proanarisПроблемы анализа рискаIssues of Risk Analysis1812-52202658-7882ФГБУ ВНИИ ГОЧС (ФЦ)10.32686/1812-5220-2020-17-2-102-119proanaris-383Research ArticleОПЕРАЦИОННЫЙ БАНКОВСКИЙ РИСКOPERATIONAL BANK RISKПовышение эффективности управления операционными рисками в российских банкахAssecs the Efficiency of Operational Risk Management in Russian BanksАбу-АлропД. Х.Abu-AlropJalal H.

Абу-Алроп Джалал Хэфет, Российский институт управления, экономики и финансов, Финансы, денежное обращение и кредит

420008, Республика Татарстан, г. Казань, ул. Кремлевская, д. 18

420008, Republic of Tatarstan, Kazan, Cremlyovskaya str., 18

jalalabualrop@gmail.comКазанский федеральный университетРоссияKazan Federal UniversityRussian Federation202003052020172102119Copyright © Абу-Алроп Д.Х., 20202020Абу-Алроп Д.Х.Abu-Alrop J.H.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.risk-journal.com/jour/article/view/383

В настоящем исследовании рассматривается эффективность управления операционными рисками 85 российских коммерческих банков за период 2008—2017 гг. В этом исследовании используется ориентированная на ввод модель анализа оболочки данных (DEA) с финансовыми коэффициентами для оценки эффективности управления операционным риском. В исследовании используется базовый подход к измерению операционных рисков. Кроме того, в исследовании используется чистая процентная маржа (NIM), доходность активов (ROA) и доходность собственного капитала (ROE) для измерения эффективности банков. Исследование показало, что малые банки наиболее эффективны в управлении операционным риском, в то время как крупные банки более эффективны, чем средние.

This study examines the efficiency of operational risk management of 85 Russian commercial banks during the period 2008—2017. This study uses data envelopment analysis (DEA) with financial ratios to assess the efficiency of operational risk management. The study adopts the basic indicator approach (BIA) to measuring operational risk. Also, the study adopts net interest margin (NIM), return on assets (ROA), and return on equity (ROE) for measuring banks performance. The study found that the small banks were the most effective in managing operational risk, while large banks were more efficient than medium banks.

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The authors declare that there are no conflicts of interest present.