree of efficiency during the pre-crisis and post-crisis period. We revealed an increase in the efficiency of the channel of unexpected price level growth, bank lending, and cash flows in the post-crisis period. The findings may be applied in further theoretical and empirical analysis of the transmission mechanism. The research data may be useful for the regulator to pursue an efficient monetary policy, for commercial banks to work out their development strategy, in which the financial stability management system is an important component.


Determining the effect of monetary policy under the vector autoregression method

Salmanov O.N. Moscow Region University of Technology (UNITECH), Korolev, Moscow Oblast, Russian Federation ( olegsalmanov@yandex.ru )

Zaernyuk V.M. Russian State Geological Prospecting University n.a. Sergo Ordzhonikidzе, Moscow, Russian Federation ( zvm465@mail.ru )

Lopatina O.A. Moscow Region University of Technology (UNITECH), Korolev, Moscow Oblast, Russian Federation ( ogunba@mail.ru )

Journal: Finance and Credit, #28, 2016

Subject The article addresses monetary transmission channels functioning.
Objectives The research aims to analyze mechanisms of monetary policy in the Russian economy, estimate the dynamic response of main macroeconomic variables of the monetary policy by estimates of pulse functions of the response.
Methods The study employs the vector autoregression method (VAR). We analyze impulse functions from the shocks of interest rates, corporate lending, volumes of money supply, price and exchange rate increase, and provide an interpretation of transmission channels of the Russian economy.
Results We considered and statistically confirmed the channels of monetary transmission, namely interest rate, bank lending, cash flow, unpredictable price hikes, and exchange rate. In general, the results show that the application of standard methods of VAR to the data of the Russian economy, as a developing one, can be used as a guideline for further theoretical and empirical analysis of the mechanism of transmission.
Conclusions The efficiency of various channels of monetary transmission differs. The study revealed high efficiency of exchange rate channel, bank lending channel and channel of unpredictable price hikes, and low efficiency of the interest rate channel and cash flow channel. Thorough identification of monetary policy transmission channels is an important step towards global assessment of huge institutional changes. Researches in this area shall be constantly updated because of structural changes.


Risks of the banking sector: diagnostics and prevention

Aliev B.Kh. Dagestan State University, Makhachkala, Republic of Dagestan, Russian Federation ( fef2004@yandex.ru )

Kazimagomedova Z.A. Dagestan State University, Makhachkala, Republic of Dagestan, Russian Federation ( zarem2010@mail.ru )

Salmanov S.I. Dagestan State University, Makhachkala, Republic of Dagestan, Russian Federation ( salmanov1964@mail.ru )

Journal: Financial Analytics: Science and Experience, #40, 2015

Importance The article discusses activities of commercial banks, which are currently exposed to a lot of risks. Notwithstanding that many organizations monitor banking risks in the Russian Federation, the existing monitoring system demonstrates low efficiency. Thus it is necessary to set up a comprehensive system for monitoring banking risks.
     Objectives The research pursues a qualitative evaluation of the Russian banking system by analyzing trends in activities of commercial banks as compared with indicators of the 1998 and 2008 crises. The research is also aimed at outlining proposals on forming a comprehensive system for banking risks monitoring.
     Methods We applied a comparative analysis on the basis of official statistics, data of the Russian Central Bank and our judgments, thus giving a qualitative evaluation of the banking system.
     Results Under current circumstances, it gets even more important to promptly identify, interpret and monitor risks of the national banking. We suggest the Russian banking sector should run a comprehensive banking risk monitoring system based on cooperation and balanced activities of centralized and decentralized banking risk monitoring sub-systems, which ensure ongoing and prompt identification, evaluation and forecasting of risks in banking.
     Conclusions and Relevance To survive in the current circumstances, it is extremely important for commercial banks to quickly and effectively analyze the results of financial risks monitoring and respond to negative changes, project possible scenarios and undertake relevant measures to ensure sustainability, reliability and stability of the banks or the banking system.


Monitoring the development of the Russian banking sector in comparison with the crises of 1998 and 2008

Aliev B.K. Dagestan State University, Makhachkala, Republic of Dagestan, Russian Federation ( fef2004@yandex.ru )

Salmanov S.I. Dagestan State University, Makhachkala, Republic of Dagestan, Russian Federation ( salmanov1964@mail.ru )

Journal: Financial Analytics: Science and Experience, #19, 2015

Importance We analyzed the monitoring system used in the banking sector. Whereas information flows of the contemporary society and globalization of the world economy grow annually, information security of banks is relevant.
     Objectives The research aims at identifying trends in development of commercial banks that resulted in risk exposure of the Russian banking sector. The research focuses on a qualitative evaluation of the banking sector in the Russian Federation by analyzing trends in commercial banks' performance indicators as compared with the crises of 1998 and 2008.
     Results
We performed monitoring of the banking sector of the Russian Federation throughout the period of 2001 to 2014, relying upon certain indicative parameters. The monitoring allowed us to determine the most crucial trends. The positive ones include a decline in doubtful and bad loans, major credit risks associated with assets in the banking sector. The negative ones represent a growth in interest and currency risks, banks' capital deficit. We suggest the Russian banking sector should apply a comprehensive risk monitoring system, which is based on interaction and balanced activities of centralized and decentralized subsystems for monitoring banking risks, thus ensuring ongoing and timely identification, assessment and forecast of risks.
     Conclusions and Relevance Financial and economic crises in 1998 and 2008 mainly stemmed from a number of negative trends and factors that intensified banking risks. Furthermore, analysis reveals that the current circumstances require rapid identification, diagnostics and monitoring of risks in the national banking sector. To survive the current circumstances, commercial banks should analyze results of financial risk monitoring as quickly and effectively as possible. They should respond to negative changes, project possible scenarios and undertake appropriate measures to ensure sustainability, reliability and stability.


The role of the banking channel in monetary policy transmission in Russia

Salmanov O.N. Finance and Technology Academy, Korolev, Moscow Region, Russian Federation ( olegsalmanov@yandex.ru )

Zaernyuk V.M. Russian State University of Tourism and Services, Moscow, Russian Federation ( zvm4651@mail.ru )

Journal: Finance and Credit, #11, 2015

Subject This article deals with the role of the bank channel in communicating the monetary policy transfer in Russia. One of the main tools of the State in economy regulation is the monetary policy pursued by the Bank of Russia. Therefore, the knowledge of regularities in this area is a relevant problem of economic studies. At the same time, the empirical results of studies are often inconsistent. In the process of building the financial market, understanding the problems, extending data series, and applying improved methods of research, new conditions appear for deeper study of various aspects of the monetary policy pursued by the Bank of Russia.
     Objectives The article addresses the dependence of offered bank credits on the monetary policy. We estimated, whether there are causal statistically significant tools of the monetary policy influencing the volumes of corporate lending. We investigated the influence of the money base, the money supply, the refinancing rate, and the interbank lending rate as independent variables.
     Methods We made the assessment under the generalized method of moments. In addition to taking the logarithm of variables, we applied seasonal smoothing. We assessed the heteroscedasticity and serial correlation of errors using the method of estimation with errors under the Newey-West estimator.
     Results On the basis of a quarter data set from 2002 to 2013, we found evidence suggesting the existence of the bank credit channel in Russia. The increase in the money base, as well as an increase in the money supply is reflected in the increase in bank lending. Changes in the interbank lending rate and refinancing rate have rather modest influence on the bank lending.
     Conclusions and Relevance The obtained empirical results validate the hypothesis of the credit bank channel existence in Russia. We established that statistically significant tools of the bank channel are the money supply, the money base, the refinancing rate, and the interbank lending rate. Banks will reduce lending, if the money supply decreases. Banks will increase lending, if there is a reduction in the interbank lending rate.


A system approach to comprehensive monitoring of banking risks

Aliev B.Kh. Dagestan State University, Makhachkala, Republic of Dagestan, Russian Federation ( fef2004@yandex.ru )

Salmanov S.I. Dagestan State University, Makhachkala, Republic of Dagestan, Russian Federation ( salmanov1964@mail.ru )

Journal: Financial Analytics: Science and Experience, #17, 2015

Importance When monitoring is regarded as a functional system used to counter threats of originating and developing banking risks, it pursues maintaining the stability of the banking sector and mitigating risks and their consequences. Studying the process of monitoring the banking risks as a separate type of activities at all levels of the banking system management, we can define it as systematized work of specialists and units within commercial banks and the Central Bank of Russia using specific tools and methods.
     Objectives Banking system monitoring relies upon a system approach that provides for an analysis of commercial banks' operations as a single ramified system that consists of mutually related and dependent components. Analyzing the literature on probable models for monitoring banking risks, we may conclude that such monitoring should be present at two levels. First, it refers to monitoring of banking risks at the macrolevel, i.e. the level of the Central Bank of Russia. Second, it implies a research at the microlevel, i.e. the level of a commercial bank.
     Methods Based on an indicative and integrative approach to monitoring, we suggest that the banking sector of Russia should apply a comprehensive system of monitoring banking risks. The system is driven by interaction and balanced activities of the centralized and decentralized subsystems, which will identify, evaluate and forecast trends in risky situations the banking sector may be exposed to, on a timely and ongoing basis. The Central Bank of Russia and commercial banks are regarded as entities monitoring banking risks, while banking risks are a focal point of such monitoring, which should be identified in line with definite indicative parameters.
     Conclusions and Relevance The development and implementation of the banking risks monitoring model in the banking sector explicitly demonstrates that, as its most important objective, the monitoring process pursues setting up a multilevel system that would prevent monitoring procedures from being disassociated at the macro-and microlevels (centralized and decentralized subsystems of marketing).


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