santrauka - Cvilikas.pdf

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KAUNAS UNIVERSITY OF TECHNOLOGY

LITHUANIAN ENERGY INSTITUTE

AURELIJUS CVILIKAS

THE ASSESSMENT OF BANKING RISKMANAGEMENTS ECONOMIC EFFICIENCY IN

RETAIL BANKING

Summary of Doctoral Dissertation

Social Sciences, Economics (04S)

2012, Kaunas


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Doctoral dissertation was prepared at Kaunas University of Technology, Facultyof Economics and Management, Department of Finance, in 2006 2011.

Scientific supervisor:

Prof. Dr. Asta VASILIAUSKAIT (Kaunas University of Technology, SocialSciences, Economics, 04S)

The Council of Economics Science Trend:

Prof. Dr. Vytautas SNIEKA (Kaunas University of Technology, SocialSciences, Economics, 04S) Chairperson,Prof. Dr. Vilija ALEKNEVIIEN (Aleksandras Stulginskis University, Social

Sciences, Economics, 04S),Prof. Dr. Habil. Valentinas KLEVAS (Lithuanian Energy Institute, SocialSciences, Economics, 04S),Prof. Dr. Rytis KRUINSKAS (Kaunas University of Technology, SocialSciences, Economics, 04S),Prof. Dr. Violeta PUKELIEN (Vytautas Magnus University, Social Sciences,Economics, 04S).

Official Opponents:

Prof. Dr. Kristina LEVIAUSKAIT (Vytautas Magnus University, SocialSciences, Economics, 04S),Prof. Dr. Graina STARTIEN (Kaunas University of Technology, SocialSciences, Economics, 04S).

The official defence of the dissertation will be held at 10 a.m. on November 30 th,2012 the public session of the Council of Economics Science trend at theDissertation Defence Hall of Kaunas University of Technology.

Adress: K.Donelaiio str. 73-403, LT-44029 Kaunas, Lithuania.Tel. (370 37) 300042, Fax (370 37) 324144, e-mail: [email protected]

The summary of the Dissertation is sent out on 30th October, 2012.

The dissertation is available at the Library of Kaunas University of Technology(K. Donelaiio str. 20, Kaunas, Lithuania) and the Library of Lithuanian EnergyInstitute (Breslaujos str. 3, Kaunas).


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KAUNO TECHNOLOGIJOS UNIVERSITETAS

LIETUVOS ENERGETIKOS INSTITUTAS

AURELIJUS CVILIKAS

BANKINS RIZIKOS VALDYMO EKONOMINIOEFEKTYVUMO VERTINIMAS MAMENINJE

BANKININKYSTJE

Daktaro disertacijos santrauka

Socialiniai mokslai, ekonomika (04S)

2012, Kaunas


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Disertacija rengta 2006 2011 metais Kauno technologijos universitetoEkonomikos ir vadybos fakultete, Finans katedroje.

Mokslinis vadovas:

Prof. dr. Asta VASILIAUSKAIT (Kauno technologijos universitetas,socialiniai mokslai, ekonomika, 04S)

Ekonomikosmokslo krypties taryba:

Prof. dr. Vytautas SNIEKA (Kauno technologijos universitetas, socialiniaimokslai, ekonomika, 04S) pirmininkas,Prof. dr. Vilija ALEKNEVIIEN (Aleksandro Stulginskio universitetas,

socialiniai mokslai, ekonomika, 04S),Prof. habil. dr. Valentinas KLEVAS (Lietuvos energetikos institutas, socialiniaimokslai, ekonomika, 04S),Prof. dr. Rytis KRUINSKAS (Kauno technologijos universitetas, socialiniaimokslai, ekonomika, 04S),Prof. dr. Violeta PUKELIEN (Vytauto Didiojo universitetas, socialiniaimokslai, ekonomika, 04S).

Oficialieji oponentai:

Prof. dr. Kristina LEVIAUSKAIT (Vytauto Didiojo universitetas, socialiniaimokslai, ekonomika, 04S),Prof. dr. Graina STARTIEN (Kauno technologijos universitetas, socialiniaimokslai, ekonomika, 04S).

Disertacija bus ginama vieame Ekonomikos mokslo krypties tarybos posdyje2012 m. lapkriio 30 d. 10 val. Kauno technologijos universiteto Disertacijgynimo salje.

Adresas: K.Donelaiio g. 73-403, LT-44029 Kaunas, Lietuva.Tel. (370 37) 300042, faksas (370 37) 324144, el. patas: [email protected]

Disertacijos santrauka isista 2012 m. spalio 30 d.

Disertacij galima perirti Kauno technologijos universiteto bibliotekoje(K. Donelaiio g. 20, Kaunas) ir Lietuvos energetikos instituto bibliotekoje(Breslaujos g. 3, Kaunas).


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INTRODUCTION

Retail banking, as the banking on the whole, cannot be dissociated fromrisk, which is associated with almost all banking processes and is approachedalso one of the most important parts of analysis of banking. Various aspects ofmanifestation, estimation, assessment and management of banking risk areanalyzed by academics, banks and other financial institutions associated withbanking sector supervision, which use to analyze the conceptual principles ofbanking performance and are mostly oriented to the need to get more familiarwith banking risk, as the phenomenon requiring specific control, which isactively accented by banking supervision institutions.

Relevance of the topic. In banking sector, the importance of risk is basedon attitude that managed risk ensures the higher efficiency in the context ofbanking costs and total economic benefit. Many authors analyzing the banking

risk management highlighting that bank, managing the banking risk, ensures thehigher efficiency of its processing, which could be characterized considering thebanking financial results or banks rates, considering bank as a commercialinstitution. This highlights the relevance of connection between banking riskmanagement and banks efficiency in scientific publications. In the viewpoint ofeconomic perspective any solutions for banking risk management are related tosome additional banks cost, which reduce the profitability of bankingperformance directly related to the indices of total banking performanceefficiency assessment.

Supervisors of banking sector are highly interested in the stability of thissector and protection of consumers of banking services, therefore supervisors ofbanking sector following the attitude that solution to reduce the banking riskcreates higher benefit by itself through the risk loss reduction comparing toadditional costs of such solution. But in retail banking such attitude consideringthe efficiency is not always reasoned, because certain solutions of riskmanagement subject to banking volume could determine the negative ratio ofrisk loss and risk management costs.

Research problem. Considering the highlighted problematic aspects of

banking risk management analysis, there is formulated the following scientificproblem of the dissertation: how to assess the changes of efficiency in changingbanking risk management system considering cost in retail banking.

For the solution of the formulated scientific problem there is analyzed thespecifics of banking risk managements efficiency in cost context, which istreated as economic efficiency, studying the theoretical aspects of riskmanagement assessment through the views of various authors and, consideringthe generalizable of these aspects, preparing the banking risk managementseconomic efficiency assessment (BRMEEA) model, which enables to find the

solution the problem of the research how to choose the most efficient system ofbanking risk management to the retail banking institution.


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Object of the dissertation: banking risk managements economicefficiency.

Aim of the dissertation: to prepare and empirically test the banking riskmanagements economic efficiency assessment model for the analysis of risk

management systems improvements efficiency in retail banking.Objectives of the dissertation:1. To highlight the most relevant aspects of banking risk management

and its efficiency assessment provided in the academic literature.2. To reveal the most important lacks of the economic efficiency

assessment of banking risk management in retail banking sector.3. To analyze and characterize the specifics of banking risk

managements economic efficiency in retail banking.4. To prepare the model of the assessment of banking risk management

economic efficiency in retail banking.5. To apply the model of the assessment of banking risk managementeconomic efficiency in retail banking institution.

Research structure: The first part of the dissertation presents a theoretical analysis of the

banking risk managements economic efficiency assessment,defining the concept of banking risk and providing the classificationof banking risk in the context of the research problem, and there ischaracterized the specifics of assessment of banking risk

management economic efficiency, structure of banking risk costsand the possibilities of banking risk assessment models, on thosebasis the lacks of banking risk management economic efficiency arehighlighted.

In the second part of the dissertation there is provided the model ofbanking risk management economic efficiency assessment for retailbanking, defining the rations of banking risk management economicefficiency and presenting and characterizing the stages, structure andalgorithm of banking risk management economic efficiency.

In the third part of the dissertation there is provided the results ofthe model of banking risk management economic efficiencyassessment practical application, that were obtained via the providedmodel application in the sector of Lithuanian credit unions.

Conclusions present generalized results of the research made in thedissertation.

Research methods:1. Common scientific research methods, such as the logical, systemic

and comparative analysis of scientific literature (books, articles,

conference proceedings) and documents (statements,recommendations, reports) as well as theoretical modeling were used


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in the dissertation when analyzing the theoretical principles ofbanking risk management economic efficiency assessment andpreparing the model of banking risk management economicefficiency assessment.

2. Researching the model of banking risk management economicefficiency assessment application in practice, it was used the caseanalysis method when the model is applied in the chosen creditinstitution and assessing the results of model application in certaincredit institution.

3. Assessing the economic effect of risk management systemdevelopment in the chosen credit institution, there were usedeconomic arithmetic and statistical analysis, considering thesecondary data, as well as experts survey methods.

Novelty and value of the research. Scientific novelty and practical valueof the dissertation is evidenced by the results obtained: There were researched the peculiarities of risk management

economic efficiency in retail banking, where the banking riskmanagement is treated not only as a process of banking riskminimization, but also as a function of banking that designed tomanage the costs of risk and its management

It was characterized the structure of banking risk costs, that enablesto identify the costs associated with risk management and to assess

their influence by changing risk management system or itselements. There were provided the principles and ratios of banking risk

management economic efficiency assessment, that enables retailbanking institutions to assess the changes in risk managementeconomic efficiency, by modifying the current risk managementsystem and implementing new or developing current solutions orinstruments of various types of banking risk management.

The model of banking risk management economic efficiencyassessment was formed that could be used to identify the changes ifretail banking risk management economic efficiency when theinstitution changes the whole risk management systems or separateits elements. The novelty of this model reveals through theseaspects: (a) it is an instrument for retail banking risk management,(b) in the model there is provided the algorithm that connectssolutions of risk management system development with bankingratios, (c) the model is not restricted considering the type of risk, (d)the model characterizes the principles of banking risk management

economic efficiency analysis. It was performed the experiment of banking risk management


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economic efficiency assessment in the system of Lithuanian creditunions (as a field of retail banking), that highlights the banking riskmanagement costs assessment relevance, considering the ration ofrisk management system administrating and risk loss, that is directly

associated with banking financial results in the context of incomeand expenses ratio. It was provided the solutions of Lithuanian credit unions banking

risk management development, that ensures more precisemanagement of credit, market and operational risk , as well as highereconomic efficiency of credit unions risk management system: itwas prepared business subjects risk assessment methodic (to reducecredit risk), liquid funds distribution calculator (to reduce marketrisk) and profitability management calculator and automated

business plan form (to reduce operational risk).Scientific approbation of the dissertation. The research results areannounced in 3 scientific publications and have been introduced in 2conferences.


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CONTEXT OF THE DISSERTATION

INTRODUCTION1. THE THEORETICAL ASPECTS OF BANKING RISK MANAGEMENTSECONOMIC EFFICIENCY ASSESSMENT1.1. The concept and classification of banking risk management1.2. The specifics of banking risk managements economic efficiencyassessment1.2.1. The structure of banking risk management process1.2.2. The concept of efficiency as economic category in the context of bankingrisk management1.2.3. The models for banking risk managements economic efficiencyassessment1.3. The structure of banking risk cost

1.4. The possibilities of banking risk assessment models accuracymeasurement1.4.1. The variety of banking risk assessment models1.4.2. The measurement of banking risk assessment models reliability1.5. The lacks in the researches of banking risk managements economicefficiency assessment area2. BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCYASSESSMENT MODEL FOR RETAIL BANKING2.1. The guidelines for banking risk managements economic efficiency

assessment model formation2.2. The indicators for banking risk managements economic efficiencyassessment2.3. The identification of banking performance results in risk managementcontext2.4. The assessment of banking risk management system2.5. The assessment of banking risk managements changes impact onbanks income2.6. The algorithm of banking risk managements economic efficiency

assessment model3. THE RESEARCH OF DEMONSTRATIVE ADAPTATION OF BANKINGRISK MANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENTMODEL IN CASE OF LITHUANIAN CREDIT UNIONS SYSTEM3.1. The research methodic of the demonstrative adaptation of banking riskmanagements economic efficiency assessment model in case of Lithuaniancredit unions system3.1.1. The reasoning of the chosen research object3.1.2. The process and structure of the research

3.2. The research results of the demonstrative adaptation of banking riskmanagements economic efficiency assessment model in case of Lithuanian


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credit unions system3.2.1. The identification of current credit unions performance results in thecontext of risk management3.2.2. The assessment of current credit unions risk management systems

economic efficiency3.2.3. The description of planned credit unions risk management system3.2.3.1. The solutions for credit risk management improvement3.2.3.2. The solutions for market risk management improvement3.2.3.3. The solutions for operational risk management improvement3.2.3.4. The specification of planned risk management system characteristics3.2.4. The assessment of changes in credit unions risk management systemsadministration cost3.2.5. The assessment of changes in credit unions risk management systems

provisions and loss cost3.2.6. The assessment of planned credit unions risk management systemsimpact on income3.2.7. The identification of planned credit unions performance results3.2.8. The determination of benefit of credit unions risk managementsimprovementCONCLUSIONSREFERENCESLIST OF SCIENTIFIC PUBLICATIONS

APPENDIXES


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STRUCTURE OF THE DISSERTATION

IN THE FIRST PART 1. THE THEORETICAL ASPECTS OFBANKING RISK MANAGEMENTS ECONOMIC EFFICIENCYASSESSMENT is presented the analysis results of theoretical aspects ofbanking risk management and its efficiency assessment, which composes theconceptual basis of the model of banking risk management economic efficiencyassessment (BRMEEA model).

Chapter 1.1. The concept and classification of banking riskmanagementpresents the conception of banking risk, defining banking risk asan uncertainty of influence of banking environment factors. In this definitionthere are highlighted the main characteristics of risk: (1) uncertainty of the result(influence of banking environment factors) and by it conditioned (2) theprobability of economic loss. In this case, the banking risk is directly associated

with possible losses due to the certain unplanned factors of internal and externalfactors of banking environment.

Assessing the provided definition of banking risk and considering thevarious authors (Bessis, 2010; Kamienas, Valvonis, 2004; Valvonis, 2006;Koch, MacDonald, 2000; Dzikeviius, 2003; Kancerevyius, 2004; Vakelaitis,2003; Karpaviien, 2006; Basel Committee, 2003) view to the classification ofbanking risk, there are formulated the detailed classification of banking risk thatis used in the doctoral research, resolving banking risk to credit risk, market riskand operational risk.

In Chapter 1.2. The specifics of banking risk managements economicefficiency assessment there is analyzed the basis of the relevance of riskmanagement and risk management economic efficiency assessment, withreference to the common conception of efficiency, as a category of economics,and highlighting the specifics of risk management economic efficiencyassessment.

In Section 1.2.1. The structure of banking risk management processthere is provided the detailed conception of risk management process, andconsidering it the banking risk management process is divided into these stages:

(1) risk identification and (2) risk monitoring, which is divided into (2.1) riskassessment, that involves (2.1.1) risk estimation and (2.1.2) identification ofestimation results, and as well as (2.2) solution to the risk acceptance. Thisstructure is treated as the background for further detailed analysis of riskmanagement cost.

In Section 1.2.2. The concept of efficiency as economic category in thecontext of banking risk management there is provided the definition ofefficiency in the context of banking risk management, when the efficiency isinterrelated as the ratio of created value and used resources considering the

change of this ratio due to the changes of input and output. This definition isused in doctoral research in the context of banking risk management economic


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efficiency assessment as ratio of benefit of risk management and riskmanagement costs.

In Section 1.2.3. The models for banking risk managements economicefficiency assessment there are reviewed methods and models of banking risk

management efficiency assessment by various authors, and considering them theconstruct of banking risk management economic efficiency assessment isformed.

In Chapter 1.3. The structure of banking risk cost there are analyzedthe specifics and structure of banking risk costs. Considering publications ofvarious authors (Kiziukiewicz, 2004; Rowe, 2004; Reichert, Rubens, 1994;Medova, 2000; Sollenberger, 2004; Kamienas, Valvonis, 2004; Belinskaja,Bagdonaviius, ernius 2001; Karpaviien, 2006; Kekre, Secomandi, Sonmez,West, 2007) there is revolved three groups of banking risk costs: (1) provisions

that are classified by assets, assessed in the context of the risk, and capital; (2)loss, that are classified by risk types; (3) administration costs, that are classifiedby risk management processes and forms of risk management costs.

In Chapter 1.4. The possibilities of banking risk assessment modelsaccuracy measurementthere are analyzed researches of various authors in thefield of accuracy of models of banking risk assessment discussing the variety andthe possibilities of accuracy assessment of these models.

In Section 1.4.1. The variety of banking risk assessment modelsthereis analyzed the specific of banking risk assessment models, dividing risk model

under the classification of risk described in this doctoral thesis, excluding credit,market and operational risks.In Section 1.4.2. The measurement of banking risk assessment models

reliabilitythere are discussed various means and methods for the assessment ofaccuracy of banking risk assessment models. Considering the results of theassessment of accuracy of banking risk assessment models it could be identifiedthe possible changes in costs of banking risk management system, therefore itcould be created the conceptual model for the assessment of banking riskmanagement economic efficiency.

In Chapter 1.5. The gaps in the researches of banking riskmanagements economic efficiency assessment area there are excluded theactual deeper studies demanding fields in the area of banking risk managementresearches, that are analyzed in this doctoral thesis.

Summarizing the results of analysis of banking risk managementeconomic efficiency assessment theoretical aspects, it could be stated thatbanking risk, as a complex phenomenon, that demands permanent control andsupervision, is attaining insufficient attention in the context of economicefficiency assessment, and this justifying the relevance of the creation of modelof banking risk management economic efficiency assessment.


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IN THE SECOND PART 2. BANKING RISK MANAGEMENTSECONOMIC EFFICIENCY ASSESSMENT MODEL FOR RETAILBANKING there are provided solutions of the creation of the banking riskmanagement economic efficiency assessment, that is designed for retail banking,

characterizing the ratios for banking risk management economic efficiencyassessment and formulating the algorithm of banking risk management economicefficiency assessment model.

In Chapter 2.1. The guidelines for banking risk managementseconomic efficiency assessment model formation there are summarizedtheoretical aspects of banking risk management economic efficiency assessmentformulating the main guidelines for the preparation of banking risk managementeconomic efficiency assessment model.

In Chapter 2.2. The indicators for banking risk managements

economic efficiency assessment there are analyzed ratios that characterize thechanges of banking risk management costs and economic efficiency when theelements of risk management system are being changed. The major rates thatcharacterize the changes of banking risk management economic efficiency aretotal and net benefit of risk management.

In Chapter 2.3. The identification of banking performance results in

risk management context there are excluded ratios that characterize results ofbanking in the context of risk management and via these ratios the change ofbanking risk management economic efficiency is characterized: the net profit

under the current yield of credit portfolio and yield of current credit portfoliounder the expected net profit.In Chapter 2.4. The assessment of banking risk management system

there are discussed the questions of characterization of the banking riskmanagement system and the assessment of economic efficiency, and, the schemeof banking risk management efficiency assessment is based on previouslymentioned elements.

In Chapter 2.5. The assessment of banking risk managementschanges impact on banks income there are presented the solutions to theassessment of banking risk management changes influence on banking incomeconsidering the newly designed or developed solutions of banking riskmanagement influences the total income of banking.

In Chapter 2.6. The algorithm of banking risk managements economicefficiency assessment modelthere are summarized the solutions of banking riskmanagement economic efficiency assessment that involve (1) rates of bankingrisk management economic efficiency assessment, (2) identification of bankingresults in the context of risk management, (3) assessment of banking riskmanagement system and (4) assessment of banking risks management changesinfluence on banking income. These solutions compose the model of bankingrisk management economic efficiency, which algorithm is presented in figure 1.


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Figure 1. The algorithm of banking risk managements economic efficiency assessmentmodel

1 stage

7 stage

5 stage

8 stage

6 stage

3 stage

2 stage

Current performance results:- Yield of credit portfolio- Net profit

RMS economic efficiency:

Provisions Loss Administra-tion cost

CR

MR

OR

if formed necessarily (on demand)

if formed

if formed

(on demand)

(on demand)

necessarily

necessarily

The planned RMSsadministration cost:

Administration costCRMROR

absolute

absolute

absolute

The planned change of RMSsadministration cost:

Administration costCRMROR

(change)

(change)

(change)

Are the currentRMSs administration

cost identified?

YES NO

The planned changes ofprovision and loss cost:

Provisions Loss

CRMR

OR

(change) (change)(change)(change)

(change)(change)

Will changes of RMSimpact banks income?

The planned performance results:- Yield of credit portfolio- Net profit

The planned risk management system:

The planned risk manage-ments impact on banksincome: Income

CR

MR

OR

(change)

(change)(change)

YESNO

Gross benefit of riskmanagement:

Change of net profit

CR MR OR Net bene-fit of riskmanage-ment

Is net benefit of riskmanagement > 0 ?

To implement the planned riskmanagement system

Do not implement the planned riskmanagement system

YES NO

(1) RMS

specifi-

cation(2) RMS reliability

indicators

(3) RMS administration

cost

(4) RMS

cost

(5) RMS EE indices: RL RMC

Management characteristicsRegister of risk events

CR MR OR CR MR OR

TRCManagement characteristics

CR MR ORRMS specification

Register of risk events4 stage


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The model of banking risk management economic efficiency is realizedunder this algorithm:

1. The identification of current banks performance results in the contextof risk management. The current banking results are identified using

the scheme of banking results identification in the context of riskmanagement: the net profit under the current yield of credit portfolioand yield of current credit portfolio under the expected net profit. Thecurrent results of banking indicate the initial situation before theimplementation of the new risk management system or its separateelements.

2. The assessment of current banking risk management systemseconomic efficiency. The economic efficiency of the current systemsof risk management is evaluated using the scheme of banking risk

management system assessment. When the current system of riskmanagement is being evaluated the risk events registry is beingcreated; under these risk events the RMS accuracy ratios and RMScosts are estimated. Such data enables to identify RMS costs under thetypes of risk, groups of banking risk, nature of accumulated capital,the sources of risk events and risk management processes. RMS costsidentification and detailing enables to calculate the total costs ofbanking risk, that involves the risk losses and risk management costs.This stage is important because management costs can be identified

for choice considering that in the case of the change of banking riskmanagement system the most relevant are not costs of managementbut the expected change of them, the initial identification ofmanagement costs can be eliminated from the model confining to theidentification of expected change of risk management systemadministrating costs.

3. The description of planned banking risk management system. Theplanned specification of risk management system is prepared using the1st stage of the banking risk management systems assessment scheme(the formation of RMS specification), where the planned registry ofrisk events and the specification of risk management systemscharacteristics are prepared. The specification of planned riskmanagement system is treated as the background for the identificationand assessment of planned risk management systems cost.

4. The assessment of changes in banking risk management systemsadministration cost. The RMS administration cost or its change isidentified (depending on the results of 2nd stage if where were theadministration cost calculated) using the 3rd stage 3 of the banking riskmanagement systems assessment scheme (the identification of RMSadministration cost), where the risk management systems


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characteristics are assessed in economic viewpoint (through the prismof cost).

5. The assessment of changes in banking risk management systemsprovisions and loss cost. The planned changes of risk provisions and

loss is assessed using the 2nd

stage of the banking risk managementsystems assessment scheme (identification of RMS reliability), wherethe matrix of reliability of planned risk events forecast is preparedand the indices of RMS reliability assessment are calculated. Usingthe results of these calculations the planned negative result of RMS(provisions and loss) is identified.

6. The assessment of planned banking risk management systems impacton income. The planned impact of risk management on banks incomeis assessed (if such the impact is presumed) using the assessment of

changes in banking risk management impact on banks incomescheme, which allows determining the impact of changes in bankingrisk management system on the size of banks credit portfolio orinvestment portfolio, which, in turn, change the total banks incomeand the net financial performance income. Depending on the changesof planned banks income, the indices of planned banks performanceresults in the context of risk management are identified: net profit atthe current level of credit portfolio yield and the credit portfolio yieldat the target level of net profit.

7.

The identification of planned banks performance results. If thepresumption is made that the changes in banking risk managementsystem should not affect the banks total income, when the plannedbanks performance results are identified using the data of 5 th stage ofBRMEEA model (the assessment of changes in banking riskmanagement systems provisions and loss cost). If it is considered thatthe changes in banking risk management system may affect the bankstotal income, when the planned banks performance results areidentified using the data of 6th stage of BRMEEA model (theassessment of planned banking risk management systems impact onincome). In any case the same indices are calculated: net profit at thecurrent level of credit portfolio yield and the credit portfolio yield atthe target level of net profit.

8. The determination of benefit of banking risk managementsimprovement. The gross and net risk management benefit iscalculated, and these calculations are used for the decision toimplement the proposed risk management system (or its separateelements) or not implement because of too high cost of systemsmanagement, in comparison with the expected reduction of risk lossand provisions, which creates the negative change in the economic


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efficiency of banking risk management. Such the negative results inBRMEEA model is expressed as the net benefit of risk management.

The main characteristics of banking risk managements economicefficiency assessment model, which should be accented are the following:

The model is suitable for various credit institutions in retail bankingsector. The adaptation of the model is not limited by credit, market and

operational risks. The model allows assessing all cost, which is related with risk

management. The model is created to assess the benefit of changes in banking risk

management system. The model creates the possibility to assess the impact of changes in

risk management system on banks income.The presented algorithm of BRMEEA model, together with accented

boundaries and characterized possibilities of its usage presents more accuratedescription of the models, as well as the whole dissertation research too,novelty

and value: BRMEEA model should be treated as the instrument for banking

risk management in retail banking, which allows thoroughassessment of economic efficiency of the banking risk managementsystems improvement. The analyzed theoretical aspects of banking

risk managements economic efficiency assessment revealed thelack of such instrument and its need for retail banking. In the model there is presented the algorithm that links the risk

management systems improvement solutions with the banks

performance indices, which characterize the banks performanceefficiency and allows identifying the economic benefit ofimplemented risk management solutions for the bank, payingattention not only to the changes of risk characteristics, but also tothe total changes of banks performance processes.

Differently than the most of banking risk management models,which are presented in academic level, the BRMEEA model isnotlimited to one or several concrete risk types. Though in thepresented model only the solutions for credit, market and operationalrisks are presented, but the same models algorithm is suitable aswell to assess the economic efficiency of risk managementsimprovement for other types of risks reputation, compliance,strategy, etc.

BRMEEA model characterizes the conception of banking riskmanagements economic efficiency, which is important in theanalysis of banking risk management solutions, but is quite often


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ignored in scientific researches because the most of researches tendto ignore the changes in banking risk management systemsadministration cost when the risk management solutions aremodified.

The presented algorithm of banking risk managements economicefficiency assessment model contains all the necessary solutions and proceduresneeded for the assessment of changes in banking risk managements economicefficiency. This allows determining what economic effect the changes of bankingrisk management system could have, what impact it could have on the finalbanks performance indices and if those changes are useful in economicviewpoint.

The described BRMEEA model is relevant is modern banking sector,where the improvement of banking risk management is a regular process with

the aim to reduce the risk loss as much as possible and to guarantee qualitativeand efficient management of risk. In the context of the need of regularimprovement of banking risk management system, BRMEEA model may betreated as the instrument to help banking institutions to assess the economicefficiency of planned changes in risk management system.

The BRMEEA model is characterized by the presented algorithm and thespecified solutions for separate stages, and is based on researches of variousauthors who analyzed banking risk management and its efficiency assessment(i.e. Karpaviien, 2006; Barriga, Rosengren, 2004; Christodoulakis, Satchell,

2008; Giesecke, 2004; Sollenberger, 2004; Pastor, Serrano, 2000; Chorafas,2007 et al). Such the grounding confirms the theoretical validation of presentedmodel.

IN THE THIRD PART 3. THE RESEARCH OFDEMONSTRATIVE ADAPTATION OF BANKING RISKMANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENT MODELIN CASE OF LITHUANIAN CREDIT UNIONS SYSTEM presents theresults of performed empirical research, which confirm the practical value ofbanking risk managements economic efficiency assessment model.

Chapter 3.1. The research methodic of the demonstrative adaptation of

banking risk managements economic efficiency assessment model in case ofLithuanian credit unions system presents the methodological attitudes ofempirical research, which is performed with the aim to validate the practicalvalue of banking risk managements economic efficiency assessment model.

Section 3.1.1. The reasoning of the chosen research objectpresents thereasoning of the chosen research object the Lithuanian credit unions system.This reasoning reveals the relevance and suitability of performed research in thecontext of validation of banking risk managements economic efficiencyassessment models practical value.


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Section 3.1.2. The process and structure of the research presents thedetailed principles and methods of the demonstrative adaptation of banking riskmanagements economic efficiency assessment model in case of Lithuaniancredit unions system research. The research was performed using the algorithm

of banking risk managements economic efficiency assessment model inaccordance with the sequence of procedures laid in the model: (1) Theidentification of current credit unions performance results in the context of riskmanagement, (2) The assessment of current credit unions risk managementsystems economic efficiency, (3) The description of planned credit unions riskmanagement system, (4) The assessment of changes in credit unions riskmanagement systems administration cost, (5) The assessment of changes incredit unions risk management systems provisions and loss cost, (6) Theassessment of planned credit unions risk management systems impact on

income, (7) The identification of planned credit unions performance results, (8)The determination of benefit of credit unions risk managements improvement.Chapter 3.2. The research results of the demonstrative adaptation of

banking risk managements economic efficiency assessment model in case ofLithuanian credit unions systempresents the analysis of results of banking riskmanagements economic efficiency assessment models adaptation in Lithuaniancredit unions system research. In this section the solutions for credit unions Nrisk management systems improvement are presented and the impact of thosesolutions for credit unions risk management systems economic efficiency is

assessed.Section 3.2.1. The identification of current credit unions performanceresults in the context of risk management presents the analysis of initialindices of analyzed credit union, which are relevant in the analysis of riskmanagements economic efficiency assessment, and the calculation results of theindices, which are used to identify the performance of credit union in riskmanagement context.

Section 3.2.2. The assessment of current credit unions riskmanagement systems economic efficiency presents the results of analyzedcredit unions risk management systems economic efficiency assessment. Theassessment is made using the prepared the specification of risk managementsystem, where the risk management systems characteristics are presented,containing the risk management systems cost and risk loss. The assessment ofcurrent credit unions risk management systems economic efficiency isperformed using the banking risk management systems assessment scheme.

Section 3.2.3. The description of planned credit unions riskmanagement system presents the description of proposed solutions for creditunions risk management system improvement by type of risk and thespecification of planned risk management system.

Section 3.2.3.1. The solutions for credit risk management


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improvement presents the description of implemented solutions to improvecredit unions credit risk management, which allow reaching the higher level ofentities risk assessment and reducing the credit risk loss.

Section 3.2.3.2. The solutions for market risk management

improvement presents the description of implemented solutions to improvecredit unions market risk management, which guarantee the more efficientmanagement of credit unions liquid funds and reduce the risk of spare fundsinvestment.

Section 3.2.3.3. The solutions for operational risk managementimprovement presents the description of implemented solutions to improvecredit unions operational risk management: the profitability calculator andautomated form of business plan. It is proposed to implement operational riskmanagement solutions, which allow the reduction of operational cost related with

the control of operational risk appearance.Section 3.2.3.4. The specification of planned risk management systemcharacteristics presents the prepared specification of credit unions plannedrisk management system, where the proposed solutions for risk managementsystems improvement are presented separately by type of risk and the effect ofevery solution for credit unions income and expenditure is assessed.

Section 3.2.4. The assessment of changes in credit unions riskmanagement systems administration costpresents the assessment of changesin credit unions risk management systems administration cost, using the 3rd

stage of banking risk management systems assessment scheme (theidentification of risk management systems administration cost) and using theexpected effect of separate risk management improvement solutions, which ispresented in credit unions planned risk management systems specification.

Section 3.2.5. The assessment of changes in credit unions riskmanagement systems provisions and loss cost presents the assessment ofchanges in provision and loss cost, which were identified in the analysis of creditand operational risk improvement solutions sections.

Section 3.2.6. The assessment of planned credit unions riskmanagement systems impact on income presents the results of riskmanagements impact on credit unions income assessment in case of credit andmarket risks using the assessment of changes in banking risk managementimpact on banks income scheme.

Section 3.2.7. The identification of planned credit unions performance

resultspresents the planned results of credit unions performance in the contextof risk management, which were calculated using the 7th stage of BRMEEAmodel The identification of planned credit unions performance results.

Section 3.2.8. The determination of benefit of credit unions riskmanagements improvement presents the calculations of credit unions grossand net benefit of risk management, which allows making the decision: to


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implement the proposed risk management system (or its separate elements) ornot to implement because of too high systems administration cost in comparisonwith expected reduction of risk loss.

The performed calculations show that the solutions for credit unions risk

management systems improvement, which were presented in the research ofdemonstrative adaptation of banking risk managements economic efficiencyassessment model in case of Lithuanian credit unions system, are useful forLithuanian credit unions in economic efficiency context, because they allowreducing the risk loss with the slower growth of risk management systemsadministration cost, and this conditions the growing economic efficiency of riskmanagement system.


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CONCLUSIONS

The theoretical argumentation and empirical validation of banking riskmanagements economic efficiency assessment model presented in dissertationallows following conclusions:

1. In the context of economic efficiency assessment the banking risktends to be described with putting the accents on the uncertainty of result and theprobability of the loss it creates. In such way the banking risk is directly linkedto the possible loss because of unplanned internal and external environmentfactors and this reveals the importance of economic (cost) factor in banking riskmanagement.

2. The analysis of viewpoint of financial specialists theoreticians andsupervision and coordination institutions in financial sector reveal three mainrisk types in modern banking sector: credit, risk and operational. The detailing

and individualization of these three risk types allows more accurate assessmentof economic efficiency changes in case of banking risk management systemmodification.

3. The banking risk management process should be divided in two mainparts: risk identification and risk control, while the last one structurally consistsof risk assessment, which includes risk measurement and the identification ofresults of risk measurement, and the decision about the acceptability of risk.Such the structuration of banking risk management process highlights the riskmanagement cost, which are relevant in banking risk managements economic

efficiency assessment, in the context cost nature and the way of appearance.4. The assessment of banking risk managements economic efficiency in

retail banking in academic literature is analyzed episodically, without thoroughdetailing of possible impact of risk management decisions impact on riskmanagement systems administration cost, which may be reason why theimprovement of banking risk management may become inappropriate ineconomic context.

5. The prepared structure of banking risk cost suitable for retail bankingincludes the main groups of cost created by risk management processes, but this

is not enough when trying to assess how the risk events and the administration ofrisk management system interrelate with the efficiency of banking performance.

6. The analysis of banking risk cost structure revealed that in the case ofretail banking there is the lack of comprehensive characterization of linksbetween risk events and banking risk cost, which is necessary if there is a need todetermine the changes in banking risk managements economic efficiency, whenthe banking risk management system changes.

7. In the context of banking risk management the efficiency should betreated as the ratio of value created and resources used, and there are two ways to

measure the changes of this ratio: (a) the change of efficiency when only thechange of input is assessed, and (b) the change of efficiency when the change in


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output because of changed banks sales strategy is also assessed.8. Authors who have analyzed the banking risk managements efficiency

assessment mostly concentrate on the identification of correlation or similarmathematical relations between banking risk level and economic indicators, and

tend to ignore the assessment of causal relations between banking riskmanagement systems processes and its total cost. This situation highlights theimportance of deeper insight in the assessment of banking risk managementseconomic efficiency.

9. The comprehensiveness of banking risk managements economicefficiency assessment is guaranteed when the banking risk managements costare divided in three main groups: (a) provisions, which consists of risk-relatedassets and accumulated capital, (b) loss, which appear from the credit, marketand operational risk factors, and (c) administration cost, which depend on risk

management processes and risk management cost forms.10. The reliability of banking risk managements economic efficiencyassessment depends on the ability to identify the accuracy of risk assessmentmodels, which can be described as the ability of model to correctly inform aboutthe risk events and correctly identify the cases without the risk factor.

11. The gross and net benefit indices used in the banking riskmanagements economic efficiency assessment model to assess the changes ofbanking risk managements economic efficiency, show the final result ofchanges in banking risk management system and state if the implemented

solutions for banking risk management system are useful in economic viewpointin the context of the impact of those solutions to banking risk loss and incomeand the cost of risk management systems administration.

12. The results in banking risk managements economic efficiencyassessment model, which are used compare the changes of economic efficiencyin risk management area, are described by two endogenous indices: net profit atthe current level of credit portfolio yield and the credit portfolio yield at thetarget level of net profit.

13. The banking risk management systems assessment scheme, whichcontains the risk management systems specification, the characterization of itscost and the indices of economic efficiency, creates the conditions to identify thechanges of modified banking risk management system in cost context, includingthe assessment of systems economic efficiency changes impacted by newlyimplemented solutions in banking risk management system.

14. The assessment of changes in banking risk management impact onbanks income scheme allows identifying the impact of banking riskmanagement systems modifications on banks sales strategy and total income,while assessing the relation between possible newly implemented solutions forrisk management and possibilities to generate income.

15. The solutions of banking risk managements economic efficiency


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assessment, which are linked together by integral algorithm, create theconditions to assess what economic effect could have the changes in banking riskmanagement system, considering the final banks performance results anddefining if the planned changes in risk management system are useful in

economic viewpoint.16. The performed research of the demonstrative adaptation of bankingrisk managements economic efficiency assessment model in case of Lithuaniancredit unions system showed that using the banking risk managementseconomic efficiency assessment model the solutions for credit unions riskmanagement systems improvement in credit, market and operational risk areaswere implemented, which allowed identifying the impact of those solutions oncredit unions risk management systems cost. This confirms the advantage ofprepared model in the area of banking risk management systems cost

assessment.17. Using the algorithm of banking risk managements economicefficiency assessment model in the performed demonstrative research the netbenefit of credit unions risk management was calculated, which positive valueconfirms models suitability for the assessment of changes in banking riskmanagements economic efficiency.

18. The assessment of changes in credit unions risk managementsystems economic efficiency in the context of different risk types and riskmanagement improvement solutions in the performed demonstrative research

allowed define useful and non-useful solutions in economic efficiencyviewpoint. This confirms that banking risk managements economic efficiencyassessment model is able to identify the impact of every risk managementsystems improvement solution on total economic efficiency of banking riskmanagement.


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REFERENCES

1. Barriga, L.; Rosengren, E. (2004).Innovations in Risk Management Lessons from the Banking Industry. Technical Paper. Boston: FederalReserve Bank of Boston.

2. Basel Committee. (2003). Sound Practices for the Management andSupervision of Operational Risk[interaktyvus]; [irta 2010-10-20].Prieiga per internet: http://www.bis.org/publ/bcbs96.pdf.

3. Belinskaja, L.; Bagdonaviius, K.; ernius A. (2001).Draudimas I.Vilnius: Lietuvos bankininkysts, draudimo ir finans institutas.

4. Bessis, J. (2010).Risk Management in Banking. Chichester: John Wiley& Sons. 821 p.

5. Chorafas, D.N. (2007).Risk Management Technology in FinancialServices. Oxford: Elsevier.

6. Christodoulakis, G.; Satchell, S. (2008). The validity of credit riskmodel validation methods. The Analytics of Risk Model Validation, ed.Christodoulakis G., Satchell S. Oxford: Elsevier, p. 27-44.

7. Dzikeviius, A. (2003). Rinkos rizikos valdymo funkcija komerciniamebanke.Ekonomika ir vadyba: aktualijos ir perspektyvos 2002. iauliai:iauli universitetas.

8. Giesecke, K. (2004). Credit Risk Modeling and Valuation: anIntroduction. Credit Risk: Models and Management, Vol. 2.

9. Kamienas, I.; Valvonis, V. (2004). Paskol registro naudojimas kreditorizikai valdyti. Pinig studijos, Nr. 1, p. 5-30.

10. Kancerevyius, G. (2004). Finansai ir investicijos. Kaunas: Smaltija.11. Karpaviien, E. (2006). Operacins rizikos valdymo bankuose pagal

Bazelio II rekomendacijas modelis. Daktaro disertacija. Kaunas: Kaunotechnologijos universitetas.

12. Kekre, S.; Secomandi, N.; Sonmez, E.; West, K. (2007).Balancing Riskand Efficiency at a Major Commercial Bank. Working Paper E60.Pittsburgh: Tepper School of Business, Carnegie Mellon University.

13. Kiziukiewicz, T. (2004). Cost of Risk Reduction in the Cost AccountingModel.Ekonomika ir vadyba-2004. Tarptautins mokslinskonferencijos praneim mediaga, 3 knyga: finans sistemos vystymosi

tendencijos integracijos aplinkoje, p. 30-32.

14. Koch, T.W.; MacDonald, S.S. (2000).Bank Management. 4th edition.USA: The Dryden Press.

15. Medova, E. (2000). Measuring risk by extreme values.Risk.Operational risk special report, November, p. 20-26.


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16. Pastor, J.M.; Serrano, L. (2000).Efficiency, Endogenous AndExogenous Credit Risk In The Banking Systems Of The Euro Area: IVIE

working papers. Valencia: IVIE.

17. Reichert, A. K.; Rubens, J. H. (1994). Risk management techniquesemployed within the US credit union industry.Journal of BusinessFinance Accounting, No. 21(1), p. 15-35.

18. Rowe, D. M.; Jovic, D. (2004). The Data Challenge of Basel II. TheJournal of Securities Operations, Winter, p. 21-26.

19. Sollenberger, H.M. (2004). Credit Union Risk-Based Net WorthMeasurements: The First Years.Bank Accounting Finance, June, p. 10-21.

20. Valvonis, V. (2006). iuolaikinis kredito rizikos vertinimas banke:paskol portfelio rizika ir ekonominio kapitalo paskirstymas. Pinigstudijos, Nr. 2, p. 58-74.

21. Vakelaitis, V. (2003). Pinigai: komerciniai bankai ir j rizikosvaldymas. Vilnius: Lietuvos mokslo redakcija.


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PUBLICATIONS OF THE RESEARCH RESULTS

A R T I C L E S

Articles in the Scientific Publications Reffered in the InternationalDatabases

1. Barauskas, Petras; arapovas, Tadas; Cvilikas, Aurelijus. Kredito rizikospasireikimo lizingo sektoriuje specifika ir vertinimo problemos //Organizacij vadyba: sisteminiai tyrimai = Management of organizations:systematic research. Kaunas : Vytauto Didiojo universitetas. ISSN 1392-1142. 2007, nr. 41, p. 19-34. [Business Source Complete; CEEOL;ProQuest].

2. Kraujalis, arnas; Karpaviien, Edita; Cvilikas, Aurelijus. The specificsof operational risk assessment methodology recommended by Basel II //Engineering economics = Ininerin ekonomika / Kaunas University ofTechnology. Kaunas : Technologija. ISSN 1392-2785. 2006, no. 3(48), p.7-17. [Business Source Complete; IBSS International Bibliography of theSocial Sciences; CEEOL].

3. Vasiliauskait, Asta; Cvilikas, Aurelijus. Fuzzy sets theory adoption fiorcredit risk assessment in leasing sector // Taikomoji ekonomika: sisteminiaityrimai = Applied economics: systemic research / Vytauto Didiojouniversitetas. Kaunas : VDU. ISSN 1822-7996. 2008, T. 2, nr. 1, p. 85-98.

[Business Source Complete; ProQuest].4. Cvilikas, Aurelijus. The structure of decisions for banking risk

management's economic efficiency assessment // Economics andmanagement = Ekonomika ir vadyba [elektroninis iteklius] / KaunasUniversity of Technology. Kaunas : Technologija. ISSN 1822-6515. 2010,no. 15, p. 893-899. [Business Source Complete; Current Abstracts; TOCPremier].

Articles in the Other Reviewed Scientific Publications

5. Vasiliauskait, Asta; Cvilikas, Aurelijus. Neapibrt aibi teorijostaikymas kredito rizikos vertinimui // Apskaitos ir finans mokslas irstudijos: problemos ir perspektyvos = Science and studies of accountingand finances: problems and perspectives : 6-osios tarptautins mokslinskonferencijos, skirtos LU Apskaitos ir finans katedros 40-meiuipaminti, straipsni rinkinys, 2008 m. spalio 24 d. Akademija, Kauno r.Akademija : LU Leidybos centras. ISSN 2029-1175. 2008, nr. 1(6), p.161-165.


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ABOUT THE AUTHOR

Academic activity:

Lecturer in KTU Finance department (assistant):

- the lecturer of Financial basics module;- the scientific advisor of bachelor and master final studies

Co-author of monographs:

- Elektronins komercijos modeliai verslo efektyvumui didinti (2006);- E-commerce models to increase business effectiveness (2010);- Doktorantra Europoje ir Lietuvoje (2009)

Co-author of scientific articles:

- in banking risk management field;

- in e-commerce field;- in business systems field;- in sports business field

Participator of scientific conferences:

- Economics and management;- Science and studies of accounting and finances: problems and perspectives;- Legal, political and economical initiatives towards Europe of knowledge

Education:

2006

2012

Doctoral studies

Kaunas University of Technology, Department of Finance, Economics;study area: the banking risk management

2003

2005Master studies

Kaunas University of Technology, Faculty of Economics andManagement; Economics: insurance and banking;- the master thesis were chosen to participate in the exposition of KTU

junior scientists studies Technorama-2005

1999 2003

Bachelor studiesKaunas University of Technology, Faculty of Economics andManagement; Management and business administration: financemanagement;- bachelors diploma with commendations for great study results andacademic activity;- the participator of economists Olympics (3rd place);- the participator of contests Junior businessman 2002


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REZIUM

Mamenin bankininkyst, kaip ir visa bankin veikla, neatsiejama nuorizikos veiksnio, kuris, bdamas susijs su beveik visais bankins veiklosprocesais, traktuotinas kaip viena svarbiausi bankins veiklos analizs krypi.vairius bankins rizikos pasireikimo, matavimo, vertinimo ir valdymo aspektusnuolat tiria akademinio sluoksnio atstovai ir bank bei vairi finansiniinstitucij, susijusi su bankinio sektoriaus prieira, atstovai, nagrindamikonceptualius bankins veiklos principus arba orientuodamiesi finanssektoriaus prieiros institucij inicijuojam poreik isamiau painti bankinrizik, kaip iskirtins kontrols reikalaujant reikin.

Temos aktualumas. Bankiniame sektoriuje rizikos valdymo aktualumasgrindiamas nuostata, kad valdoma rizika garantuoja didesn banko veiklosefektyvum kat ir bendrosios ekonomins naudos kontekste. Daugelis autori,

nagrindami bankins rizikos valdym, akcentuoja, kad bankas, valdymas rizik,utikrina didesn savo veiklos efektyvum, kuris gali bti charakterizuojamasbanko veiklos finansiniais rezultatais arba ekonominiais banko, kaip komercinsstaigos, rodikliais. Tai irykina banko rizikos valdymo ir banko veiklosefektyvumo ssaj tyrimo aktualum mokslinse publikacijose. velgiant iekonomins perspektyvos, bet kokie bankins rizikos valdymo sprendimai susijsu tikrais papildomais banko katais, mainaniais bankins veiklos pelningum,kuris tiesiogiai siejasi su bendrosios bankins veiklos efektyvumo vertinimorodikliais. Bankinio sektoriaus prieiros institucijos, labiausiai suinteresuotos

bankinio sektoriaus stabilumu ir vartotoj apsauga, rizikos valdymo srityje pagalnutyljim vadovaujasi nuostata, kad rizikos valdymo sprendimas, skirtasbankins rizikos mainimui, savaime sukuria didesn naud per rizikos nuostolimainim, lyginant su papildomais io sprendimo gyvendinimo katais. Taiaumameninje bankininkystje gantinai danai pastebima, kad i bankinsveiklos efektyvumo perspektyvos i nuostata ne visuomet pagrsta, nes kai kurierizikos valdymo sprendimai, priklausomai nuo banko veiklos apimi masto, galilemti banko pelningumo poiriu nepriimtin rizikos nuostoli pokyio ir rizikosvaldymo kat santyk.

Mokslin problema. Atsivelgiant irykintus probleminius bankinsrizikos valdymo analizs aspektus, formuluojama tokia disertacinio tyrimomokslin problema:kaip vertinti keiiamos bankins rizikos valdymo sistemosefektyvumo pokyius kat poiriu mameninje bankininkystje.

Tyrimo objektas bankins rizikos valdymo ekonominis efektyvumas.Tyrimo tikslas suformuoti ir empirikai patikrinti bankins rizikos

valdymo ekonominio efektyvumo vertinimo model, skirt rizikos valdymosistemos tobulinimo efektyvumo analizei mameninje bankininkystje.

Tyrimo udaviniai:


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1. Irykinti aktualiausius akademinje literatroje akcentuojamusbankins rizikos valdymo ir jo ekonominio efektyvumo vertinimoaspektus.

2. Atskleisti svarbiausias bankins rizikos valdymo ekonominioefektyvumo vertinimo spragas mameninje bankininkystje.3. Ianalizuoti ir charakterizuoti bankins rizikos valdymo ekonominioefektyvumo specifik mameninje bankininkystje.

4. Parengti bankins rizikos valdymo ekonominio efektyvumovertinimo model mameninei bankininkystei.

5. Pritaikyti bankins rizikos valdymo ekonominio efektyvumovertinimo model mamenins bankininkysts sektoriujeveikianioje kredito staigoje.

Tyrimo struktra. Tyrim sudaro keturios pagrindins dalys.

Pirmojoje dalyje pateikiama bankins rizikos valdymo ekonominioefektyvumo vertinimo teorini aspekt analiz, apibriant bankins rizikossamprat ir pateikiant bankins rizikos klasifikacij tiriamos problemoskontekste, bei charakterizuojama bankins rizikos valdymo ekonominioefektyvumo vertinimo specifika, bankins rizikos kat struktra ir bankinsrizikos vertinimo modeli tikslumo vertinimo galimybs, kuri pagrinduirykinamos tyrim bankins rizikos valdymo ekonominio efektyvumovertinimo srityje spragos.

Antrojoje dalyje pateikiamas bankins rizikos valdymo ekonominio

efektyvumo vertinimo modelis mameninei bankininkystei, apibdinant jsudaranius bankins rizikos valdymo ekonominio efektyvumo vertinimorodiklius, bei pristatant ir apibdinant bankins rizikos valdymo ekonominioefektyvumo vertinimo modelio etapus, struktr ir algoritm.

Treiojoje dalyje pateikiami bankins rizikos valdymo ekonominioefektyvumo vertinimo modelio demonstracinio pritaikomumo tyrimo rezultatai,gauti atlikus parengto modelio naudojimo Lietuvos kredito unij rizikos valdymosistemos tobulinimui tyrim.

Ivadose pateikiami apibendrinti disertacinio tyrimo rezultatai pagalsuformuluotus tyrimo udavinius.

Tyrimo naujumas ir vertingumas. Disertacinio darbo naujum ir praktinvertingum nusako gauti rezultatai:

Itirti rizikos valdymo ekonominio efektyvumo ypatumaimameninje bankininkystje, bankins rizikos valdym traktuojantne tik kaip rizikos minimizavimo siekiu grst proces, bet ir kaipvien i bankins veiklos funkcij, skirt visumini su rizika ir josvaldymu susijusi kat valdymui.

Charakterizuota bankins rizikos kat struktra, kurios pagrindumameninje bankininkystje galima identifikuoti su rizikosvaldymu susijusius katus ir vertinti j pokyt, keiiant rizikos


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valdymo sistem ar atskirus jos elementus. Pateikti bankins rizikos valdymo ekonominio efektyvumo

vertinimo principai ir rodikliai, kuriais remdamosi mameninsbankininkysts sektoriuje veikianios kredito staigos gali vertinti

savo rizikos valdymo ekonominio efektyvumo pokyius,modifikuojant esam rizikos valdymo sistem ir diegiant naujus artobulinant esamus vairi bankins rizikos ri valdymosprendimus ar instrumentus.

Suformuotas bankins rizikos valdymo ekonominio efektyvumovertinimo modelis, kuris gali bti naudojamas bankins rizikosvaldymo efektyvumo pokyiams vertinti mameninjebankininkystje, bankui keiiant naudojam rizikos valdymo sistemar atskirus jos elementus. io modelio naujumas pasireikia tokiais

aspektais: (a) tai specialiai mameninei bankininkystei skirtasbankins rizikos valdymo instrumentas, (b) modelyje pateikiamasalgoritmas, susiejantis rizikos valdymo sistemos tobulinimosprendimus su banko veiklos rodikliais, (c) modelis nra apribotasvienos ar keli konkrei rizikos ri rmuose, (d) modelischarakterizuoja bankins rizikos valdymo ekonominio efektyvumoanalizs principus.

Atliktas bankins rizikos valdymo ekonominio efektyvumovertinimo eksperimentas Lietuvos kredito unij sistemoje (kaip

vienoje i mamenins bankininkysts srii), irykinantis bankinsrizikos valdymo kat vertinimo, atsivelgiant rizikos valdymosistemos administravimo bei rizikos nuostoli santyk, aktualum,tiesiogiai sietin su banko veiklos finansiniais rezultatais pajam irilaid santykio kontekste.

Pateikti Lietuvos kredito unij bankins rizikos valdymo tobulinimosprendimai, utikrinantys tikslesn kredito, rinkos ir operacinsrizikos valdym bei didesn kredito unij rizikos valdymo sistemosekonomin efektyvum: sudaryta verslo subjekt kiekybinio rizikos

vertinimo metodika (kredito rizikos mainimui), likvidi lpanaudojimo planavimo skaiiuokl (rinkos rizikos mainimui) beipelningumo valdymo skaiiuokl ir automatizuota verslo planoforma (operacins rizikos mainimui).

Tyrimo rezultatai. Atlikti tyrimai rodo, kad parengtas bankins rizikosvaldymo ekonominio efektyvumo vertinimo modelis, sudarytas vadovaujantisbankins rizikos valdymo ir ekonominio efektyvumo vertinimo koncepcijnuostatomis, yra teorikai argumentuotas instrumentas, tinkamas mameninsbankininkysts sektoriaus dalyvi rizikos valdymo efektyvumui vertinti. Model

sudarantys bankins rizikos valdymo ekonominio efektyvumo vertinimosprendimai, susieti vieningu algoritmu, sudaro slygas vertinti, kok ekonomin


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efekt turt bankins rizikos valdymo sistemos keitimas mameninjebankininkystje, atsivelgiant galutinius banko veiklos rodiklius bei nusakant,ar planuojami pokyiai rizikos valdymo sistemoje yra tikslingi ekonominiupoiriu. Praktin parengto modelio vertingum pagrindia atliktas bankins

rizikos valdymo ekonominio efektyvumo vertinimo modelio praktiniopritaikymo Lietuvos kredito unij sistemos pavyzdiu tyrimas, kuris rodo, kadpateikti Lietuvos kredito unij rizikos valdymo sistemos tobulinimo sprendimaiekonominio efektyvumo poiriu kredito unijoms yra naudingi, nes leidiasumainti rizikos nuostolius labiau nei padidja rizikos valdymo sistemosadministravimo katai, o tai rodo rizikos valdymo sistemos ekonominioefektyvumo didjim.

Disertacijos apimtis. Disertacij sudaro 165 psl. (neskaitant pried), 31paveikslas, 40 lenteli, 12 pried. Panaudota 213 literatros altini lietuvi ir

angl kalbomis.


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UDK 336.71+005.52:005.334](043.3)

SL344. 2012-10-17. 1 leidyb. apsk. l. Tiraas 70 egz. Usakymas 924.Ileido leidykla Technologija, Student g. 54, 51424 KaunasSpausdino leidyklos Technologija spaustuv, Student g. 54, 51424 Kaunas

Documents

santrauka - Cvilikas.pdf