Comparative analysis of the liquidity ratios of the largest banks of Serbia: Indicator of performance measurement

Vesić, Tamara; Ravić, Nenad; Đekić, Marija

doi:10.5937/aneksub1942003v

Cited by 5 publications

(3 citation statements)

References 5 publications

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“…These are banks with lower market share except Procredit bank, which focuses on entrepreneur loans. The lower levels of profit efficiency can be explained because of the lower interest rate levels on the given loans by the banks as well as the high costs of lowering NPL (Vesić et al, 2019). Furthermore, the Serbian banking market records a large number of acquisitions in recent years, where the less profitable banks are targets for the acquiring banks.…”

Section: Resultsmentioning

confidence: 99%

DEA efficiency of Serbian banks: Comparison of three approaches

Horvat¹,

Milenković²,

Radovanov³

et al. 2023

Anali Ekon fak Subotica

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The aim of this paper is to analyse three approaches in order to give a comprehensive analysis of the efficiency of the banking sector in Serbia. The paper analyses the intermediate, operating and profitability approach for measuring bank efficiency in order to give an answer to the question which is the most efficient and where can be improvements made. The paper applies a non-parametric data envelopment analysis (DEA) on a sample of 23 banks operating in Serbia in the period during and after the covid-19 pandemic, i.e. for 2019, 2020 and 2021. The results of the analysis showed that efficiency is the highest according to the intermediate approach, while the efficiency of banks is the lowest in the approach of measuring profit efficiency. The fact that the lowest levels of efficiencies in each approach were achieved by small banks with a small market share should be added to the results of the analysis. The results of the research are certainly influenced by low interest rates and the activities of mergers and acquisitions, which are intensive on the Serbian banking market.

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Section: Resultsmentioning

confidence: 99%

DEA efficiency of Serbian banks: Comparison of three approaches

Horvat¹,

Milenković²,

Radovanov³

et al. 2023

Anali Ekon fak Subotica

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“…In order to increase banks' resilience to losses, as well as to reduce excessively or underestimated exposure and to limit the distribution of capital, capital buffers have been introduced (Abbas et al, 2019). The level of capital requirements influences financial soundness indicators (Ercegovac et al, 2019;Vesić et al, 2019). In good times, banks, in accordance with the recommendation of the Basel Committee on Banking Supervision (BCBS, 2010), create capital reserves that will then be used when the systemic risk materializes (Ayuso et al, 2002;Seidler & Gersl, 2012).…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of capital buffers in Serbia

Martin¹

2021

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The aim of this paper is to analyse all capital buffers that are currently applied in Serbia. Regulation that transposes Basel III regulatory standards in Serbia was adopted in December 2016. These buffers increase the resilience of banks to losses, reduce excessive or underestimated exposures and restrict the distribution of capital. An assessment of the long-term trend of the credit-to-GDP ratio is based on using a one-sided Hodrick-Prescott filter and the selected value of the parameter l equals 400000. Also, this paper used the following methods of research: inductive and deductive methods, methods of analysis and synthesis, classification method and the method of comparison. Analysis has shown that capital buffers that are currently applied in Serbia are fully harmonized with European Union regulations and international best practices.

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“…The main purpose of using these methods is to observe whether the early signs of a possible crisis in the markets can be detected, or more precisely, when to leave the market and enter it. In addition to these metrics, one can also use liquidity ratios to assess risks in companies (Vesić, Rević, & Đekić, 2019) or Safety-First-Model (SFM) that was used to analyse the risk attitude (Oladipo Akanbi, Adekunle, Mukaila, & Isola, 2022). One underlying assumption is that the investor is risk-averse, so he should choose a specific exit point and use it as soon as the first signs are visible.…”

Section: Introductionmentioning

confidence: 99%

Development of a trading strategy for risk-averse investors based on VaR models

Cicmil¹,

Đaković²,

Inđić³

2022

Ekonomika

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In this paper various topics related to programming, statistics and financial modelling were addressed with the main idea of establishing a trading strategy. As discussed in the paper, no research has been done on this topic. On the other hand, much research has been done on which model is better, which distribution or confidence level is more appropriate or provides better forecasting capabilities. No one has investigated whether these differences could lead to a development of trading strategy. The paper starts with a definition of the gap in literature and practice. Then the research methodology is outlined in detail. Formulas and parameters are defined and presented. The main conclusion of this paper is the importance of GARCH VaR and the possibility of creating trading strategies. As long as the difference between the GARCH VaR and the other two VaRs does not exceed 1.5%, there is no need to leave the market. Should this situation change, one should leave the market as long as these differences do not fall below 1.50%.

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Comparative analysis of the liquidity ratios of the largest banks of Serbia: Indicator of performance measurement

Abstract: Т а м а р а В е с и ћ , Н е н а д Р а в и ћ , М а р и ј а Ђ е к и ћ

Cited by 5 publications

References 5 publications

DEA efficiency of Serbian banks: Comparison of three approaches

DEA efficiency of Serbian banks: Comparison of three approaches

Analysis of capital buffers in Serbia

Development of a trading strategy for risk-averse investors based on VaR models

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