KAUNAS UNIVERSITY OF TECHNOLOGY LITHUANIAN ENERGY INSTITUTE

AURELIJUS CVILIKAS

THE ASSESSMENT OF BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCY IN RETAIL BANKING

Summary of Doctoral Dissertation Social Sciences, Economics (04S)

2012, Kaunas

Doctoral dissertation was prepared at Kaunas University of Technology, Faculty of Economics and Management, Department of Finance, in 2006 2011. Scientific supervisor: Prof. Dr. Asta VASILIAUSKAIT (Kaunas University of Technology, Social Sciences, Economics, 04S) The Council of Economics Science Trend: Prof. Dr. Vytautas SNIEKA (Kaunas University of Technology, Social Sciences, Economics, 04S) Chairperson, Prof. Dr. Vilija ALEKNEVIIEN (Aleksandras Stulginskis University, Social Sciences, Economics, 04S), Prof. Dr. Habil. Valentinas KLEVAS (Lithuanian Energy Institute, Social Sciences, Economics, 04S), Prof. Dr. Rytis KRUINSKAS (Kaunas University of Technology, Social Sciences, Economics, 04S), Prof. Dr. Violeta PUKELIEN (Vytautas Magnus University, Social Sciences, Economics, 04S). Official Opponents: Prof. Dr. Kristina LEVIAUSKAIT (Vytautas Magnus University, Social Sciences, Economics, 04S), Prof. Dr. Graina STARTIEN (Kaunas University of Technology, Social Sciences, Economics, 04S). The official defence of the dissertation will be held at 10 a.m. on November 30th, 2012 the public session of the Council of Economics Science trend at the Dissertation 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: doktorantura@ktu.lt 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 Energy Institute (Breslaujos str. 3, Kaunas).

KAUNO TECHNOLOGIJOS UNIVERSITETAS LIETUVOS ENERGETIKOS INSTITUTAS

AURELIJUS CVILIKAS

BANKINS RIZIKOS VALDYMO EKONOMINIO EFEKTYVUMO VERTINIMAS MAMENINJE BANKININKYSTJE

Daktaro disertacijos santrauka Socialiniai mokslai, ekonomika (04S)

2012, Kaunas
3

Disertacija rengta 2006 2011 metais Kauno technologijos universiteto Ekonomikos ir vadybos fakultete, Finans katedroje. Mokslinis vadovas: Prof. dr. Asta VASILIAUSKAIT (Kauno technologijos universitetas, socialiniai mokslai, ekonomika, 04S) Ekonomikos mokslo krypties taryba: Prof. dr. Vytautas SNIEKA (Kauno technologijos universitetas, socialiniai mokslai, ekonomika, 04S) pirmininkas, Prof. dr. Vilija ALEKNEVIIEN (Aleksandro Stulginskio universitetas, socialiniai mokslai, ekonomika, 04S), Prof. habil. dr. Valentinas KLEVAS (Lietuvos energetikos institutas, socialiniai mokslai, ekonomika, 04S), Prof. dr. Rytis KRUINSKAS (Kauno technologijos universitetas, socialiniai mokslai, ekonomika, 04S), Prof. dr. Violeta PUKELIEN (Vytauto Didiojo universitetas, socialiniai mokslai, ekonomika, 04S). Oficialieji oponentai: Prof. dr. Kristina LEVIAUSKAIT (Vytauto Didiojo universitetas, socialiniai mokslai, ekonomika, 04S), Prof. dr. Graina STARTIEN (Kauno technologijos universitetas, socialiniai mokslai, ekonomika, 04S). Disertacija bus ginama vieame Ekonomikos mokslo krypties tarybos posdyje 2012 m. lapkriio 30 d. 10 val. Kauno technologijos universiteto Disertacij gynimo salje. Adresas: K.Donelaiio g. 73-403, LT-44029 Kaunas, Lietuva. Tel. (370 37) 300042, faksas (370 37) 324144, el. patas: doktorantura@ktu.lt 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).

INTRODUCTION Retail banking, as the banking on the whole, cannot be dissociated from risk, which is associated with almost all banking processes and is approached also one of the most important parts of analysis of banking. Various aspects of manifestation, estimation, assessment and management of banking risk are analyzed by academics, banks and other financial institutions associated with banking sector supervision, which use to analyze the conceptual principles of banking performance and are mostly oriented to the need to get more familiar with banking risk, as the phenomenon requiring specific control, which is actively accented by banking supervision institutions. Relevance of the topic. In banking sector, the importance of risk is based on attitude that managed risk ensures the higher efficiency in the context of banking costs and total economic benefit. Many authors analyzing the banking risk management highlighting that bank, managing the banking risk, ensures the higher efficiency of its processing, which could be characterized considering the banking financial results or banks rates, considering bank as a commercial institution. This highlights the relevance of connection between banking risk management and banks efficiency in scientific publications. In the viewpoint of economic perspective any solutions for banking risk management are related to some additional banks cost, which reduce the profitability of banking performance directly related to the indices of total banking performance efficiency assessment. Supervisors of banking sector are highly interested in the stability of this sector and protection of consumers of banking services, therefore supervisors of banking sector following the attitude that solution to reduce the banking risk creates higher benefit by itself through the risk loss reduction comparing to additional costs of such solution. But in retail banking such attitude considering the efficiency is not always reasoned, because certain solutions of risk management subject to banking volume could determine the negative ratio of risk loss and risk management costs. Research problem. Considering the highlighted problematic aspects of banking risk management analysis, there is formulated the following scientific problem of the dissertation: how to assess the changes of efficiency in changing banking risk management system considering cost in retail banking. For the solution of the formulated scientific problem there is analyzed the specifics of banking risk managements efficiency in cost context, which is treated as economic efficiency, studying the theoretical aspects of risk management assessment through the views of various authors and, considering the generalizable of these aspects, preparing the banking risk managements economic efficiency assessment (BRMEEA) model, which enables to find the solution the problem of the research how to choose the most efficient system of banking risk management to the retail banking institution. 5

Object of the dissertation: banking risk managements economic efficiency. Aim of the dissertation: to prepare and empirically test the banking risk managements 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 management economic 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 classification of banking risk in the context of the research problem, and there is characterized the specifics of assessment of banking risk management economic efficiency, structure of banking risk costs and the possibilities of banking risk assessment models, on those basis the lacks of banking risk management economic efficiency are highlighted. In the second part of the dissertation there is provided the model of banking risk management economic efficiency assessment for retail banking, defining the rations of banking risk management economic efficiency and presenting and characterizing the stages, structure and algorithm of banking risk management economic efficiency. In the third part of the dissertation there is provided the results of the model of banking risk management economic efficiency assessment practical application, that were obtained via the provided model application in the sector of Lithuanian credit unions. Conclusions present generalized results of the research made in the dissertation. 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 6

in the dissertation when analyzing the theoretical principles of banking risk management economic efficiency assessment and preparing the model of banking risk management economic efficiency assessment. 2. Researching the model of banking risk management economic efficiency assessment application in practice, it was used the case analysis method when the model is applied in the chosen credit institution and assessing the results of model application in certain credit institution. 3. Assessing the economic effect of risk management system development in the chosen credit institution, there were used economic arithmetic and statistical analysis, considering the secondary data, as well as experts survey methods. Novelty and value of the research. Scientific novelty and practical value of the dissertation is evidenced by the results obtained: There were researched the peculiarities of risk management economic efficiency in retail banking, where the banking risk management is treated not only as a process of banking risk minimization, but also as a function of banking that designed to manage the costs of risk and its management It was characterized the structure of banking risk costs, that enables to identify the costs associated with risk management and to assess their influence by changing risk management system or its elements. There were provided the principles and ratios of banking risk management economic efficiency assessment, that enables retail banking institutions to assess the changes in risk management economic efficiency, by modifying the current risk management system and implementing new or developing current solutions or instruments of various types of banking risk management. The model of banking risk management economic efficiency assessment was formed that could be used to identify the changes if retail banking risk management economic efficiency when the institution changes the whole risk management systems or separate its elements. The novelty of this model reveals through these aspects: (a) it is an instrument for retail banking risk management, (b) in the model there is provided the algorithm that connects solutions of risk management system development with banking ratios, (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 7

economic efficiency assessment in the system of Lithuanian credit unions (as a field of retail banking), that highlights the banking risk management costs assessment relevance, considering the ration of risk management system administrating and risk loss, that is directly associated with banking financial results in the context of income and expenses ratio. It was provided the solutions of Lithuanian credit unions banking risk management development, that ensures more precise management of credit, market and operational risk , as well as higher economic efficiency of credit unions risk management system: it was prepared business subjects risk assessment methodic (to reduce credit risk), liquid funds distribution calculator (to reduce market risk) and profitability management calculator and automated business plan form (to reduce operational risk). Scientific approbation of the dissertation. The research results are announced in 3 scientific publications and have been introduced in 2 conferences.

CONTEXT OF THE DISSERTATION INTRODUCTION 1. THE THEORETICAL ASPECTS OF BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENT 1.1. The concept and classification of banking risk management 1.2. The specifics of banking risk managements economic efficiency assessment 1.2.1. The structure of banking risk management process 1.2.2. The concept of efficiency as economic category in the context of banking risk management 1.2.3. The models for banking risk managements economic efficiency assessment 1.3. The structure of banking risk cost 1.4. The possibilities of banking risk assessment models accuracy measurement 1.4.1. The variety of banking risk assessment models 1.4.2. The measurement of banking risk assessment models reliability 1.5. The lacks in the researches of banking risk managements economic efficiency assessment area 2. BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENT MODEL FOR RETAIL BANKING 2.1. The guidelines for banking risk managements economic efficiency assessment model formation 2.2. The indicators for banking risk managements economic efficiency assessment 2.3. The identification of banking performance results in risk management context 2.4. The assessment of banking risk management system 2.5. The assessment of banking risk managements changes impact on banks income 2.6. The algorithm of banking risk managements economic efficiency assessment model 3. THE RESEARCH OF DEMONSTRATIVE ADAPTATION OF BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENT MODEL IN CASE OF LITHUANIAN CREDIT UNIONS SYSTEM 3.1. The research methodic of the demonstrative adaptation of banking risk managements economic efficiency assessment model in case of Lithuanian credit unions system 3.1.1. The reasoning of the chosen research object 3.1.2. The process and structure of the research 3.2. The research results of the demonstrative adaptation of banking risk managements economic efficiency assessment model in case of Lithuanian 9

credit unions system 3.2.1. The identification of current credit unions performance results in the context of risk management 3.2.2. The assessment of current credit unions risk management systems economic efficiency 3.2.3. The description of planned credit unions risk management system 3.2.3.1. The solutions for credit risk management improvement 3.2.3.2. The solutions for market risk management improvement 3.2.3.3. The solutions for operational risk management improvement 3.2.3.4. The specification of planned risk management system characteristics 3.2.4. The assessment of changes in credit unions risk management systems administration cost 3.2.5. The assessment of changes in credit unions risk management systems provisions and loss cost 3.2.6. The assessment of planned credit unions risk management systems impact on income 3.2.7. The identification of planned credit unions performance results 3.2.8. The determination of benefit of credit unions risk managements improvement CONCLUSIONS REFERENCES LIST OF SCIENTIFIC PUBLICATIONS APPENDIXES

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STRUCTURE OF THE DISSERTATION IN THE FIRST PART 1. THE THEORETICAL ASPECTS OF BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENT is presented the analysis results of theoretical aspects of banking risk management and its efficiency assessment, which composes the conceptual basis of the model of banking risk management economic efficiency assessment (BRMEEA model). Chapter 1.1. The concept and classification of banking risk management presents the conception of banking risk, defining banking risk as an uncertainty of influence of banking environment factors. In this definition there are highlighted the main characteristics of risk: (1) uncertainty of the result (influence of banking environment factors) and by it conditioned (2) the probability of economic loss. In this case, the banking risk is directly associated with possible losses due to the certain unplanned factors of internal and external factors of banking environment. Assessing the provided definition of banking risk and considering the various 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 of banking risk, there are formulated the detailed classification of banking risk that is used in the doctoral research, resolving banking risk to credit risk, market risk and operational risk. In Chapter 1.2. The specifics of banking risk managements economic efficiency assessment there is analyzed the basis of the relevance of risk management and risk management economic efficiency assessment, with reference to the common conception of efficiency, as a category of economics, and highlighting the specifics of risk management economic efficiency assessment. In Section 1.2.1. The structure of banking risk management process there is provided the detailed conception of risk management process, and considering it the banking risk management process is divided into these stages: (1) risk identification and (2) risk monitoring, which is divided into (2.1) risk assessment, that involves (2.1.1) risk estimation and (2.1.2) identification of estimation results, and as well as (2.2) solution to the risk acceptance. This structure is treated as the background for further detailed analysis of risk management cost. In Section 1.2.2. The concept of efficiency as economic category in the context of banking risk management there is provided the definition of efficiency in the context of banking risk management, when the efficiency is interrelated 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 is used in doctoral research in the context of banking risk management economic 11

efficiency assessment as ratio of benefit of risk management and risk management costs. In Section 1.2.3. The models for banking risk managements economic efficiency assessment there are reviewed methods and models of banking risk management efficiency assessment by various authors, and considering them the construct of banking risk management economic efficiency assessment is formed. In Chapter 1.3. The structure of banking risk cost there are analyzed the specifics and structure of banking risk costs. Considering publications of various 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 classified by risk management processes and forms of risk management costs. In Chapter 1.4. The possibilities of banking risk assessment models accuracy measurement there are analyzed researches of various authors in the field of accuracy of models of banking risk assessment discussing the variety and the possibilities of accuracy assessment of these models. In Section 1.4.1. The variety of banking risk assessment models there is 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 reliability there are discussed various means and methods for the assessment of accuracy of banking risk assessment models. Considering the results of the assessment of accuracy of banking risk assessment models it could be identified the possible changes in costs of banking risk management system, therefore it could be created the conceptual model for the assessment of banking risk management economic efficiency. In Chapter 1.5. The gaps in the researches of banking risk managements economic efficiency assessment area there are excluded the actual deeper studies demanding fields in the area of banking risk management researches, that are analyzed in this doctoral thesis. Summarizing the results of analysis of banking risk management economic efficiency assessment theoretical aspects, it could be stated that banking risk, as a complex phenomenon, that demands permanent control and supervision, is attaining insufficient attention in the context of economic efficiency assessment, and this justifying the relevance of the creation of model of banking risk management economic efficiency assessment. 12

IN THE SECOND PART 2. BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENT MODEL FOR RETAIL BANKING there are provided solutions of the creation of the banking risk management economic efficiency assessment, that is designed for retail banking, characterizing the ratios for banking risk management economic efficiency assessment and formulating the algorithm of banking risk management economic efficiency assessment model. In Chapter 2.1. The guidelines for banking risk managements economic efficiency assessment model formation there are summarized theoretical aspects of banking risk management economic efficiency assessment formulating the main guidelines for the preparation of banking risk management economic efficiency assessment model. In Chapter 2.2. The indicators for banking risk managements economic efficiency assessment there are analyzed ratios that characterize the changes of banking risk management costs and economic efficiency when the elements of risk management system are being changed. The major rates that characterize the changes of banking risk management economic efficiency are total 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 of banking in the context of risk management and via these ratios the change of banking risk management economic efficiency is characterized: the net profit under the current yield of credit portfolio and yield of current credit portfolio under 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 risk management system and the assessment of economic efficiency, and, the scheme of banking risk management efficiency assessment is based on previously mentioned elements. In Chapter 2.5. The assessment of banking risk managements changes impact on banks income there are presented the solutions to the assessment of banking risk management changes influence on banking income considering the newly designed or developed solutions of banking risk management influences the total income of banking. In Chapter 2.6. The algorithm of banking risk managements economic efficiency assessment model there are summarized the solutions of banking risk management economic efficiency assessment that involve (1) rates of banking risk management economic efficiency assessment, (2) identification of banking results in the context of risk management, (3) assessment of banking risk management system and (4) assessment of banking risks management changes influence on banking income. These solutions compose the model of banking risk management economic efficiency, which algorithm is presented in figure 1. 13

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

1 stage

RMS economic efficiency:

(1) RMS specification
Register of risk events CR MR OR Management characteristics CR MR OR

(2) RMS reliability indicators Provisions (4) RMS cost CR MR OR

if formed if formed if formed

(3) RMS administration cost Loss

necessarily necessarily necessarily

Administration cost
(on demand) (on demand) (on demand)

3 stage

The planned risk management system:

RMS specification CR MR OR Management characteristics Register of risk events
YES

(5) RMS EE indices:

RL

TRC

RMC 2 stage 4 stage

5 stage

Are the current RMSs administration cost identified?

NO

The planned changes of provision and loss cost:

Provisions CR MR OR
(change) (change) (change)

The planned RMSs administration cost:

Administration cost CR MR OR
absolute absolute absolute

The planned change of RMSs administration cost:

Administration cost CR MR OR
(change) (change) (change)

Loss
(change) (change) (change)

NO

Will changes of RMS impact banks income?

YES

6 stage

7 stage

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

8 stage

The planned risk managements impact on banks income: Income

CR MR OR
(change) (change) (change)

Gross benefit of risk management: CR MR OR

Change of net profit

Net benefit of risk management

NO

YES

Is net benefit of risk management > 0 ?

To implement the planned risk management system

Do not implement the planned risk management system

Figure 1. The algorithm of banking risk managements economic efficiency assessment model

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The model of banking risk management economic efficiency is realized under this algorithm: 1. The identification of current banks performance results in the context of risk management. The current banking results are identified using the scheme of banking results identification in the context of risk management: the net profit under the current yield of credit portfolio and yield of current credit portfolio under the expected net profit. The current results of banking indicate the initial situation before the implementation of the new risk management system or its separate elements. 2. The assessment of current banking risk management systems economic efficiency. The economic efficiency of the current systems of risk management is evaluated using the scheme of banking risk management system assessment. When the current system of risk management is being evaluated the risk events registry is being created; under these risk events the RMS accuracy ratios and RMS costs are estimated. Such data enables to identify RMS costs under the types of risk, groups of banking risk, nature of accumulated capital, the sources of risk events and risk management processes. RMS costs identification and detailing enables to calculate the total costs of banking 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 risk management system the most relevant are not costs of management but the expected change of them, the initial identification of management costs can be eliminated from the model confining to the identification of expected change of risk management system administrating costs. 3. The description of planned banking risk management system. The planned specification of risk management system is prepared using the 1st stage of the banking risk management systems assessment scheme (the formation of RMS specification), where the planned registry of risk events and the specification of risk management systems characteristics are prepared. The specification of planned risk management system is treated as the background for the identification and assessment of planned risk management systems cost. 4. The assessment of changes in banking risk management systems administration cost. The RMS administration cost or its change is identified (depending on the results of 2nd stage if where were the administration cost calculated) using the 3rd stage 3 of the banking risk management systems assessment scheme (the identification of RMS administration cost), where the risk management systems 15

5.

6.

7.

8.

characteristics are assessed in economic viewpoint (through the prism of cost). The assessment of changes in banking risk management systems provisions and loss cost. The planned changes of risk provisions and loss is assessed using the 2nd stage of the banking risk management systems assessment scheme (identification of RMS reliability), where the matrix of reliability of planned risk events forecast is prepared and the indices of RMS reliability assessment are calculated. Using the results of these calculations the planned negative result of RMS (provisions and loss) is identified. The assessment of planned banking risk management systems impact on income. The planned impact of risk management on banks income is assessed (if such the impact is presumed) using the assessment of changes in banking risk management impact on banks income scheme, which allows determining the impact of changes in banking risk management system on the size of banks credit portfolio or investment portfolio, which, in turn, change the total banks income and the net financial performance income. Depending on the changes of planned banks income, the indices of planned banks performance results in the context of risk management are identified: net profit at the current level of credit portfolio yield and the credit portfolio yield at the target level of net profit. The identification of planned banks performance results. If the presumption is made that the changes in banking risk management system should not affect the banks total income, when the planned banks performance results are identified using the data of 5th stage of BRMEEA model (the assessment of changes in banking risk management systems provisions and loss cost). If it is considered that the changes in banking risk management system may affect the banks total income, when the planned banks performance results are identified using the data of 6th stage of BRMEEA model (the assessment of planned banking risk management systems impact on income). In any case the same indices are calculated: net profit at the current level of credit portfolio yield and the credit portfolio yield at the target level of net profit. The determination of benefit of banking risk managements improvement. The gross and net risk management benefit is calculated, and these calculations are used for the decision to implement the proposed risk management system (or its separate elements) or not implement because of too high cost of systems management, in comparison with the expected reduction of risk loss and provisions, which creates the negative change in the economic

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efficiency of banking risk management. Such the negative results in BRMEEA model is expressed as the net benefit of risk management. The main characteristics of banking risk managements economic efficiency assessment model, which should be accented are the following: The model is suitable for various credit institutions in retail banking sector. 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 accurate description 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 thorough assessment of economic efficiency of the banking risk management systems improvement. The analyzed theoretical aspects of banking risk managements economic efficiency assessment revealed the lack 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 performance efficiency and allows identifying the economic benefit of implemented risk management solutions for the bank, paying attention not only to the changes of risk characteristics, but also to the total changes of banks performance processes. Differently than the most of banking risk management models, which are presented in academic level, the BRMEEA model is not limited to one or several concrete risk types. Though in the presented model only the solutions for credit, market and operational risks are presented, but the same models algorithm is suitable as well to assess the economic efficiency of risk managements improvement for other types of risks reputation, compliance, strategy, etc. BRMEEA model characterizes the conception of banking risk managements economic efficiency, which is important in the analysis of banking risk management solutions, but is quite often 17

ignored in scientific researches because the most of researches tend to ignore the changes in banking risk management systems administration cost when the risk management solutions are modified. The presented algorithm of banking risk managements economic efficiency assessment model contains all the necessary solutions and procedures needed for the assessment of changes in banking risk managements economic efficiency. This allows determining what economic effect the changes of banking risk management system could have, what impact it could have on the final banks performance indices and if those changes are useful in economic viewpoint. 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 qualitative and efficient management of risk. In the context of the need of regular improvement of banking risk management system, BRMEEA model may be treated as the instrument to help banking institutions to assess the economic efficiency of planned changes in risk management system. The BRMEEA model is characterized by the presented algorithm and the specified solutions for separate stages, and is based on researches of various authors 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 presented model. IN THE THIRD PART 3. THE RESEARCH OF DEMONSTRATIVE ADAPTATION OF BANKING RISK MANAGEMENTS ECONOMIC EFFICIENCY ASSESSMENT MODEL IN CASE OF LITHUANIAN CREDIT UNIONS SYSTEM presents the results of performed empirical research, which confirm the practical value of banking 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 of Lithuanian credit unions system presents the methodological attitudes of empirical research, which is performed with the aim to validate the practical value of banking risk managements economic efficiency assessment model. Section 3.1.1. The reasoning of the chosen research object presents the reasoning of the chosen research object the Lithuanian credit unions system. This reasoning reveals the relevance and suitability of performed research in the context of validation of banking risk managements economic efficiency assessment models practical value. 18

Section 3.1.2. The process and structure of the research presents the detailed principles and methods of the demonstrative adaptation of banking risk managements economic efficiency assessment model in case of Lithuanian credit unions system research. The research was performed using the algorithm of banking risk managements economic efficiency assessment model in accordance with the sequence of procedures laid in the model: (1) The identification of current credit unions performance results in the context of risk management, (2) The assessment of current credit unions risk management systems economic efficiency, (3) The description of planned credit unions risk management system, (4) The assessment of changes in credit unions risk management systems administration cost, (5) The assessment of changes in credit unions risk management systems provisions and loss cost, (6) The assessment 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 of Lithuanian credit unions system presents the analysis of results of banking risk managements economic efficiency assessment models adaptation in Lithuanian credit unions system research. In this section the solutions for credit unions N risk management systems improvement are presented and the impact of those solutions for credit unions risk management systems economic efficiency is assessed. Section 3.2.1. The identification of current credit unions performance results in the context of risk management presents the analysis of initial indices of analyzed credit union, which are relevant in the analysis of risk managements economic efficiency assessment, and the calculation results of the indices, which are used to identify the performance of credit union in risk management context. Section 3.2.2. The assessment of current credit unions risk management systems economic efficiency presents the results of analyzed credit unions risk management systems economic efficiency assessment. The assessment is made using the prepared the specification of risk management system, where the risk management systems characteristics are presented, containing the risk management systems cost and risk loss. The assessment of current credit unions risk management systems economic efficiency is performed using the banking risk management systems assessment scheme. Section 3.2.3. The description of planned credit unions risk management system presents the description of proposed solutions for credit unions risk management system improvement by type of risk and the specification of planned risk management system. Section 3.2.3.1. The solutions for credit risk management 19

improvement presents the description of implemented solutions to improve credit unions credit risk management, which allow reaching the higher level of entities 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 improve credit unions market risk management, which guarantee the more efficient management of credit unions liquid funds and reduce the risk of spare funds investment. Section 3.2.3.3. The solutions for operational risk management improvement presents the description of implemented solutions to improve credit unions operational risk management: the profitability calculator and automated form of business plan. It is proposed to implement operational risk management 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 system characteristics presents the prepared specification of credit unions planned risk management system, where the proposed solutions for risk management systems improvement are presented separately by type of risk and the effect of every solution for credit unions income and expenditure is assessed. Section 3.2.4. The assessment of changes in credit unions risk management systems administration cost presents the assessment of changes in credit unions risk management systems administration cost, using the 3rd stage of banking risk management systems assessment scheme (the identification of risk management systems administration cost) and using the expected effect of separate risk management improvement solutions, which is presented in credit unions planned risk management systems specification. Section 3.2.5. The assessment of changes in credit unions risk management systems provisions and loss cost presents the assessment of changes in provision and loss cost, which were identified in the analysis of credit and operational risk improvement solutions sections. Section 3.2.6. The assessment of planned credit unions risk management systems impact on income presents the results of risk managements impact on credit unions income assessment in case of credit and market risks using the assessment of changes in banking risk management impact on banks income scheme. Section 3.2.7. The identification of planned credit unions performance results presents the planned results of credit unions performance in the context of risk management, which were calculated using the 7th stage of BRMEEA model The identification of planned credit unions performance results. Section 3.2.8. The determination of benefit of credit unions risk managements improvement presents the calculations of credit unions gross and net benefit of risk management, which allows making the decision: to 20

implement the proposed risk management system (or its separate elements) or not to implement because of too high systems administration cost in comparison with 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 of demonstrative adaptation of banking risk managements economic efficiency assessment model in case of Lithuanian credit unions system, are useful for Lithuanian credit unions in economic efficiency context, because they allow reducing the risk loss with the slower growth of risk management systems administration cost, and this conditions the growing economic efficiency of risk management system.

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CONCLUSIONS The theoretical argumentation and empirical validation of banking risk managements economic efficiency assessment model presented in dissertation allows following conclusions: 1. In the context of economic efficiency assessment the banking risk tends to be described with putting the accents on the uncertainty of result and the probability of the loss it creates. In such way the banking risk is directly linked to the possible loss because of unplanned internal and external environment factors and this reveals the importance of economic (cost) factor in banking risk management. 2. The analysis of viewpoint of financial specialists theoreticians and supervision and coordination institutions in financial sector reveal three main risk types in modern banking sector: credit, risk and operational. The detailing and individualization of these three risk types allows more accurate assessment of economic efficiency changes in case of banking risk management system modification. 3. The banking risk management process should be divided in two main parts: risk identification and risk control, while the last one structurally consists of risk assessment, which includes risk measurement and the identification of results of risk measurement, and the decision about the acceptability of risk. Such the structuration of banking risk management process highlights the risk management 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 thorough detailing of possible impact of risk management decisions impact on risk management systems administration cost, which may be reason why the improvement of banking risk management may become inappropriate in economic context. 5. The prepared structure of banking risk cost suitable for retail banking includes 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 of risk management system interrelate with the efficiency of banking performance. 6. The analysis of banking risk cost structure revealed that in the case of retail banking there is the lack of comprehensive characterization of links between risk events and banking risk cost, which is necessary if there is a need to determine the changes in banking risk managements economic efficiency, when the banking risk management system changes. 7. In the context of banking risk management the efficiency should be treated 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 the change of input is assessed, and (b) the change of efficiency when the change in 22

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 similar mathematical relations between banking risk level and economic indicators, and tend to ignore the assessment of causal relations between banking risk management systems processes and its total cost. This situation highlights the importance of deeper insight in the assessment of banking risk managements economic efficiency. 9. The comprehensiveness of banking risk managements economic efficiency assessment is guaranteed when the banking risk managements cost are divided in three main groups: (a) provisions, which consists of risk-related assets and accumulated capital, (b) loss, which appear from the credit, market and 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 efficiency assessment depends on the ability to identify the accuracy of risk assessment models, which can be described as the ability of model to correctly inform about the risk events and correctly identify the cases without the risk factor. 11. The gross and net benefit indices used in the banking risk managements economic efficiency assessment model to assess the changes of banking risk managements economic efficiency, show the final result of changes in banking risk management system and state if the implemented solutions for banking risk management system are useful in economic viewpoint in the context of the impact of those solutions to banking risk loss and income and the cost of risk management systems administration. 12. The results in banking risk managements economic efficiency assessment model, which are used compare the changes of economic efficiency in risk management area, are described by two endogenous indices: net profit at the current level of credit portfolio yield and the credit portfolio yield at the target level of net profit. 13. The banking risk management systems assessment scheme, which contains the risk management systems specification, the characterization of its cost and the indices of economic efficiency, creates the conditions to identify the changes of modified banking risk management system in cost context, including the assessment of systems economic efficiency changes impacted by newly implemented solutions in banking risk management system. 14. The assessment of changes in banking risk management impact on banks income scheme allows identifying the impact of banking risk management systems modifications on banks sales strategy and total income, while assessing the relation between possible newly implemented solutions for risk management and possibilities to generate income. 15. The solutions of banking risk managements economic efficiency 23

assessment, which are linked together by integral algorithm, create the conditions to assess what economic effect could have the changes in banking risk management system, considering the final banks performance results and defining if the planned changes in risk management system are useful in economic viewpoint. 16. The performed research of the demonstrative adaptation of banking risk managements economic efficiency assessment model in case of Lithuanian credit unions system showed that using the banking risk managements economic efficiency assessment model the solutions for credit unions risk management systems improvement in credit, market and operational risk areas were implemented, which allowed identifying the impact of those solutions on credit unions risk management systems cost. This confirms the advantage of prepared model in the area of banking risk management systems cost assessment. 17. Using the algorithm of banking risk managements economic efficiency assessment model in the performed demonstrative research the net benefit of credit unions risk management was calculated, which positive value confirms models suitability for the assessment of changes in banking risk managements economic efficiency. 18. The assessment of changes in credit unions risk management systems economic efficiency in the context of different risk types and risk management improvement solutions in the performed demonstrative research allowed define useful and non-useful solutions in economic efficiency viewpoint. This confirms that banking risk managements economic efficiency assessment model is able to identify the impact of every risk management systems improvement solution on total economic efficiency of banking risk management.

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REFERENCES 1. Barriga, L.; Rosengren, E. (2004). Innovations in Risk Management Lessons from the Banking Industry. Technical Paper. Boston: Federal Reserve Bank of Boston. Basel Committee. (2003). Sound Practices for the Management and Supervision of Operational Risk [interaktyvus]; [irta 2010-10-20]. Prieiga per internet: http://www.bis.org/publ/bcbs96.pdf. Belinskaja, L.; Bagdonaviius, K.; ernius A. (2001). Draudimas I. Vilnius: Lietuvos bankininkysts, draudimo ir finans institutas. Bessis, J. (2010). Risk Management in Banking. Chichester: John Wiley & Sons. 821 p. Chorafas, D.N. (2007). Risk Management Technology in Financial Services. Oxford: Elsevier. Christodoulakis, G.; Satchell, S. (2008). The validity of credit risk model validation methods. The Analytics of Risk Model Validation, ed. Christodoulakis G., Satchell S. Oxford: Elsevier, p. 27-44. Dzikeviius, A. (2003). Rinkos rizikos valdymo funkcija komerciniame banke. Ekonomika ir vadyba: aktualijos ir perspektyvos 2002. iauliai: iauli universitetas. Giesecke, K. (2004). Credit Risk Modeling and Valuation: an Introduction. Credit Risk: Models and Management, Vol. 2. Kamienas, I.; Valvonis, V. (2004). Paskol registro naudojimas kredito rizikai valdyti. Pinig studijos, Nr. 1, p. 5-30. Kancerevyius, G. (2004). Finansai ir investicijos. Kaunas: Smaltija. Karpaviien, E. (2006). Operacins rizikos valdymo bankuose pagal Bazelio II rekomendacijas modelis. Daktaro disertacija. Kaunas: Kauno technologijos universitetas. Kekre, S.; Secomandi, N.; Sonmez, E.; West, K. (2007). Balancing Risk and Efficiency at a Major Commercial Bank. Working Paper E60. Pittsburgh: Tepper School of Business, Carnegie Mellon University. Kiziukiewicz, T. (2004). Cost of Risk Reduction in the Cost Accounting Model. Ekonomika ir vadyba-2004. Tarptautins mokslins konferencijos praneim mediaga, 3 knyga: finans sistemos vystymosi tendencijos integracijos aplinkoje, p. 30-32. Koch, T.W.; MacDonald, S.S. (2000). Bank Management. 4th edition. USA: The Dryden Press. Medova, E. (2000). Measuring risk by extreme values. Risk. Operational risk special report, November, p. 20-26. 25

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Pastor, J.M.; Serrano, L. (2000). Efficiency, Endogenous And Exogenous Credit Risk In The Banking Systems Of The Euro Area: IVIE working papers. Valencia: IVIE. Reichert, A. K.; Rubens, J. H. (1994). Risk management techniques employed within the US credit union industry. Journal of Business Finance Accounting, No. 21(1), p. 15-35. Rowe, D. M.; Jovic, D. (2004). The Data Challenge of Basel II. The Journal of Securities Operations, Winter, p. 21-26. Sollenberger, H.M. (2004). Credit Union Risk-Based Net Worth Measurements: The First Years. Bank Accounting Finance, June, p. 1021. Valvonis, V. (2006). iuolaikinis kredito rizikos vertinimas banke: paskol portfelio rizika ir ekonominio kapitalo paskirstymas. Pinig studijos, Nr. 2, p. 58-74. Vakelaitis, V. (2003). Pinigai: komerciniai bankai ir j rizikos valdymas. Vilnius: Lietuvos mokslo redakcija.

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PUBLICATIONS OF THE RESEARCH RESULTS ARTICLES Articles in the Scientific Publications Reffered in the International Databases 1. Barauskas, Petras; arapovas, Tadas; Cvilikas, Aurelijus. Kredito rizikos pasireikimo lizingo sektoriuje specifika ir vertinimo problemos // Organizacij vadyba: sisteminiai tyrimai = Management of organizations: systematic research. Kaunas : Vytauto Didiojo universitetas. ISSN 13921142. 2007, nr. 41, p. 19-34. [Business Source Complete; CEEOL; ProQuest]. Kraujalis, arnas; Karpaviien, Edita; Cvilikas, Aurelijus. The specifics of operational risk assessment methodology recommended by Basel II // Engineering economics = Ininerin ekonomika / Kaunas University of Technology. Kaunas : Technologija. ISSN 1392-2785. 2006, no. 3(48), p. 7-17. [Business Source Complete; IBSS International Bibliography of the Social Sciences; CEEOL]. Vasiliauskait, Asta; Cvilikas, Aurelijus. Fuzzy sets theory adoption fior credit risk assessment in leasing sector // Taikomoji ekonomika: sisteminiai tyrimai = Applied economics: systemic research / Vytauto Didiojo universitetas. Kaunas : VDU. ISSN 1822-7996. 2008, T. 2, nr. 1, p. 85-98. [Business Source Complete; ProQuest]. Cvilikas, Aurelijus. The structure of decisions for banking risk management's economic efficiency assessment // Economics and management = Ekonomika ir vadyba [elektroninis iteklius] / Kaunas University of Technology. Kaunas : Technologija. ISSN 1822-6515. 2010, no. 15, p. 893-899. [Business Source Complete; Current Abstracts; TOC Premier]. Articles in the Other Reviewed Scientific Publications 5. Vasiliauskait, Asta; Cvilikas, Aurelijus. Neapibrt aibi teorijos taikymas kredito rizikos vertinimui // Apskaitos ir finans mokslas ir studijos: problemos ir perspektyvos = Science and studies of accounting and finances: problems and perspectives : 6-osios tarptautins mokslins konferencijos, skirtos LU Apskaitos ir finans katedros 40-meiui paminti, 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 2003 2005 Doctoral studies Kaunas University of Technology, Department of Finance, Economics; study area: the banking risk management Master studies Kaunas University of Technology, Faculty of Economics and Management; Economics: insurance and banking; - the master thesis were chosen to participate in the exposition of KTU junior scientists studies Technorama-2005 Bachelor studies Kaunas University of Technology, Faculty of Economics and Management; Management and business administration: finance management; - bachelors diploma with commendations for great study results and academic activity; - the participator of economists Olympics (3rd place); - the participator of contests Junior businessman 2002

1999 2003

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REZIUM Mamenin bankininkyst, kaip ir visa bankin veikla, neatsiejama nuo rizikos veiksnio, kuris, bdamas susijs su beveik visais bankins veiklos procesais, traktuotinas kaip viena svarbiausi bankins veiklos analizs krypi. vairius bankins rizikos pasireikimo, matavimo, vertinimo ir valdymo aspektus nuolat tiria akademinio sluoksnio atstovai ir bank bei vairi finansini institucij, susijusi su bankinio sektoriaus prieira, atstovai, nagrindami konceptualius bankins veiklos principus arba orientuodamiesi finans sektoriaus prieiros institucij inicijuojam poreik isamiau painti bankin rizik, kaip iskirtins kontrols reikalaujant reikin. Temos aktualumas. Bankiniame sektoriuje rizikos valdymo aktualumas grindiamas nuostata, kad valdoma rizika garantuoja didesn banko veiklos efektyvum 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 charakterizuojamas banko veiklos finansiniais rezultatais arba ekonominiais banko, kaip komercins staigos, rodikliais. Tai irykina banko rizikos valdymo ir banko veiklos efektyvumo ssaj tyrimo aktualum mokslinse publikacijose. velgiant i ekonomins perspektyvos, bet kokie bankins rizikos valdymo sprendimai susij su tikrais papildomais banko katais, mainaniais bankins veiklos pelningum, kuris tiesiogiai siejasi su bendrosios bankins veiklos efektyvumo vertinimo rodikliais. Bankinio sektoriaus prieiros institucijos, labiausiai suinteresuotos bankinio sektoriaus stabilumu ir vartotoj apsauga, rizikos valdymo srityje pagal nutyljim vadovaujasi nuostata, kad rizikos valdymo sprendimas, skirtas bankins rizikos mainimui, savaime sukuria didesn naud per rizikos nuostoli mainim, lyginant su papildomais io sprendimo gyvendinimo katais. Taiau mameninje bankininkystje gantinai danai pastebima, kad i bankins veiklos efektyvumo perspektyvos i nuostata ne visuomet pagrsta, nes kai kurie rizikos valdymo sprendimai, priklausomai nuo banko veiklos apimi masto, gali lemti banko pelningumo poiriu nepriimtin rizikos nuostoli pokyio ir rizikos valdymo kat santyk. Mokslin problema. Atsivelgiant irykintus probleminius bankins rizikos valdymo analizs aspektus, formuluojama tokia disertacinio tyrimo mokslin problema: kaip vertinti keiiamos bankins rizikos valdymo sistemos efektyvumo 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 valdymo sistemos tobulinimo efektyvumo analizei mameninje bankininkystje. Tyrimo udaviniai:

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Irykinti aktualiausius akademinje literatroje akcentuojamus bankins rizikos valdymo ir jo ekonominio efektyvumo vertinimo aspektus. 2. Atskleisti svarbiausias bankins rizikos valdymo ekonominio efektyvumo vertinimo spragas mameninje bankininkystje. 3. Ianalizuoti ir charakterizuoti bankins rizikos valdymo ekonominio efektyvumo specifik mameninje bankininkystje. 4. Parengti bankins rizikos valdymo ekonominio efektyvumo vertinimo model mameninei bankininkystei. 5. Pritaikyti bankins rizikos valdymo ekonominio efektyvumo vertinimo model mamenins bankininkysts sektoriuje veikianioje kredito staigoje. Tyrimo struktra. Tyrim sudaro keturios pagrindins dalys. Pirmojoje dalyje pateikiama bankins rizikos valdymo ekonominio efektyvumo vertinimo teorini aspekt analiz, apibriant bankins rizikos samprat ir pateikiant bankins rizikos klasifikacij tiriamos problemos kontekste, bei charakterizuojama bankins rizikos valdymo ekonominio efektyvumo vertinimo specifika, bankins rizikos kat struktra ir bankins rizikos vertinimo modeli tikslumo vertinimo galimybs, kuri pagrindu irykinamos tyrim bankins rizikos valdymo ekonominio efektyvumo vertinimo srityje spragos. Antrojoje dalyje pateikiamas bankins rizikos valdymo ekonominio efektyvumo vertinimo modelis mameninei bankininkystei, apibdinant j sudaranius bankins rizikos valdymo ekonominio efektyvumo vertinimo rodiklius, bei pristatant ir apibdinant bankins rizikos valdymo ekonominio efektyvumo vertinimo modelio etapus, struktr ir algoritm. Treiojoje dalyje pateikiami bankins rizikos valdymo ekonominio efektyvumo vertinimo modelio demonstracinio pritaikomumo tyrimo rezultatai, gauti atlikus parengto modelio naudojimo Lietuvos kredito unij rizikos valdymo sistemos tobulinimui tyrim. Ivadose pateikiami apibendrinti disertacinio tyrimo rezultatai pagal suformuluotus tyrimo udavinius. Tyrimo naujumas ir vertingumas. Disertacinio darbo naujum ir praktin vertingum nusako gauti rezultatai: Itirti rizikos valdymo ekonominio efektyvumo ypatumai mameninje bankininkystje, bankins rizikos valdym traktuojant ne tik kaip rizikos minimizavimo siekiu grst proces, bet ir kaip vien i bankins veiklos funkcij, skirt visumini su rizika ir jos valdymu susijusi kat valdymui. Charakterizuota bankins rizikos kat struktra, kurios pagrindu mameninje bankininkystje galima identifikuoti su rizikos valdymu susijusius katus ir vertinti j pokyt, keiiant rizikos 30

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valdymo sistem ar atskirus jos elementus. Pateikti bankins rizikos valdymo ekonominio efektyvumo vertinimo principai ir rodikliai, kuriais remdamosi mamenins bankininkysts sektoriuje veikianios kredito staigos gali vertinti savo rizikos valdymo ekonominio efektyvumo pokyius, modifikuojant esam rizikos valdymo sistem ir diegiant naujus ar tobulinant esamus vairi bankins rizikos ri valdymo sprendimus ar instrumentus. Suformuotas bankins rizikos valdymo ekonominio efektyvumo vertinimo modelis, kuris gali bti naudojamas bankins rizikos valdymo efektyvumo pokyiams vertinti mameninje bankininkystje, bankui keiiant naudojam rizikos valdymo sistem ar atskirus jos elementus. io modelio naujumas pasireikia tokiais aspektais: (a) tai specialiai mameninei bankininkystei skirtas bankins rizikos valdymo instrumentas, (b) modelyje pateikiamas algoritmas, susiejantis rizikos valdymo sistemos tobulinimo sprendimus su banko veiklos rodikliais, (c) modelis nra apribotas vienos ar keli konkrei rizikos ri rmuose, (d) modelis charakterizuoja bankins rizikos valdymo ekonominio efektyvumo analizs principus. Atliktas bankins rizikos valdymo ekonominio efektyvumo vertinimo eksperimentas Lietuvos kredito unij sistemoje (kaip vienoje i mamenins bankininkysts srii), irykinantis bankins rizikos valdymo kat vertinimo, atsivelgiant rizikos valdymo sistemos administravimo bei rizikos nuostoli santyk, aktualum, tiesiogiai sietin su banko veiklos finansiniais rezultatais pajam ir ilaid santykio kontekste. Pateikti Lietuvos kredito unij bankins rizikos valdymo tobulinimo sprendimai, utikrinantys tikslesn kredito, rinkos ir operacins rizikos valdym bei didesn kredito unij rizikos valdymo sistemos ekonomin efektyvum: sudaryta verslo subjekt kiekybinio rizikos vertinimo metodika (kredito rizikos mainimui), likvidi l panaudojimo planavimo skaiiuokl (rinkos rizikos mainimui) bei pelningumo valdymo skaiiuokl ir automatizuota verslo plano forma (operacins rizikos mainimui). Tyrimo rezultatai. Atlikti tyrimai rodo, kad parengtas bankins rizikos valdymo ekonominio efektyvumo vertinimo modelis, sudarytas vadovaujantis bankins rizikos valdymo ir ekonominio efektyvumo vertinimo koncepcij nuostatomis, yra teorikai argumentuotas instrumentas, tinkamas mamenins bankininkysts sektoriaus dalyvi rizikos valdymo efektyvumui vertinti. Model sudarantys bankins rizikos valdymo ekonominio efektyvumo vertinimo sprendimai, susieti vieningu algoritmu, sudaro slygas vertinti, kok ekonomin 31

efekt turt bankins rizikos valdymo sistemos keitimas mameninje bankininkystje, atsivelgiant galutinius banko veiklos rodiklius bei nusakant, ar planuojami pokyiai rizikos valdymo sistemoje yra tikslingi ekonominiu poiriu. Praktin parengto modelio vertingum pagrindia atliktas bankins rizikos valdymo ekonominio efektyvumo vertinimo modelio praktinio pritaikymo Lietuvos kredito unij sistemos pavyzdiu tyrimas, kuris rodo, kad pateikti Lietuvos kredito unij rizikos valdymo sistemos tobulinimo sprendimai ekonominio efektyvumo poiriu kredito unijoms yra naudingi, nes leidia sumainti rizikos nuostolius labiau nei padidja rizikos valdymo sistemos administravimo katai, o tai rodo rizikos valdymo sistemos ekonominio efektyvumo didjim. Disertacijos apimtis. Disertacij sudaro 165 psl. (neskaitant pried), 31 paveikslas, 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 Kaunas Spausdino leidyklos Technologija spaustuv, Student g. 54, 51424 Kaunas

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