Year: 2024
Type: article
Abstract: A new methodological approach to forecasting stress periods in the banking sector based on the use of logistic regression is considered. The model takes into account the critical shortcomings of traditional banking stability indices, which are mainly descriptive tools and do not have the predictive potential necessary for proactive risk management. It is hypothesized that existing macroeconomic and bank performance indicators cannot adequately predict the stability of the banking sector, since they mostly reflect previous and current conditions, rather than future risks or stress periods. Using annual changes in key bank balance sheet indicators, the proposed model provides an effective forecasting system with reliable performance indicators. A key feature of this research is its ability to identify the most significant indicators contributing to stress in the banking sector, especially under martial law. The model identified other critical factors of bank activity that significantly affect the level of stress, including capital adequacy, liquidity ratios, and the structure of assets and liabilities, which should be prioritized in the monitoring system. The forecasts of stress periods obtained using the model which demonstrates significant correlation with the indicators of the Financial Stress Index (FSI) of the National Bank of Ukraine, confirming its reliability. However, such a model goes further, offering practical conclusions that allow regulators to anticipate stress events, and not just analyze them retrospectively. In addition, the research offers a practical method for using open data provided by the NBU to conduct such forecasting researches, ensuring transparency and reproducibility. By integrating publicly available datasets, the study demonstrates a scalable approach that can be adapted to other contexts. The research results contribute to the field of financial stability research by bridging the gap between descriptive analysis and predictive modeling, providing regulators with a powerful tool for timely interventions and mitigating systemic risks in the Ukrainian banking sector during periods of heightened uncertainty
Source: SCIENTIA FRUCTUOSA
Author: Volodymyr OMELENCHUK
Institution: State University of Trade and Economics
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4405420415