voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2017-7-42-61voprecotest-322Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL ECONOMICSСпрятанные «дыры» в капитале еще не обанкротившихся российских банков: оценка масштаба возможных потерьHidden “holes” in the capital of not yet failed banks in Russia: An estimate of the scope of potential lossesМамоновМ. Е.MamonovM.

к. э. н., руководитель группы банковских исследований ЦМАКП; н. с. ИНП РАН, с. н. с. НИУ ВШЭ (Москва)

mmamonov@forecast.ruЦМАКП; ИНП РАН; НИУ ВШЭРоссияCenter for Macroeconomic Analysis and Short-Term Forecasting, Institute of Economic Forecasting, RAS; National Research University Higher School of EconomicsRussian Federation201720072017074261Copyright © Voprosy Ekonomiki, NP, 20172017Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/322

После смены руководства в июне 2013 г. Банк России начал активно бороться с фальсификацией банковских балансов и за четыре года отозвал 1/3 лицензий на осуществление банковской деятельности, обнаружив «дыры»в капитале на общую сумму 2,1% ВВП. Однако до сих пор процесс расчистки банковского сектора затрагивал лишь средние и мелкие по размеру банки (за редкими исключениями). Что произойдет, если этот процесс затронет более крупные банки? Сколько новых «дыр» возможно и каков их ожидаемый размер в случае обнаружения? Расчеты по селективным моделям Хекмана показали, что по состоянию на 1 июля 2016 г. от 300 до 400 банков из 641 могли скрывать «дыры» на сумму соответственно от 3,6 до 6,8% ВВП. Анализ на уровне отдельных групп банков - из числа топ-30 по размеру активов, остальных банков из первой сотни и банков вне ее - показал, что наибольшие относительные потери локализуются в последней группе.

Recently, the Bank of Russia has begun to actively fight against the balance sheet falsification in banking and withdrew every third bank’s license during the last four years. In the majority of cases, the regulator revealed hidden “holes” in the capital of bankrupted financial institutions; the total sum of already revealed negative capital amounts to -2,1% of Russian GDP in 2015. However, until now the process of clearing the banking system has affected only small and medium-sized banks (with few exceptions). What happens if this process touches on larger banks? How many new episodes of “holes” in the capital can we face in the near future and what is their potential size in case of detection? Our estimations, based on Heckman selection models, show that from 300 to400 out of 641 Russian banks that were active in the mid-2016 might already hide “holes” in the capital from -3,6% to -6,8% of GDP. The analysis at the level of different groups of banks - among the top 30 in terms of assets, other banks from the first hundred and banks outside the top 100 - shows that the greatest loss is localized in the last group.

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