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        The Impact of Financial Risks on the Performance of Russian Banks

        Jalal Hafeth Ahmad Abu-Alrop 대한산업공학회 2020 Industrial Engineeering & Management Systems Vol.19 No.4

        This study uses multiple regression analysis with financial ratios to determine the impact of financial risks and financial leverage on the financial performance of Russian commercial banks in the period 2008-17. This study involves 85 Russian banks, whose total assets comprise 87% of the total assets of the Russian banking sector. The study used six indicators to measure five types of financial risks and an indicator to measure the financial leverage: interest rate risk, foreign exchange risk, liquidity risk, credit risk, operational risk, and financial leverage risk. The study also used three indicators to measure bank performance: Net Interest Margin, Return on Assets, and Return on Equity. The study found that Over the 10 years of the study, the risk contributed to the formation of net interest margin by 87%, return on equity by 50%, and return on assets by 53%. The impact of credit risk, operational risk, and liquidity risks on performance indicators in Russian banks were very positive and significant. The effect of leverage and interest rate risk on performance indicators was negative and very limited. The foreign exchange risks had no effect on performance indicators. The study also found that the other variables (without risk and leverage) had a positive effect on the net interest margin, but their effect on the return on assets, and the return on equity was negative and significant. The study concluded It is important for Russian banks to search for these factors, which led to the negative impact, Russian banks should study these factors and correct their positions.

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        Are Financial Risks Rewarded with Appropriate Returns in Russian Banks?

        Jalal Hafeth Ahmad Abu-Alrop 대한산업공학회 2021 Industrial Engineeering & Management Systems Vol.20 No.4

        The purpose of this study is to evaluate the risk efficiency of 85 Russian commercial banks During the period “2008 -2017”. This study uses the Data Envelopment Analysis (DEA) with financial ratios to evaluate the risk efficiency of Russian banks. The inputs of model DEA are represented by financial risk and leverage, while the outputs are repre-sented by profitability. The study found the impact of credit risk, operational risk, and liquidity risk on performance indicators in Russian banks was positive and important, but the impact of leverage and interest rate risk on perfor-mance indicators in Russian banks was limited and negative. The study also found that the medium Russian banks were the most effective in risk efficiency, while small banks were more efficient than large banks. The study also con-cluded that the leverage recommended by Basel 3 is insufficient to provide stability in banks. The study suggested a model for monitoring Russian banks on the basis of the concept of risk efficiency to improve banking regulation and increase risk efficiency.

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