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THE USE OF A VALUE AT RISK MEASURE FOR THE ANALYSIS OF BANK INTEREST MARGINS

100%
Gemzik-Salwach, A.
Finansowy Kwartalnik Internetowy e-Finanse
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2012
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vol. 8
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issue 4
15-29
EN
The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing possibilities of using this measure, the use of a new method has been proposed, namely, correcting various indicators of bank interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests, whose main objective was to test the capacity of the information resulting from the recourse to the proposed indicators. Using the data from financial statements of banks listed on the Stock Exchange in Warsaw in the years 1998-2012, two types of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be expected with the probability assumed in the calculation. The way in which these values are formed over time was then analyzed and they were finally compared with the typical values.
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ANALYSIS OF BANKING PERFORMANCE IN POLISH COMMERCIAL BANKS. SYMPTOMS OF THREATS

100%
Luciński W.
Metody Ilościowe w Badaniach Ekonomicznych
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2009
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vol. 10
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issue 1
142-152
EN
Worldwide tendency to decrease interest rates is a major threat to the Polish banks in the long term. In the future, the traditional way of conducting banking activities will have to be modified. The starting point for creating new strategies for Polish banks should be to depart from net interest income as the core model of generating banking income and embrace the prompt development of broadly understood non-interest activities such as private equity. Shift from typical of commercial banking sector loan-deposit to capital market activity may create many benefits for the Polish banking system.
3

The Interaction of Profitability with Solvency: A Simple Model of a Bank

100%
Marinković S.
South East European Journal of Economics and Business
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2009
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vol. 4
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issue 2
81-88
EN
This paper develops a simple deterministic model to analyze how the profitability of bank operations infuences the solvency of a banking firm. The results imply that the solvency ratio is directly related to the net interest margin (the "bread and butter" of bank profitability) and inversely related to the liquidity ratio. This model has several implications on the design of banking regulations: i) profitability has to be treated as "marginal" solvency, ii) a profitable bank can operate sustainably even with a low level of equity capital; iii) the supervisory framework has to be able to recognize any measure of earnings level, its trends, stability and quality; and finally iv) the frequency of audit trials has to be as high as possible.
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