Analysis of the Albanian Banking System in a Risk Performance Framework

7/28/2019 Analysis of the Albanian Banking System in a Risk Performance Framework

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-1-

AnAlysis of the

AlbAniAn bAnking

system in A

risk-performAnce

frAmework

03

(2

6)2011

i kau*


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* Irini Kalluci, Research Department, Bank of Albania.email: [email protected]

Views expressed in this paper are those of the authors and do not necessarilyreflect those of the Bank of Albania.


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contents

Abstract 5

1. Introduction 8

2. Financial ratios analysis, using the modified DuPont model 9

3. Matrix analysis of banking system performance 24

4. The risk index 31

5. Conclusions 38

References 40

ANNEX 42


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AbstrAct

The banking industry is the most important segment of the Albanianfinancial system and, for that reason, it requires more attention whenit comes to financial analysis. This paper handles theoretically andanalytically some indicators of risk and performance, and for the firsttime, the methodology of measuring a risk index for the Albanianbanking system is presented. The aim of this paper is not simply toanalyse financial ratios or measures of risk and return, but also to

suggest some indicators and an index that may be used by supervisorsduring their work.


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list of AbbreViAtionsAva ma

AU A Uza

b bu

bVe b Vau equ

col c la

eA ea A

eAer ea A equ ra

eAr ea A ra

eAt ea A ta

em equ mu

er e ra

ie i e

inir i n-i ra

ioA i A

ioe i equ

ir i rvu

itir i ta i raleA la ea A

llp la l pv

neir n ea i ra

nenii n ea n i i

nenir n ea n-i ra

nie n i e

nieA n-i ea A

nii n i i

niioe n i i equniir n i i ra

nirtir n-i rvu ta i ra

nim n i ma

ninir n i n-i ra

nioA n-i A

nioe n-i equ

nir n-i rvu

nitir n i ta i ra

nnii n n-i i

noi n oa i

nreA n ru ea A

pl pa la


7/44

-7-

pm p ma

reA ru ea A

roA ru A

roe ru equ

t ta

tA ta A

tieA ta i ea A

tioe ta i equ

toe ta oa e

toi ta oa i


8/44

-8-

1. introdUction

r, a a qu u aa a av 2007, a a a u a a a aa a a a a a , a , aua. t au u uv a a auu -a aa a, a. taa a u a a a a a,a ua a uv. d aa aaz a a, a u aua uv , a v aa, a v, Aaaa .

t roe a u dup a a a a. i , a a uu a aa aa a u. t

u a aua a r i Aaa a , a v haa a ha (1988) a a a au. i u a.


9/44

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2. finAnciAl rAtios AnAlysis, Using themodified dUpont model

mau a aaz a a v a a v a a aa ua a a, a v aa a a a . fu, a aa aaa a u a a a a u va v uu.

2.1 the dUpont model At A glAnce

t a au a aa aa aa a ( u) a u qu (roe), a v v a a, a v.

t dup m a 1919, a uaa a a u a a a a a a aa u qu a a aa , a . t a a v a a a v a u: , a u a aa a aa a a u a u aa; , aa aa uu u a a a a v a a (wa, 2007). o ap s Ja u u , t dup a a vuaz a a v a .

t dup (qua) a roe va a:


10/44

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f a:

i a, u qu a ;u a (roA) a aa va ( aqu u - em):

ROE = ROA * EM (1)

s a:

t a roe a roA , v a (pm) a a uza (AU):

ROA = PM * AU (2)

t a:

A a a a a, a ua a aa vu a a aa aa a u.

2.2 the methodology of decomposingroe for the bAnking sector

c (1972) a a aa a a dup a. t a a a u a ua, uv a v a. i a u a v a u u. taa a a a , a ua a aaza av. A a qu, aa a a a a a, a a a a aua .

c (1972) a a a a a au a a ju

a. i a, u a aa a u a u a qu a a a aa aa a a


11/44

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a. A a qua (3), a a aa v a. A vau roe uua a a a a a ua a. bu a vau a a au a v a qu ( a aua) a v a . o a, uau av vau a qua u u v vau roe.

(3)

i ua, av a ua u qu a a , a aau a qu u, a (em a roA)1, roA u (pm a AU)2.

(4)

t qu u (em) a a a aav avaa u qu v a a, a v vau qu / aa a v a aaza. i, em v a a aa va a, a (1-1/em) = d / ta a, v a a. A vau qu ua a a a ( a a a a u a a u a ).

t u a (roA) a a:

(5)

1 s qua (1).2 s qua (2).


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t a roA v a a au a . A vau roA a a a aa =, u aa u.

i a aa a, roA a roe.ev u a a , a a aa aa v a a a v a a, a . w roe v a a a a , roA

. ta a a .

d au av roA a, a aa aa a a a :

(6)

a

(7)

t a a a aa a a a . c (1972)u a ua a a , a a a a , a a u a.

t , a uza a (AU), a a a a (ava)a, a a a a a a u ava a.

A a aa a u a a, u a a : u k a mada (2002), a


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u V a. (2004). b a aa dup . i aa au, a a dup a u, a v a a aa a a.

ia, k a mada (2002) ua roea a a a roA a em. Aa, a roA a, a a a a a ,

a qua :

ROA = AU ER (8)

, AU av- a uza a; a era a. w a (AU) aa a aa aa, (er) qua aa.

f qua (8), a AU a er3 a :

(9)

and

ER = = (10)

t a a a a a ava a a, a aa, a a a u u aaz. tu roAa a:

ROA = AU ER = (11)

A a, v a a a :

3 Au a a u a, a l Ava.


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(12)

a

(13)

t eAr a a a a a a a v a a a av -a a. t a u v - -

(b) a a aa.Uua a av vau, a - (u , a u, a a, .) v - ( , aav , ,.). t a (nim) a a a aau a a a a a u a v

a av. s a au a u a a u, u aaz a, a :

(14)

reA ava u a a ( , u), v a ava a a v a, v u, a. col a a ava u, a a aa. t a a (leA) au av (.. -a a v a a).

fa, roA a roe a a:

ROA = (REA-COL*LEA) * EAR + B - (15)

ROE = [(REA-COL*LEA) * EAR + B - ] * EM (16)


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2.3 performAnce AnAlysis of theAlbAniAn bAnking system, Using the

modified dUpont model

ta 1 a u qu a a 2005-2008, Aaa a a a a u, a d a a.

Table 1. The ROE and ROA comparison for some countries of the region

ru qu, % (roe) ru a, % (roA)

cu 2005 2006 2007 2008 2005 2006 2007 2008

Aaa 22.4 20.2 20.3 11.4 1.4 1.4 1.6 0.9

ba ahzva

6.2 8.5 8.9 4.3 0.7 0.9 0.9 0.4

buaa 21.4 25 24.8 23.1 2 2.2 2.4 2.1

caa 15.1 12.7 10.9 10.1 1.6 1.5 1.6 1.6

cz ru 26.4 23.4 25.4 21.7 1.4 1.2 1.3 1.2

maa 7.5 12.3 15.0 12.5 1.2 1.8 1.8 1.4

m 4.2 6.8 6.2 -6.9 0.8 1.1 0.7 -0.6

raa 15.4 13.6 11.5 18.1 1.9 1.7 1.3 1.7

sa 6.7 10.0 10.2 10.7 1.1 1.7 1.7 2.1

g 15.9 12.7 14.8 3.0 0.9 0.8 1.0 0.2

ia 9.7 14.3 12.8 4.8 0.7 0.8 0.8 0.3

su: ga faa sa r (imf), o 2009; ba Aaa Aaa.

A a aa, Aaa a a u

u qu, a ua qu. A a , a a a a u a aa a aa u vu u v a Aaa a a avaa aa u a a, a a qu v av a. hv, 2008, a av aa. i u a aaz vua a, u a, a 2008, u a a av u a

a qu a u ( u a av a aa a 4 a 2007 8 a 2008)4.

4 s ga 7 a 8.


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s 2.2 a a aaa u aa a ,a k a mada (2002) a V a. (2004), a u qu a (roe). taa a v a, aua Aaa a , a a v aa . t a a u

Aaa a a ( vaza a, aqu a a, a, ua a a uv va ua qu,

a u a v, a v,.) av uu a a a aazuqu.

ta 2 u qu au a, a a dup a a u k a mada(2002) a V a. (2004). t aa aa

a Aaa a 5

. t aa (a a, a qu, a a, aa) a ava, a a a a uuav a a.

5 ta 5 a u a a Aaaa u a 2001-2008, aa aa a u au u aa u qu.


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Table 2. The ROE components through years 2001-2008

faa a 2001 2002 2003 2004 2005 2006 2007 2008

ru equ ( %),roe= eAt/bVe

23.45 19.20 19.53 21.10 22.43 20.17 20.32 11.35

ru A ( %),roA= eAt/tA

1.58 1.20 1.24 1.28 1.41 1.36 1.48 0.91

t roe, roe=pm*AU*em

p ma ( %),pm=eAt/toi

15.99 14.23 14.29 15.80 17.24 17.67 17.95 10.43

A Uza ( %),AU=toi/tA 9.90 8.46 8.66 8.08 8.15 7.70 8.24 8.76

equ mu ( ),em=tA/bVe

14.81 15.94 15.78 16.54 15.96 14.82 13.74 12.42

t roA, roA=AU-er

A Uza (%),AU=toi/tA

9.90 8.46 8.66 8.08 8.15 7.70 8.24 8.76

e ra (%),er=toe/tA

8.32 7.26 7.42 6.80 6.75 6.34 6.76 7.85

t roA, roA=nim*eAr+b-llp/tA-t/tA

n i ma(%), nim=nii/eA

3.35 2.91 3.23 3.08 3.75 4.22 4.35 4.13

ea A ra( %), eAr=eA/tA

91.00 94.21 95.85 94.80 93.33 93.19 93.34 92.95

ba bu (%), b=nnii/tA

-0.77 -0.85 -1.11 -0.93 -1.45 -1.69 -1.62 -1.68

la l pv taA a ( %), llp/tA 0.23 0.33 0.25 0.26 0.19 0.48 0.53 1.05

ta ta Aa ( %), t/tA

0.47 0.35 0.50 0.45 0.46 0.41 0.44 0.18

t nim, nim=reA-col*leA

ru ea A( %), reA=ir/eA

8.39 7.73 8.07 6.96 6.84 7.05 7.72 8.06

c la (%), col=ie/pl

5.33 5.17 5.23 4.14 3.28 3.05 3.70 4.30

la ea Aa ( %), leA=pl/eA

94.65 93.26 92.47 93.80 94.36 92.90 91.15 91.59

su: ba Aaa, au aua


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t a u qu (roe) uua v aaz , u a a a a 19-23% v ( 2001-2007). w a,v, v a a a 2008. t ( a qua (3)) a a a aaz a uu 2008, a vu a ( 2003-2007, a a ua a ava 21% a). t a aa a 2008 7.3 , a aua 26.5 . b a, ava a qu a a,u a a va u a, a ava 19 2002-2008. t aua a a

qu a 31.6% a 2008. Aa, aav a roe .

hv, u a a au roe (ga 1).

t a (a a a/a a )a uu 2003, u u a v 2008 a a a a av au roe a. cu a, ,a aua a a a a 26.5%, a,

, aua a a a (26.5%) a. A a a a a a a (a u ) a a

Graph 1. Graphical display of the components of return on equity

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

2001

2002

2003

2004

2005

2006

2007

2008

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.016.0

18.0

EM (right axis) ROE PM AU

Source: Bank of Albania, authors calculations


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a a ( u v) a a a ( -v).

ma, a a a uza 8.24% (2007) 8.76% ( 2008) v. s a a avaa u a ( uua 8 a 9% 2002 a 2007), a u qu a.

t qu u6 (em) a u a 2008, a a a 2005. t a

u a aua a aqu (ava 28% v 2005-2008, a avaaua a a 19% v a . t vau qu u a 2008 a a v a 12 v aa. t aua a a qu au 32% a 2008 a u au a a v aazaa aa u ua a a

a a. A 2.2, qu u (em) u aua a a , a a ( ta 3). t a a a a ( a a a a a ava a a v qu), u a a a a 2007-2008. ta a a a a aa v a a , a a a v a a aa ua.

Table 3. The debt ratio of the Albanian banking system

2001 2002 2003 2004 2005 2006 2007 2008

d a ( %),1-1/em = d / ta A

93.25 93.73 93.66 93.95 93.73 93.25 92.72 91.95

su: ba Aaa, au aua

U , a a u a a roe 2008a a au a a a a qu u.

6 i Aua r suv da ba Aaa, a faa lva.


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n, u a a a, a, 2008 (ga 2).

t a u a (roA) Aaa a

a aa a a. ga, a aa va 1.2-1.6% 2001-2007; v, 2008 a 0.9%. l a a vu au a a a a a, av v a u a . i 2008, a aa vu a u a ,u aa u a a a vu,u au a u a .

fu, a aa roA(ta 2), u ga 3 a a.

t a (nim) a a a u aa a. du u aa, a a a a a v, a Aaa a a a a a a a

a. bu 2008, Aaa a a a a. w a 2005-2007, auaa a a a a

Graph 2. Graphical display of the components of return on assets

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

2001

2002

2003

2004

2005

2006

2007

2008

ROA AU ER



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a ( u a), vu 2008, a a 12%, a aua a a a a18%, u v nim a. t va a a aa , aau v, a a ( a a).

t Aaa a a v a. o ava, a a a90 a a a 2001-2008. t eAra a u 2008, v a a a a a u a, a, , u qu.

A , a u av. t aav a a u - vu v - . fu, -7, a av, a uu u a a a. f, ava uu, a vu a a a vu a

a a av. tu, a a7 caua a : n av + n aa oa . A a aua : n- n- ( a 5).

Graph 3. Graphical display of the components of return on assets

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

2001

2002

2003

2004

2005

2006

2007

2008

88.0%

89.0%

90.0%

91.0%

92.0%

93.0%

94.0%

95.0%

96.0%

97.0%

ROA NIM B LLP/TA T/TA EAR (right axis)



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a a v a - . o , a a a a u a aa av - av. i u a a 2008 u a a a vu a( 23.5%) u uu a ava aa a a , au 40% a .

t a a v a a a (a 0.5%) 2001 a 2007, u 2008 a a

a a 1.05%, a qu a a a qua. t a v v 2008( a 1.4 a 2007), a a u a a a au a a u a v u ua a ua, a ava a a (19%), u av a u a.

ta a a ava 0.5% aa, a 2008 0.2%, v a u a. t au vau a au a a a.

Graph 4. Graphical display of the components of net interest margin

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

2001

2002

2003

2004

2005

2006

2007

2008

89.0%

90.0%

91.0%

92.0%

93.0%

94.0%

95.0%

LEA (right axis) NIM REA COL



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i u, a a a a v v , a va 2008. t a , a aaz ( qua 14 a ga 4).

t u a a (reA) a a au ava a a a a .t a a a, a

Aaa a a v u (u a , .. ) av. d a, u v u a a a a a v a a

u a.

t u (col) a a a a a, u, a (2001), 1 a . t aj a a u ( ). t a v qu, a a qu au vau

a, u a au a a a a a ( au a aua a a 2005, a/ a a a aa ).

t a a a a a (leA) a va v . i 2008, a a a v a, u a, u aaz, a90 a a a a a aa .

fa, a a a a a 2008 u a a u aa (reA) aa v av a a (col) a a aa a a a (leA).


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3. mAtrix AnAlysis of bAnking systemperformAnce

A aav a aaz aa a u a aa V a. (2004). t auu a a aa a eaa , a a a aa a. i , uu aaa a a au , a a aa aa aa a

u a Aaa a .

3.1 methodology

V a. (2004) a a quaav ay

(=1,2,....), 2- quaav a

(aa a).

(i, j= 1,2,...n; i j) (17)

b a quaav a, a( ) a a a, a .

X =

= {xij} (18)

t a a (18) a aa a a a (

j

a a a j

a) a aua a: a v a v a v. t aa a aa a v ( aa), u aua a aa a.t a a a u a

aa a a aa a.


25/44

-25-

A quaav a a a aaz a u aa a a v u ua:

1. iu a a av, a a aa . t a a a au a a a u a, a av aa u. t a u ua: a a (tA), vau qu (bVe), a a(eA), a a (pl), .

2. ouu a a av, a a a. t a a a auu a a u u ua. t au u a: a a a (eAt), a a (toi), (nii), vu (ir), - vu (nir), .

t a a u a

v a aa a a, aa a:

A aua a a uu a, uu a.

A aua a a u a, u a;

A a quaa a a uu-u a, a uu a a ua.


26/44

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mAtr

ixno1

eagaf

a

(eAt)

y1

n

c(nii)

y2

i

vu(ir)

y3

n-

vu(nir)

y4

ta

ag

c

(toi)

y

5

eag

a(eA)

y6

taa

(tA)

y7

n

c(nii)

y2

12=y1

/y

2

neag

ni

ic(nenii)

i

vu

(ir)

y3

13=y1

/y

3

neag

i

ra(neir)

23=y2

/y

3

n

i

i

ra(niir)

n-

vu(

nir)

y4

14=y1

/y

4

neag

n-i

ra(nenir)

24=y2

/y

4

n

i

n-i

ra(ninir)

34=y3

/y

4

i

n-i

ra(inir)

taag

c(t

oi)

y5

15=y1

/y

5

pfmag

(pm)

25=y2

/y

5

n

i

taic

ra(nitir)

35=y3

/y

5

i

taic

ra(itir)

45=y4

/y

5

n-

i

rvuta

icra(nirtir)

eag

a(e

A)

y6

x16

=y1

/y

6

nruo

eagAsss

(nreA)

x26

=y2

/y

6

n

is

mag

**(nim

1)

x36

=y3

/y

6

ruo

eagAsss

(reA)

x46

=y4

/y

6

no-

iso

eagAsss(nieA)

x56

=y

5

/y

6

toalico

oea

g

Asss

(tieA)

taa(tA)

y7

17=y1

/y

7

ru

A(roA)

27=y2

/y

7

n

i

m

ag**

(nim

2)

37=y3

/y

7

i

A(ioA)

47=y4

/y

7

n-

i

A(nioA)

57=y

5

/y

7

AUza

(AU)

67=y6

/y

7

eagA

ra(eAr)

bvau

f

qu(bVe)

y8

18=y1

/y

8

ru

equ(roe)

28=y2

/y

8

n

i

ic

equ(niioe)

38=y3

/y

8

i

equ(ioe)

48=y4

/y

8

n-

i

equ(nioe)

58=y

5

/y

8

taic

equ(tioe)

68=y6

/y

8

eagA

equ

ra

(eAer)

78=

y7

/y

8

equ

mu(em)

**th

agaaud

wwa:nceaga(

26

)nctaa(

27

),(kauc,

2010).


27/44

-27-

3.2 some explAnAtions of the meAningof finAnciAl rAtios in mAtrix no.1

A u av, aa uu a a a. A vau nenii a a a a a a a , a ua ua a a a a v u a a a. A niir a a a vu a a a a, a

a u. t inir, itir a nirtir uau a a a aa a - vu. ga, a vau a (pm) a, a a a u a , u (a a a) aa a a .

i aa u a, a eAr a , a a a a a a v a

av. A qu u (em), a, a a av.

t aa uu-u a a a a aa , a, a, vau quaav a a .i a a a a uza u a a

v a a a u.

3.3 mAtrix AnAlysis of the AlbAniAnbAnking system performAnce

o a a a a a aa a aua, a ju a a .

U dup , u a, aa aa a a a uaa a a . i a .2, a


28/44

-28-

28 aa a (a) a 2001, 2005 a2008. tu, a a a a , a a a a a a .

i uu a, 15

pm ( a) a a a a a a:

x15

= x12

* x23

* x34

* x45

(19)

or,

PM = NENII*NIIR*INIR*NIRTIR =

(20)

ba av a, a a va a a u a a a aa a ( a a a aa a ).

f a, pm08 / pm01 = 0.652, a aa a a a pm u 2001-2008 ( qua 19 a a .2),v:

= 0.459*1.281*1.757*0.631= 0.652 (21)

h a au pm v 2001-2008 nenii a.suqu, a a , a a aa ua a v a a av au .

i u a, 68

eAer (a a qu a) a a a a a u a:

x68 = x67 * x78 (22)


29/44

-29-

or,

EAER = EAR*EM = (23)

sa, a aaz a a a a eAer (v 2001-2008) v a a au a qu u (em).

fa, uu-u a, 18

roe (u qu) a a a a a :

x18 = x12 * x23 * x34 * x45 * x56 * x67 * x78 (24)

or,

ROE = NENII*NIIR*INIR*NIRTIR*TIEA*EAR*EM=

(25)

Aa, a av u roe a a a :

=0.459*1.281*1.757*0.631*0.866*1.021*0.839= 0.484 (26)

A av, a nenii a a a au roe a 2008, a 2001. o a a av a a av roea nirtir, tieA a em .

i a a a u aaz a a a v a.


30/44

-30-

mAtr

ixno.2

eagaf

a(eAt)

y1

n

c(nii)

y2

i

vu(ir)

y3

n-i

vu(nir)

y4

taag

c(to

i)

y5

eaga(eA)

y6

taa

(tA)

y7

n

c(n

ii)y

2

nenii

51.9

%

(2001)

40.2

%

(2005)

23.8

%

(2008)

ivu

(ir)y

3

neir

20.7

%

(2001)

22.0

%

(2005)

12.2

%

(2008)

niir

39.

9%

(2001)

54.

8%

(2005)

51.

2%

(2008)

n-i

vu(n

ir)y

4

nenir

69.9

%

(2001)

79.4

%

(2005)

72.2

%

(2008)

ninir

134

.5%

(2001)

197

.5%

(2005)

302

.8%

(2008)

inir

336.9

%

(2001)

360.5

%

(2005)

591.9

%

(2008)

taag

c(to

i)y

5

pm

16%

(2001)

17.2

%

(2005)

10.4

%

(2008)

nitir

30.

8%

(2001)

42.

9%

(2005)

43.

8%

(2008)

itir

77.1

%

(2001)

78.3

%

(2005)

85.5

%

(2008)

nirtir

22.9

%

(2001)

21.7

%

(2005)

14.5

%

(2008)

eaga

(eA)y

6

nreA

1.7

%

(2001)

1.5

%

(2005)

1.0

%

(2008)

nim

1

3.4

%

(2001)

3.7

%

(2005)

4.1

%

(2008)

reA

8.4

%

(2001)

6.8

%

(2005)

8.1

%

(2008)

nieA

2.5

%

(2001)

1.9

%

(2005)

1.4

%

(2008)

tieA

10.9

%

(2001)

8.7

%

(200

5)

9.4

%

(200

8)

taa

(tA)y

7

roA

1.6

%

(2001)

1.4

%

(2005)

0.9

%

(2008)

nim

2

3.0

%

(2001)

3.5

%

(2005)

3.8

%

(2008)

ioA

7.6

%

(2001)

6.4

%

(2005)

7.5

%

(2008)

nioA

2.3

%(2001)

1.8

%

(2005)

1.3

%

(2008)

AU

9.9

%

(200

1)

8.2

%

(200

5)

8.8

%

(200

8)

eAr

91.0

%

(2001)

93.3

%

(2005)

93.0

%

(2008)

bvau

f

qu(bVe)y

8

roe

23.4

%

(2001)

22.4

%

(2005)

11.4

%

(2008)

niioe

45.

1%

(2001)

55.

8%

(2005)

47.

6%

(2008)

ioe

113.1

%

(2001)

101.9

%

(2005)

93.1

%

(2008)

nioe

33.6

%

(2001)

28.3

%

(2005)

15.7

%

(2008)

tioe

146.6

%

(20

01)

130.1

%

(20

05)

108.8

%

(20

08)

eAer

13.4

7

(2001)

14.8

9

(2005)

11.5

5

(2008)

em

14.81

(2001)

15.9%

(2005)

12.42

(2008)


31/44

-31-

4. the risk index

ga, aa v u a a ,a a u ua -av a. i vu aaz a Aaa a ; v u v a u a av. ba a a aaa a av, u a , a, qu , a a , aa , . A v a au a av, a r i a a a a u a a .

4.1 methodology

t r i (a au a Z-a, Z- Z-) a a va v a aa. r , u a a au ua a aa u, a a.t v a a vauv u. d v aua au au, vua a u a (u av, a a u). t aua a haa a ha (1988)8, v a

vau v9 ( a a a aa vau a qu, a a a vau a a vau a) a.

t r i v a a u a (roA), qu u (em) a aa va roA. i a :

8 la a a la a sava (1990), e a ka (1991),s a na (1993), na a s (1997), na (2005), a .9 i vau a a vau.


32/44

-32-

RI= (27)

:

ri r i (a a Z-a, Z- Z-);e(roA) ava () u a;cAp = em-1 qu a a;

roA roA aa va.

w a vau v ( ) au a:

= (28)

t (Z-) u aa va a a ( a ) u av a qu (e aka, 1991); a a a.

i u a a vau va a v aa (.. ua a a (a) a a ua) .ga, v ; a a a a v v a a a aav v. Ja (1998) u Z- uvv a a a v 1989-1992 nea, a a u a

u . h a u a u a uvv a a ava vau Z- (13.33) a qu a a vau v, a a a a (Z=8.71). ba lav (2006) au Z- 57 u au a . t aua 1997-2003 aava Z- ( a u u) a 50 U sa, u 2 ka a 11.6 Aaa, ava Z- a 57 u a 24. h a

ihk (2007)calculate the risk indexfor individualbanksof29ava a oecd u 1994-2004 a u a av a av vau (


33/44

-33-

u ava a 59.6) a av a(55.4) a a (46.5), a a typeismorestable.ihk(2007),usingagroupof29countries,12 av a , u aa a aaz a Z-(Z=32) a a (Z=89).

t aa v a vau va u a/ a . tu, aua Aaa a , ju a a au vau.A vau a

a, a a vau, a a a. s vau v a a vau v, a vau a a a a a a a vu.

i a a (a ) aaz a u a, a v aaza a a va roA, a (a ) a ( a a

). n u u u a , au a a a a a; roA a a a au a a a(a u vu ), va a aaau a, a aaza v aaa a a a a.

4.2 compUtAtion of the risk index forthe AlbAniAn bAnking system

f Aaa a, aua v a au10, u a u a-u a. i u az a a u aa a au u, u u v.

mv, u, aa u a a a Aaa a ( aa a

10 b a lav (2006); A (2009); Aa a. (2009).


34/44

-34-

a ba). f , a aua a Aaa a a a vau a d 2001-Ju 2009 .t aa a qua a a. t a a aa a a. t, aua qu a a , aa aa a ava vua aa (a a a a a a u a a).

t a aua ava roA a aa

va a u au a u au. t aua (ava) vau, a ava vau roA u a v , aa va vau u a a v. t aa a aua v a a aaua a a .

t aua ava vau roA aa u ava vuaa roA; aa va aa vaa a. t aa a a a v a a a , a u vua a, a aa a u ava roA a aa va a a a .

s aua Aaa a a a a a a a , u a. hv,uu u au a aua vau a , av aa . t vau roA a qua aua a a ava a a roA11 a qua, a a a a

11 Uua, aua vau, a a uau a u a a. s a u uu() vau , u a vau roAa aa ava a u roA a a.


35/44

-35-

a, a v (29).

e(roA) = (roA * ) (29)

e(roA) a ava () u

a a qua ;

roA

u a a a - qua, aua a;

a a a a aa, a qua ;

a - a a - qua.

t aa va aua a qua (30):

(roA) = (30)

ta 4 a a a a vau v Aaa a u 2001-2008 .

Table 4.The Albanian banking systems Risk Index and Probability of bookvalue insolvency

d2001

d2002

d2003

d2004

d2005

d2006

d2007

d2008

r i (ri) 9.0 10.9 7.8 9.2 7.3 5.8 9.4 7.2

Ava ri a dvau v 01-08

8.3 8.3 8.3 8.3 8.3 8.3 8.3 8.3

pa

Vau v ( )0.61% 0.42% 0.83% 0.59% 0.95% 1.48% 0.56% 0.96%

su: ba Aaa, au aua

t Aaa a a uua v, u ava v u 2001-2008 ( vau ad v a a a) a


36/44

-36-

8.3. A 2008, vau a a ava a a. i qua 2009, vau 5.1 aaa a u. tu

Aaa a a. hv, qua 2009, a v , a a ua. t a a a a uu av a a v u a .

ga, qu/a a a a v

(.. a v a vau ). t a au a a ava roA , a, a qua qua 2009. i qua, av ava roA au a. i a, va roA u a a 2008 a qua 2009. A qua, aa va

a, v (ga 5).

l a u , a a a qu u u ava , uua 1 a 2 v .

Graph 5. The components of Risk Index for the Albanian bankingsystem

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

Dec2001

Jun2002

Dec2002

Jun2003

Dec2003

Jun2004

Dec2004

Jun2005

Dec2005

Jun2006

Dec2006

Jun2007

Dec2007

Jun2008

Dec2008

Jun2009

0.0%

1.0%

2.0%3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

Standard deviation E(ROA) CAP (right axis)



37/44

-37-

d a a vau vu a aa (a a qu ), vau a u Aaa a ( ga 6).

Graph 6. The Albanian banking systems Risk Index and Probability ofbook value insolvency

0.00

2.00

4.00

6.00

8.00

10.00

12.00

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Risk index Average RI (Dec 200-Jun 2009)Probability of insolvency (right axis)


Dec2001

Jun

2002

Dec2002

Jun2003

Dec2003

Jun

2004

Dec2004

Jun

2005

Dec2005

Jun

2006

Dec2006

Jun

2007

Dec2007

Jun

2008

Dec2008

Jun

2009


38/44

-38-

5. conclUsions

du a, Aaa a aaaz a a a av, v a a a, a a , ,a u a v a a, a a a a quaav a quaava. i 2001-2007, Aaa a a a u qu a a, aa u . t a a Aaa a a av, u a aa u. hv, 2008 a a v aa , Aaa a a a av a a aaa. t u qu a a a , qu u a u a. t a a a qu a a a a a a, a a a qu a ua v - -

a a v a a a.t a u 2008 a a u a u a v a a a a a.

t a a , , a qua vau aua Aaa a v d 2001 Ju 2009. t

vau v aaz, u u a a a aaz a , a a roA va. nv, a a aa ua, Aaa a aa, a a qu aa a.

t u, a ju a aa aa a Aaa a , a a au a a, a aaz av a, aa aa a a uv.


39/44

-39-

fuu a a u a , a a a a a roe a roA u . i a, a , a qua a a a aua va a a a a qua.


40/44

-40-

references

1. Agoraki, Maria-Eleni, Delis, Manthos D. and Pasiouras, Fotios (2009),Regulations, competition and bank risk-taking in transition countries. MPRAPaper, Unpublished.

2. Ariss Rima T. (2009), On the implications of market power in banking:Evidence from developing countries, Journal of Banking and Finance.

3. Bank of Albania, Annual Reports of Banking Supervison, 2001-2007.

4. Beck, T. and L. Laeven (2006), Resolution of Failed Banks by Deposit

Insurers: cross-country Evidence, World Bank Policy Research WorkingPaper, no. 3920.

5. Blumenthal Robin G. (1998), Tis the Gift to Be Simple - Why the 80-year-old DuPont model still has fans., CFO Magazine, January 1998.

6. ihk, M. (2007) Systemic Loss: A measure of financial stability. CzechJournal of Economics and Finance, Vol. 57.

7. Cole, David W. (1972), Return on Equity Model for Banks, The Bankers

Magazine, Vol. 155.

8. Eisenbeis, R.A. and Kwast, M.L. (1991). Are Real Estate DepositoriesViable? Evidence from Commercial Banks, Journal of Financial ServicesResearch, March.

9. Hannan, T.H. and Hanweck, G.A. (1988). Bank Insolvency Risk andthe Market for Large Certificates of Deposit, Journal of Money Credit andBanking, Vol. 20, No. 2, May.

10. Hesse, H. and ihk , M. (2007): Cooperative Banks and FinancialStability, IMF Working Paper, WP/07/2.

11. Jordan John S., (1998). Problem loans at New England banks, 1989to 1992: evidence of aggressive loan policies, New England EconomicReview, January/February.

12. Kalluci, I. (2010), Determinants of net interest margin in the Albanianbanking system, Working Paper Series 2010, Bank of Albania.

13. Kimball, Ralph. (1997). Specialization, Risk, and Capital in Banking.New England Economic Review, November/December.


41/44

-41-

14. Koch, Timothy W. and MacDonald, Scott S., (2002). Bank Management5-th edition.

15. Liang, J.N. and Savage, D.T., (1990). The Nonbank Activities of BankHolding Companies, Federal Reserve Bulletin, May.

16. Namy, V. (2005). Overall Lebanese Banks Performance: A Risk Return Framework, International Business & Economics Research Journal,January.

17. Sinha, Pankaj, Taneja Varundeep Singh and Gothi, Vineet. (2009).Evaluation of riskiness of Indian Banks and probability of book valueinsolvency, MPRA Paper No.15251, University Library of Munich,

Germany.

18. Sinkey J. Jr. (2002). Commercial Bank Financial Management in theFinancial-Services Industry, Sixth Edition, Prentice Hall.

19. Sinkey, J.F. Jr., Nash, R.C. (1993). Assessing the Riskiness and Profitabilityof Credit-Card Banks, Journal of Financial Services Research, June, Volume7, Number 2.

20. Vensel V., Aarma, A., Vainu J., (2004). Bank Performance Analysis:Methodology and Empirical Evidence (Estonian Banking System, 1994-2002), Working Paper Series.

21. Walker John S., (2007), Using the Du Pont Equation to Improve YourBanks Performance, Ambassador Financial Group Inc. Research, October2007.


42/44

-42-

Annex

Graph 7. The distribution of ROE by the number of banks, for theAlbanian banking system

2

4

6

8

10

12

14

16

18

Dec2001

Dec2002

Dec2003

Dec2004

Dec2005

Dec2006

Dec2007

Dec2008

Numberofbanks

ROE


43/44

-43-

Table5.In

comestatementofAlbania

nbankingsystem(

inmillionleks)

2001

2002

2003

2004

2005

2006

2007

2008

iv

u(1)

22,4

46

23,5

38

27,8

38

26,3

94

29

,961

35,9

89

48,6

36

60,1

59

ie(2)

13,4

84

14,6

91

16,6

88

14,7

31

13

,549

14,4

52

21,2

22

29,3

81

n

c(3)=(1)-(2)

8,9

62

8,8

47

11,1

50

11,6

63

16

,412

21,5

37

27,4

13

30,7

78

n-

vu(oagcf

hacv+e

adac)(4)

6,6

62

3,8

20

3,3

41

5,9

15

8,3

10

6,1

87

6,9

62

10,1

64

n-

(efhac

v+

oag

+e

ada)(5)

8,9

30

6,5

68

7,3

26

9,6

22

15

,092

15,4

28

17,8

92

23,6

84

n-c(6)=(4)-(5)

(2,2

68)

(2,7

48

)

(3,9

85)

(3,7

06)

(6,7

82)

(9,2

41)

(10,9

30)

(13,5

20)

lav(7)

668

1,0

63

908

1,0

39

8

69

2,6

15

3,5

44

8,4

54

ta(a

udgc

a+

ca)(8)

1,3

72

1,1

42

1,8

02

1,8

11

2,1

63

2,2

30

2,9

62

1,4

68

eagaf

a(9)=(3)+(6)-(7)-(8)

4,6

54

3,8

94

4,4

55

5,1

06

6,5

98

7,4

51

9,9

78

7,3

36

suc:ba

fAaa,auhcacua


44/44

cip kaa bk ta

i kauAa Aaa a a-a a- // kau i - ta:ba Aaa, 2011

-44 ; 15.3 23 . (aa u ..)

b.isbn: 978-99956-42-36-5.

You may find this paper in the following address:

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Documents

Analysis of the Albanian Banking System in a Risk Performance Framework