  -.  -,  
  


             - .   ,              - ,  ,        -    ,    -         .









      - ( -,  )            .

                - ,      - ,    -        .            (, )   ,       -.                               .       (-  (),   -                 -      -        .

        Banking system research (BSR):


   (http://risk-bank. ru/obzor/)

 :         .            2030                 -     ,         .       ,      ,    ,     ,    ()       ()   ,    ,     ()  .

                ,       .                - ()        -    - .

            Banking System Research (BSR) (http://risk-bank.ru/),       ,       - .

       - I  II.

2.  (I)   -      on-line  (- )         -,         - ,    -        .    (), ,      .  :    -   on-line  (- )            -    ,  ,    ,  .  I     II.

 II     -.

    ,           -  - ,  (   ,  )    610:

- (1):     ;

- (2):    - ;

- (3):    - ;

- (4):     - ;

- (5):       - ,

       -:

   -  ();

  -  ();

   -  ();

        ();

      ()     ()

 ,  ,   ().

    ( -)               .  (, )     -      - .      -      .          .

 ,           ,         -             ,   .      -      .          ,    -.           .                .

 ,       - ( II)         .

     ,    ,   :

Banking System Research (BSR):   -   :

http://risk-bank.ru




 1.      



      ,              -   .




 1.    


              .         , ,     ,        .                   ,     .          1215%.     ,        ,    2013 .           .  ,                  .              (51,7%).             2,5 . .           .                  1218               .

         2010 .    ,   90  (NPL90+); ,             1218 ;   ,                       .

     (Net Income, NI)     (net interest margin, NIM)    ,   (NI)      NIM      .








 2017              2016-:    (return on average assets, ROAA,      )   1,0%    1,1%  2016 ,      (return on average equity, ROAE)   9,0%    11,5%  2016 .

    2017- ,   ,  ,   :           ;     (NIM)  ,           (cost to income, CIR).

              2017  4,0%    3,8%  2016-. , NIM,        ,  2017    4,4%    4,5%  2016-.   NIM        ,   ,  3,5%.         2017  -               .








  ,  2018  ROAA  1,0%,     .  ,             :   2021  ROAA   1,2%.                   NIM ( 1.2.)     ,          3%        ,          .

 NIM  2017 ,        (    ,       ),            ,        ,    .

  ,  NIM (    )   3,8%  2018   3,3%  2021 .  NIM     ( )  ,     :   ,          NIM    2017 ,      2018   4,24,3%. NIM,      (3,5%),         .








   NIM  20162017        2018-        .      (  ) ,     ,          . ,   (  ,   . .1. 3)     3%  2017    4%  2018 ,        ,               - .                        .      .   ,      ,       (return on assets, ROA)  1,0%  2016 ,      0,5%  2015-  0,2%  2014-.  ,          :    ROA  0,4% (   0%  2015-  -0,4%  2014-).








 2017      ROA     ,            ,         (    ʻ).  2018    ,  ,      .          NIM,           .  ,     NIM       ,          ,             ,    , /       .               ,             .                               ,              .        (. .1.5.)

 ,     ,            .








 ,    ,                   . , ,            20  ,  ,      ().                                    -           .




 2.   ,      


  - ,     20082010,   ,             , ,               -  -  .

                   .  ,   ,   S&P 500,     500    ,   ,     (. .1.6).   ,          .








            -      (. .1.6.)

      ,   :  ,  .       ,       , ,   ,   ,   (.1.7, 1.8.).








  ,     XX    120   .         ,     ,        2012 .

           ,      .     ,         ,     ,       .

         ,      ()   ?  ,     .

      ,       ,      710  (       ),  -        20,     300.               ,      5070 ,         . ,  ,   Citigroup  2006.   2 . .,        1,8 . .








 Lehman Brothers  Bear Stearns           1:31  1:35     Lehman Brothers  31     ,   Bear Stearns      35 .

,    ,      ,        ,       ,      .

        (FCIC)       Bank of America    ,   ,       ,  40:1   60:1    .  ,      ,    :     .     ,    .              .  XXI.             .           .         ,    .            ,                     .  , ,   ,   ,         .          ,            ,        ,     .

           .

                   - .               ,           .

      ,          .    ,     ,       ,     ,          .

,     ,   ,    ,           ,            .

             ,           ()  .  ,      ,    ,     ,          ,     .     ,        ,  ,                 ( ).          .    ,      .  ,  ,           ,           ,      .      ,          .          -     .            ,         .          ,    ,    .          ,                ,       .           I  1988,       .                      .

  I,  II,  III           (. .1. 6).




 3.  :        


    (. Committee on Banking Supervision of the Bank for international Settlements)   . ,   1974       ()       (G10).    2012 ,            , , , , , , , , , , , , , , , , ,  , , , , , , , ,    .     (European Banking Authority, EBA, .),    (European Central Bank, ECB, .),   (European Commission, ),    (Financial Stability Institute, FSB, .)     (International Monetary Fund, IMF, .)       .








 2014    40   .          ,               ,  ,   ,             .             ,   ,         ,                 (. .1.8).  ,   ,    ,     .

      ()   550  ( 20. .).








 .1.9, 1.10        (): ,  I,  II,  III.          ,     .  ,        ,   S&P 500.

            ,     .   ,                ,           .  ,             ,   .           ,        (FSB)      (G20).           ,       ,         40  ( .)

1. 19741986  ;

2. 19871998    ;

3. 19992008    ;

4. 20092011   III;

5. 20122014  - III.

1.                 ( , ),         ,  ,  .    ,           01  1975 (concordatum  , .).              ,   .

2.           (1987).         ,       ,                 ,   19701980- .       1988, ,   I ( I).

      I       1998 .           .

   I                 .

  :

          .   ,     ,        ,    8%      ,    ,          ,     ;

      ()      .          ,       : 0, 20, 50  100.   ,   ;

  ,     ,    :  1       ;  2    ,       ,  ,          ..          .

  ,   I   ,    :     ,      ;     ,      .  ,  ,                  .      2004        II.          1999.,             .       .             .   19992008 S&P500    10001500       1997  (. .1. 10).          II  2004 ,           2008 .

   II                        .

      .

       3 Pillars, (Pillar  , . .1. 11):

)Pillar 1        :     8%  ,      I                ,    ,    ;








)Pillar 2          ,   :     ,  ,             ;

)Pillar 3      :         .

           :   (standardized approach),         ,   ,       .

             ,        ,    .

4.   ,             III.        II     20072009             .     III  ,          (   ,   ,   ,  ,  ),   ,      ( . leverage   :     ),     :    (Liquidity Coverage Ratio, LCR)        .  ,      -       -.

5.     - III,   III           ,     2012  2014.        ,       III,       .                     .           ,       ( 2012);     ( 2012);        ( 2013);      ( )               III ( 2014);        ( 2014)  .

                       1974  2014,        :

1.  ;

2.  ;

3.  ;

4.  ;

5.    ;

6.  ;

7.  ;


     


  

  ,            ,      .                 II    III.             ,    ,   ,   ,    ,        (Internal Rating-based Approach, IRB-approach),        ,     .

           I.        :  (0%),   (20%),  (50%),  (100%).       (IRB, Internal Rating-based Approach, IRB-approach)     2005.  IRB      :      (EL, Expected loss),   (PD, probability of default),      (LGD  Loss given default),   (Exposure of default, EAD),   (M),  . (. .1. 12, )

 III ( 2009.)         -    (-  , systemically important financial institutions, SIFI). SIFI      .   ( 1,25)   ,  ,   SIFI,     ,    ,        SIFI   ,   SIFI     .           ,    IRB ( 2006.).      ,          .  IRB    ,    ,   .

      ,    IRB    ,      (20042005.).








           .   ,                  .                ,     ,                      ,                       .


 

          ,    ,  .                   II ( 2006.).

       :    ,               .

     ()   .    ,         .

       ( III)       ()     ( 2014.),      25%  (CET 1),   ,      SIFI.        15%  CET 1.

   II (bcbs128, 30  2006.)             300%-      400%   .           Basel III           ( 2013.).

        ,       .    ,            20082009,               2014 .


  

                   .

             ,  ,    .          (I, II, III).

                  .     (  )     1989  JPMorgan    RiskMetrics [RiskMetrics (1996)].  ,            7     ,      Basel I     ( 1996 ).    ,   Vasicek           12      .








  II          Value-at-Risk (VaR)  ,    ,  ,                  , ,  ,     .     ,   III,       ( 2012.),       VaR    (Expected shortfall, ES).               99%     97,5% ( 2013 ).     ( 2012.)        ,   ,                    .








-                 ,           (  ).                   : ,    (HFT),    ; ,    (HTM)  ,      (AFS),     .


  

       ,       .       ,             .                  1989,           10   ( 1998.).          ,     (  -    1994 . ( ).          ,  ,         ,            .   ,          II ( 2005.).

      ,            (.1.14).

  II ( 2006.)          :    (BIA),    (SSA),   (SA),     (AMA). SSA          ,    .     (BIA, SA)   ,             . ,






: GIi     i-  ,       ;

?i      i-  .



AMA (advanced measurement approaches  AMA)          .     AMA  99,9%,     (99,9%),      (99%).

 AMA,              .                 .      .     ,        ,                   .  ,          ,   ,         .

            .                     ,    .  , ,       , SMA     ,       ,    . SMA    - (Business indicator, BI),  ,     ,    ,      .

               AMA   SMA.

  .       :    (2),    (3),    (4).       .       :    ,    ,    .          6, 7, 9. 1 10.1,       .   III     ( 2009.)   ,     ,          .








     (Liquidity Coverage Ratio, LCR) .1.15),        (Net Stable Funding Ratio, NSFR .1.16).








   (Liquidity Coverage Ratio, LCR)     1-  (100%)   2-  (85%),     1-  2-         60%    40%,  (.1.16).








          (. .1.18)   75%.

       (, . Net Stable Funding Ratio, NSFR)                  .








  NSFR         . ,                (IRB)  II. , -      NSFR    ,    NSFR     (      ).

-     .      ,    ,       (. .1.19).








      ,      .   :

    .

  .

     (unsecured wholesale funding).

        (haircuts).

1.                 ,       .

             .          :    , -,     III,    III    .

         ,      ,     ,      :   (,  ), - ;   (copula);  (   -).

       (     ),    II ( II  Pillar II)   -. - Pillar II                 .  II    -,              ,        ().        -  ( 2013.),           IIILCR  NSFR.

               I,    1988.     .  1   ,     ,  2      (,  30 ),       5 .  I      Capital Adequacy Requiremen, ReCAR,            . CAR      ,     (RWA)   ,  .   4%      8%    ( 1  2).  II ( 2006.)        .      CAR,    RWA  ,    .

 III,    20072009  ( 2009.),      (.1.20):

-,       1 (CET1),    ,  ,             ( ,              ).  CAR   CET1     4,5%,    1(CET1)  6,0%  2019. -,          .           .     ( )      10 .   ,       20082009       (.1.20).








-,   3      . -,     :

          ()  1%  3,5%;

  ()       2,5%,          , (,  )         -,                  (    (Non-performing loan, NPL)        ;

                02,5%,              ,                        (. 1. 21)         CET1.

 ,   III           2008 ,          ,        .








    II,  III           ,      ,        ,         .            (.1.22).








                        ,      ,       . ,            . ,      ,     ,  II   III.                (   ),               ,    ,    (  )  .








        , ,         .                  (.1.23).








          (),              ,     (.1.24).  ,      " III",     2008 ,            ,     (.  2.)

       ,     ,       ,       -     .

            3%, ,           .








   ,          1  2015 .           2018     ,          2017    .

        ,  :

  ;

 - ;                  RWA (,  ).

          3%    .  ,    Moodys,   -20          3%.

 4.                        .             ,            ,       -  -     ,  ,      .  ,                 .       :

2.           ,    ,  (Key Performance Indicator, KPI)    ,        ,  ,      .

         1  1999 .        20052006     2014 .

     ,   III   2010  ( 2010.),        .    ()     ,     .   ,        -,   .

     ,     ,     .           ,     .        ( 2012.).

       ,       .      ,    ,      .         , ,     (,         ).         ,       ,      20072009 ,        .      ,      ,                              .  ,        .

     20072009    .     ,   .    ,          . ,    (RBS)    ,      .  2008    2013 RBS      ,          -.

,  RBS,              ( )  ,     .       (    ),         3       ( ,            ,  ,    ,         .

             20072009. ,   ,      .    ,   ,    - ,      .        ,     .           -                     ,    -,       , ,  ,    .          2014     :    N 154- "                       .           -       KPI  (Key Performance Indicator)             -.

            .   ,      +/ 20%   ,      ,    .       ,         .   ,          ,     .               .          ,   ,      (+/ 25%),                .

    20072009,        ,  ,         ,               ( , SIFI).           SIFI         1%  2,5% (  3,5%)  CET1.   ,          SIFI,    ,             (          20072009 .

   ( )        .    II     Pillar III (-III   ),             .   ,  ,       ,    .

  ,       ,     .   ,        ,   .           ,       ,   ,            .

,      ,     .            , :

2. ,   ,  , ,   ,    ,   , ,     .

          (Pillar III),        5-     Post-Basel III.               .                .         ,        ,         ,     ,     -  (RCAP),          .       1997            .         2010           .

       ( III)                        (Regulatory Consistency Assessment Program, RCAP,  2012 ).

 2015.           .             26  (, , , , , , , , ,  , , , , , ,  ,   9  ).

      (LCR)  9 : , , , ,  , ,  ,   ;      (    LCR);   2016.            LCR.  5.       .

   RCAP                     () :

1.          (-LCR)         01.01.2016   70% (     10 . .   100%  01. 01. 2019).

     III       ,    ,    III,                            ,     ,     ().

              ,                         ,      .  ,                     .

2.  ,        -,      ,  :       (      ,   )     ,                 ,           ..

3.    ,     ,      II,   III.  ,        :

I.             ,              ,          ;

II.           ;

III.       ;

IV.            (     ,      ,         3  4)     (         3%);

V.       -  -,     , ,          ()  ;

VI.         .

4.    .

 ,           () ,        ,  :

            ,      01. 01. 2013;

     ,   ,         ,     ,           ,   ,     100%,       (4);

   100%     ,   ,    50% (      );

   150%   ,    ,    7;

   1000%       1250%      (     )   ,   ,    ,           ()  ,    ;

          ;

                 ,   ;

    .

5.       2  3  II        8   3951                                 ,            (LCR)  ,   3    II.

6.         ( )      (, . Internal Capital Adequacy Assessment Process, ICAAP), ,   ,          ,                ,             ,     ,  .

7.           ,    ,   .

8.       ,          III:

         ,  :

          ,           ()  ,

      ,           .




 4.    


      ,                  01. 01. 2016    :

            5,0%  10,0%   4,5%  8% ;

           ,    ,  100  75%;

            50  35%;

   ,    ,          ,  150  100%      .     

  RCAP           . ,           III,            (LCR).

          ,      ,  : , ,    .

    RCAP     .                  III                 RCAP,        ,    RCAP,  ,         RCAP,       ()   .

   ,                .  ,  2017. :

                 3    II;

            ;

               ;

            ;

    (leverage)      2018 ;

      (NSFR)         (     2018 );

        ,   ()             ,       .              ,    ,         ,  ..,          20182020.                  ,        ,            .

 ,         ()                   ,        ()        ( ) .   ,         ,     .

         ,     ,          , ,    ,   :

1.    03. 12. 2015 510-       ( III)    .

2.    01. 12. 2015 3872-         30. 05. 2014 421-       ( III).

4.    03. 12. 2015 511-        .

5.International convergence of capital measurement and capital standards (June 2006).

6.Revisions to the Basel II market risk (December 2010 (updated February 2011).

7.Basel III: A global regulatory framework for more resilient banks and banking systems (December 2010 (rev. June 2011).

8.    18. 11. 2015 3851-         28. 12. 2012 395-       ()   ( III).

9.    28  2017. N 180- "   " (   ).




  .


   .

   ,     (https://www.litres.ru/sergey-ivanovich-min/transformaciya-bankovskoy-biznes-modeli-aktualnye-biz/)  .

      Visa, MasterCard, Maestro,    ,   ,     ,  PayPal, WebMoney, ., QIWI ,       .


