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СОВРЕМЕННЫЕ ТЕХНОЛОГИИ УПРАВЛЕНИЯ
ОРГАНИЗАЦИЕЙ
УДК 330.43
Kozhaev Dmitry the first year master course student "International Finance" faculty Financial University under the Government of the Russian Federation
Moscow, Russia
ANALYSIS OF THE ECONOMIC FACTORS IN THE REGRESSION
MODEL INFLUENCING NET PROFIT OF THE PJSC BANK VTB АНАЛИЗ ЭКОНОМИЧЕСКИХ ФАКТОРОВ В РЕГРЕССИОННОЙ МОДЕЛИ, ВЛИЯЮЩИХ НА ЧИСТЫЙ ДОХОД ПАО БАНК ВТБ.
Abstract: The article is devoted to the econometric approach in evaluation of variable factors used to forecast the net profit of the bank. Used macroeconomic data are tested to identify their adequacy for analysis.
Key words: Econometric model, regression, least squares method, VTB, FDI in Russia, unemployment, economic factors.
Аннотация: Статья посвящена эконометрическому подходу оценки переменных факторов, влияющих на чистый доход ПАО ВТБ. Использованные макроэкономические данные подвергаются тестированию с целью выявления их адекватности для анализа.
Ключевые слова: Эконометрическая модель, регрессия, метод наименьших квадратов, ВТБ, прямые иностранные инвестиции в Россию, уровень безработицы, экономические факторы.
In recent years many companies struggled to stay profitable especially in the tough economic conditions, such as in Russia. After economic crisis of 2008 most banks met a serious problems with remaining on their top positions in the ranking, VTB is not exception, their net profit fell to negative figures for the first time of their history of annual reporting in 2009. That's why it is rational to estimate the environment indicators such as economic or financial ones in order to understand which factors influence companies, in the case of this work a commercial bank. By analyzing historical events and figures, future values can be predicted as well as estimated the relevance of the variables. A lot of factors can influence banking activity but in the scope of this work were chosen 5 economic factors, obviously 5 factors are not the maximum amount, that's why this model can be further developed and modernized.
Indicators estimated in the scope of the report are presented in the Table 1.
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Table 1 - indicators definition
Y VTB NET PROFIT
X1 Lending interest rate (%) in Russia
X2 Foreign direct investment, net inflows (BoP, current US$) in Russia
X3 Unemployment, total (% of total labor force) (national estimate) in Russia
X4 Official exchange rate (LCU per US$, period average) in Russia
X5 GDP per capita (current US$) in Russia
As for the VTB net profit data there was met an obstacle of non-existence of the financial reporting for this company before 2003, which made the amount of observations small and inaccurate, but this model can be updated in further years. Banks operations are highly dependable on the loans revenue that's why there is a prediction that lending interest rate can influence banks profit. Banking sector is the part of the economy that's why GDP per capita and unemployment rate with exchange rate are able to influence its productivity. One more important factor is foreign direct investments which can influence the company's development, as well as cash inflows in the market. Applying econometric model with the regression equation these indicators were analyzed all provided data is annual from 2003-2016.
Indicators of the regression equation can be estimated by the method of least squares. The essence of this method lies in the finding coefficients of the model (c), under which the sum of the squared deviations is minimized of empirical (real) values of the influencing factors from theoretical ones, found by the determined equation of regression. [1]
Regression analysis was done via the Eviews 9.0 software. The equation of VTB net pfofit:
Y1 = 141.441836833- 30.2416211352*X1 +2.20847048056e-09*X2 +4.16844182487*X3 +7.31091336723*X4 -0.0103887587654*X5
The figures are representing the coefficients of the model, some of the variables such as «X» will be excluded due to irrelevance of the variable on the described Y.
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Table 2 regression analysis
System: VTB
Estimation Method: Least Squares
Date: 03/02/17 Time: 02:01
Sample: 2003 2014
Included observations: 12
Total system (balanced) observations 12
Coefficient Std. Error t-Statistic Prob.
C(1) 141.4418 108.5135 1.303449 0.2402
C(2) -30.24162 4.428605 -6.828702 0.0005
C(3) 2.21E-09 9.01E-10 2.451586 0.0497
C(4) 4.168442 8.396837 0.496430 0.6373
C(5) 7.310913 4.412233 1.656964 0.1486
C(6) -0.010389 0.005244 -1.981087 0.0949
Determinant residual covariance 115.5728
Equation: Y1=C(1)+C(2)*X1+C(3)*X2+C(4)*X3+C(5)*X4+C(6)*X5 Observations: 12_
R-squared 0.947167 Mean dependent var 41.44167
Adjusted R-squared 0.903140 S.D. dependent var 48.85058
S.E. of regression 15.20347 Sum squared resid 1386.874
Durbin-Watson stat 2.636985
Based on regression analysis have been identified, that R - squared 94.71% (demonstrates high tightness of the link between Y and X). Probability of variables (Prob.) less than 5% which means high level of significance for some variables, in order to estimate relevance t-statistic is used in which The significance of the variable can be tested with application of the Student criteria «tKp» with lies in proving the equation . The t-criteria11t\ ± rKi, i by the formula «=TINV(0,1 ;12-5-1)», where 0,1 is the probability, 12 is the number of estimation, 5 amount of regressors. A T criterion equals to 1,943180281. Under t-statistics test only c(1), c(4),c (5) have passed the test, while under testing of standard deviation to coefficients, the values of c(1), c(2), c(5), c (6) showed the level of signifisence. Applying both test it can be stated that c(1) and c(5) coefficients and variables are significant to the model and thus equation of the VTB will be equal:
Y1= 141.441836833 - 0.0103887587654*X5
And this variable is the GDP per capita, which means that this bank is highly influenced by the economic situation in Russia.
Durbin - Watson test equals = 2,64, this value shows that found model is in the area of uncertainty, it means that some of the variables may reflects on final results (correlation).
To accept model should be analyzed test on heteroscedasticity, it means that variance of the random error should constant or focused. If errors distributed without similarity it means that we can't accept model. But with the obstacle of the lack of data on VTB financial existence the amount of observations is insufficient to determine homoscedasticity.
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To sum up, the model showed that there is a relation between economic factors on the profit of the commercial bank but due to the short existence of it there yet not sufficient data for further testing, this model could be developed to estimate relevance of the economic sector on the financial results of the firms.
References
1.Трегуб А.В., Трегуб И.В. Методика прогнозирования основных показателей развития отраслей российской экономики // Вестник Московского Государственного университета леса -Лесной Вестник. 2014. № 4 (103). С. 231-236.
2.Раскрытие финансовой отчетности по МСФО, ВТБ [Электронный ресурс]. URL: http://www.vtb.ru/ir/statements/ifrs/#year2008 (дата обращения: 20.02.2017).
3.Databank,statistics Russia [Электронный ресурс]. URL: http://databank.worldbank.org/data/reports.aspx?source=2&country=USA# (дата обращения: 21.02.2017).
УДК 368
Арзамасцева В.А. студент
Ставропольский государственный аграрный университет
Россия, г.Ставрополь Научный руководитель: Клишина Ю.Е. УПРАВЛЕНИЕ ПЛАТЕЖЕСПОСОБНОСТЬЮ СТРАХОВОЙ
КОМПАНИИ «СОГАЗ» Аннотация: В статье рассматривается платежеспособность страховой компании, определяются показатели ликвидности страховой компании «СОГАЗ», предложены рекомендации по управлению платежеспособностью страховой компании.
Ключевые слова: страховая компания, платежеспособность, ликвидность, маржа, страховщик.
Arzamastseva, V. A.
student
Stavropol State Agrarian University Russia, Stavropol Scientific supervisor: Y. E. Klishina SOLVENCY MANAGEMENT OF INSURANCE COMPANY "SOGAZ" Abstract: the article discusses the solvency of the insurance company, determines the liquidity of the insurance company "SOGAZ", recommendations on the management of solvency of insurance companies.
Key words: insurance company, solvency, liquidity, margin, the insurer. Проанализируем деятельность АО «СОГАЗ на основе коэффициентов ликвидности, и сравним полученные показатели с аналогичными показателями за предыдущие периоды. Как было сказано ранее, ликвидность
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