АНАЛІЗ РОЗРИВІВ ЛІКВІДНОСТІ ЯК МЕТОД ЗБАЛАНСОВАНОГО УПРАВЛІННЯ АКТИВАМИ ТА ПАСИВАМИ (НА ПРИКЛАДІ АТ «КБ «ПРИВАТБАНК»)

Abstract

In the article it was explored the concept of asset and liability management. It was found that this process has a direct impact on the structure and liquidity of the bank's balance sheet, as well as sensitivity to fluctuations in interest rates on its financial items. Liquidity management is a priority in the bank's asset and liability management. It was justified that the best method of assessing the risk of liquidity loss is to analyze the gap in the maturity of financial requirements and liabilities. The basis of liquidity management is the concept of cash flow compliance, aimed at ensuring that based on the GAP-analysis of incoming cash flows are brought in line with the outgoing flows. It was revealed that an important system-forming institution of the domestic banking sphere is JSC CB «PrivatBank». From the point of view of asset and liability management, the main sources of mobilization of financial resources of this bank were be identified. It was found that due to the active work of JSC CB «PrivatBank» in the Ukrainian financial market, the greatest danger is the probability of liquidity risk. The emergence of this risk means that the institution may suffer losses, additional expenses or loss of income due to its inability to provide financing to increase assets and/or fulfillment of its liabilities in due time. In this context the GAP-analysis was performed for JSC CB «PrivatBank». For the purpose of liquidity gap analysis there were selected only financial assets and liabilities of the bank. All these funds were divided into following groups: on demand and up to 1 month, from 1 to 3 months, from 3 to 12 months, more than 12 months. It was made an assessment of the dynamics of changes in liquidity gaps in JSC CB «PrivatBank» in terms of maturity, as well as the total liquidity gap in 2016-2020. The necessity of developing measures to maintain liquidity in case of adverse events was substantiated. There were offered variants of scenarios of response to realization of bank liquidity risks. Emphasis was placed on the importance of finding alternative sources of funding that increase the bank's ability to withstand stressful situations and liquidity crises.