THE RELATIONSHIP BETWEEN THE LEVEL OF RISKS AND PROFITABILITY JSC RUSSIAN AGRICULTURAL BANK

DOI 10.32651/238-89

Issue № 8, 2023, article № 14, pages 89-94

Section: Problems of agroeconomic researches

Language: Russian

Original language title: ВЗАИМОСВЯЗЬ УРОВНЯ РИСКОВ И РЕНТАБЕЛЬНОСТИ АО «РОССЕЛЬХОЗБАНК»

Keywords: RETURN ON EQUITY, LIQUIDITY RISK, CREDIT RISK, MARKET RISK, REGRESSION ANALYSIS

Abstract: In conditions of various economic and financial difficulties, which are accompanied by uncertainty, it is necessary to regularly monitor changes in the market and continuously optimize the risk management process using various financial instruments. Increasing the level of profitability, minimizing losses are the main attributes of the stability and success of banks. The study of the relationship between the level of risks and profitability allows us to identify the main factors that significantly affect the value of profitability, which will provide the bank's management with tools aimed at finding reserves and improving the effectiveness of the bank's activities. Indicators of liquidity risk, credit and market risks were selected to build a multifactorial nonlinear model of the relationship between the return on capital of JSC Russian Agricultural Bank. The resulting model describes the dependence of the bank's return on capital on the following factors: the current liquidity ratio, the level of stability of resources, the ratio of highly liquid assets, the indicator of dependence on interbank risk, the indicator of the share of overdue loans, the indicator of the amount of reserves for loan losses, the indicator of interest rate risk, the indicator of stock risk. The 73% return on equity is described by selected risk factors. Each factor has a certain impact on the return on capital, and in each case the dependence is nonlinear. The most significant indicator is the size of reserves for loan losses, with its increase by 1%, the return on equity will increase by 1.54%. This is followed by an indicator of interest rate risk, with an increase in the value of the indicator by 1%, the return on capital will increase by 1.09%. With an increase in the current liquidity ratio by 1%, the return on equity will increase by 0.42%. An increase in the stock risk index by 1% will lead to a decrease in the return on capital by 0.12%. Based on the model that highlights the level of stability of resources, the ratio of highly liquid assets, the current liquidity ratio, the interest rate risk indicator and the indicator of the amount of reserves for loan losses of JSC Russian Agricultural Bank, the directions of risk reduction are proposed.

Authors: Kniazeva Elena Olegovna, Alekseev Viktor Vasilevich, Lvova Marina Viacheslavovna, Krasnov Viacheslav Konstantinovich, Ivanova Liudmila Mikhailovna