2012/ 12-02

2012

I. 2
II. 
4
III. 
? 22
IV.  28
30

 2012

I.

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 2012

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. , , ,
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: Banco do Brasil, Itau
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2010 .)

0.3142

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 2012

.
2008 Banco do
Estado de Santa Catarina
. , : .
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,
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2010 39,8%. ,
1. ( Z )

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3.9
3.7
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Banco do Brasil

Itau Unibanco Holdings

2010

2009

2008

2007

2006

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: Bankscope .

I I . /

 2012

Bloomberg, 2011
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Banco do Brasil, Itau Unibanco Holdings Banco
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20062010
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 2012

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10

/ I I .

 2012

7,9%, (1,71%).
, , , ,
. 22,93%
2011 (Bloomberg, 14 2011 ).
, ,
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48,9%.
2011 . , ,
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6,4 . (
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2010

2009

2008

2007

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2005

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11

 2012

2007
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ROAE 8,59%),
( 2009
2010 11,5%).
14
, , , ,

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12

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 2012

State Bank of India, ICICI Bank Punjab National Bank,

2010 26,67% (17,12%, 5,54% 4,01% ).
State Bank of India,
.
(59,41% ) . 2008
State Bank of Saurashtra, 26 2010 State Bank of Indore.
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16,3%) ,
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State Bank of India
3. (2010 )

State Bank of India

ICICI Bank

Punjab National
Bank

0.0311

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0.5045

0.731

0.5249

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2010 .)

0.1867

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0.8016

0.74

0.7299

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: ;
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: Bankscope .

I I . /

13

 2012

,
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( 3). . 2010 8,02%,
( 3). , ( 13,7% )
(16,3%),
.
.
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49,3% ( 14 2011 ).

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ICICI Bank
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State Bank of India), ,
ROAE, ,
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19 . . ICICI Bank
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23,3%, ,
State Bank of India. , , -,

. 2010 ICICI Bank
12,72%, . . , ( 3). , ICICI Bank


,
.
20062010 ( 3).
, State Bank of India, , - ICICI Bank
.

14

/ I I .

 2012

, Punjab National Bank,

( 1895 ). State
Bank of India, , 57,8% . Punjab
National Bank State Bank of
India, (
20,4% 20042010 ), .
. 2010

8,82%, 2008 .
,
,
. 3 . , , 2008
Punjab National Bank 3. Z ( )

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State Bank of India

ICICI

2010

2009

2008

2007

2006

2005

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Punjab National Bank

: Bankscope .

I I . /

15

 2012

, 2007
2010 .
, ,
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Construction Bank (CCB), Bank of China (BOC) Agricultural Bank of
China (ABC). 2010 15,39%, 12,36%,
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70% , .

16

/ I I .

 2012

(, ,
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17

 2012

, , . 2003
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.
,

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ICBC
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CCB

BOC

ABC

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20082010 .)

0.1886

0.274

0.2721

0.2123

0.9131

0.9107

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0.9198

0.5389

0.5613

0.611

0.5036

0.0997

0.104

0.1009

0.0975

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4.033

( 2011 )

: ;
(RWA); Z , : Z = (ROA+CAR)/
(ROA), ROA , CAR . (ROA) ROA.
: Bankscope .

ABC - .

18

/ I I .

 2012

IPO 2010 .4
,
, , -,
.
, - 1990 . 2000- ,

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2008
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.
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.
.
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ICBC, CCB BOC IPO 2006 .

I I . /

19

 2012

, .
-
,
, .
,
, . BOC
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.


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4. Z ( )

6
5.5
5
4.5
4
3.5
3

ICBC CCB BOC

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20

/ I I .

2010

2009

2008

2007

2006

2.5

 2012

I I . /

21

 2012

III.

22

/ I I I . ?

 2012

12 . ,
(
), .
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, :
1) 20022010 Bankscope 2) The Banker 1000
. 142 20032010 ,
. Bankscope,
.
Z
. Z (
). Z
; Z ( )
5.
5 , 20062010 ,
.
( 2) ( 4). , ,
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.
. , ,

I I I . ? /

23

 2012

5. Z (
)
( )
4
3.5
3

2010

2009

2008

2007

2006

2.5

( )
4
3.5
3
2.5

2010

2009

2008

2007

2006

( )
4.5

3.5

2010

2009

2008

2007

2006

2005

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( )
4.5
4
3.5

: Bankscope SIEMS.

24

/ I I I . ?

2010

2009

2008

2007

 2012

.
. 5 , 20062010
,
( 3). , 20062010 ( 5),

( 1).
,


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,
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( 11,22% 8,54% ),
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, ( 5).
, , ,
. ,

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, , .

20062010

,

I I I . ? /

25

 2012

Zijt = + 1 jt + 2 it +
3 i + 4 t +

Z , .
,
; , () ( 2000
); , ;
; , ; .
: , , , ,
, , (), , .
. (t) (j),
(i) .

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26

/ I I I . ?

 2012

,
5 . ,
, ,
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IPO, .
(, HKSE) 2003 .
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I I I . ? /

27

 2012

IV.

28

/ I V .

 2012

.
, 142
2003 2010 . .


-

.

.
,
,
.

12
, - .
Banco do Brasil, , State
Bank of India Bank of China .

, ( ), .
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(75%)
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, .
. ,

.

:
, Ph.D.
(
SIEMS)

:
,
SIEMS)

Ph.D.

:
siems@skolkovo.ru

I V . /

29

 2012

30

 2012

1.

(.
)

Banco do Brasil

481,179,275

0.0144

0.0681

0.0643

0.6786

Itau Unibanco Holdings

447,925,211

0.0189

0.0814

0.0856

0.5817

Banco Bradesco

378,149,672

0.0159

0.0705

0.0761

0.6059

: 10
( ).

114,718,475

0.0159

0.0698

0.0936

0.6744

213,124,280

0.0157

0.0653

0.0914

0.6149

: Bankscope .

2.

(.
)

283,116,940

0.0211

0.0781

0.1144

0.8065

140,791,873

0.0128

0.0517

0.1348

0.6083

: 10
( ).

45,237,983

0.0142

0.0470

0.0853

0.7670

49,727,035

0.0110

0.0528

0.1121

0.7273

: Bankscope .

3.

(.
)

State Bank of India

369,070,181

0.0068

0.0483

0.0525

0.7619

ICICI Bank

119,544,880

0.0118

0.0791

0.1062

0.6482

Punjab National
Bank

86,513,734

0.0117

0.0406

0.0593

0.8787

: 10
( ).

302,026,947

0.0083

0.0216

0.0563

0.8495

301,015,216

0.0065

0.0243

0.0528

0.8647

: Bankscope .

31

 2012

4.

(.
)

ICBC

2,032,134,307

0.0123

0.0280

0.0611

0.9131

China Construction
Bank

1,632,263,396

0.0125

0.0301

0.0648

0.9107

Bank of China

1,579,348,206

0.0105

0.0255

0.0646

0.8666

Agricultural Bank of
China

1,560,857,967

0.0092

0.0283

0.0525

0.9198

: 10
( ).

1,560,857,967

0.0052

0.0178

0.0538

0.8768

1,438,921,949

0.0072

0.0203

0.0575

0.8503

: Bankscope .

5. Z :

(1)

(2)

(3)

Ln()

-1.384***

-1.441**

--

[-5.71]

[-2.36]

27.856***

27.482***

[5.3]

[4.13]

6.690**

8.481**

[2.35]

[2.59]

--

0.063

----

[0.42]

--

-0.288

--

[-0.21]

--

0.971

--

[1.03]

:

--

--

--

--

--

--

0.478
[1.22]
-0.028
[-0.1]
0.804***
[3.57]

32

-20.378**

-18.831**

-19.47*

[-2.05]

[-1.91]

[-1.95]

 2012

0.317**

0.297**

0.282*

[2.17]

[2.02]

[1.92]

-0.61

-0.534

-0.603

[1.33]

[-1.18]

[-1.31]

0.073

0.065

0.071

[1.48]

[1.34]

[1.44]

-1.503***

-1.399***

-1.272**

[-3.11]

[-3.11]

[2.52]

-0.001

-0.019

-0.108

[-0.01]

[-0.14]

[-0.82]

-0.694

-0.321

0.228

[-0.79]

[-0.34]

[0.19]

-2.023

-2.293

-4.482***

[-1.12]

[-1.26]

[-2.83]

0.964

0.517

0.327

[1.54]

[0.62]

[0.39]

-0.382

-0.194

-0.518

[-0.86]

[-0.4]

[-1.01]

22.48***

22.354***

6.018***

[5.6]

[2.9]

[2.79]

349

349

349

133

133

133

R- ( )

0.34

0.352

0.332

Log()
Log()

/

/

. Z . Z = (ROA+CAR)/(ROA), ROA , CAR

, . (ROA) ROA
. Z . = + .
. t- , ,
. ***, ** * 1%, 5% 10% .

33

 2012

Beck, Demirg-Kunt, and Levine, 2006. Bank concentration, competition, and crises: First results, Journal of
Banking and Finance 30, 1581-1603.
Demirguc-Kunt, A., Kane, E., Laeven, L., 2008. Determinants of deposit insurance adoption and design, Journal
of Financial Intermediation 17, 407-438.
Djankov, S., McLiesh, C., Shleifer, A., 2007. Private credit in 129 countries, Journal of Financial Economics 84,
299-329.
Foos, D., Norden, I., Weber, M., 2010. Loan growth and riskiness of banks, Journal of Banking and Finance 34,
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Economics 96 (2010), 485-512.
Laeven, Luc and Fabian Valencia, 2008. Systemic Banking Crises: A New Database, IMF Working Paper.
Laeven, Luc and Fabian Valencia, 2010. Resolution of Banking Crises: The Good, the Bad, and the Ugly, IMF
working paper 10/146.
Mohan, Rakesh, 2006. Reforms, productivity and efficiency in banking: The Indian experience, The Reserve Bank
of India Bulletin, March 2006.
Qu, Baozhi, 2011. World Financial Crisis and Emerging Market Bank Performance: A Bank Efficiency Study, The
Skolkovo Institute for Emerging Markets Studies, monthly reports, September 2011.
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Russian Federation: Financial System Stability Assessment, International Monetary Fund (IMF), September 2011.

34

 2012

:
09-01 : ( 2009).
09-02 . ( 2009).
09-03 : ( 2009).
09-04 :
( 2009).
09-05 : (FDI) ( 2009).
09-06 ?
( 2009).
09-07 : ( 2009).
10-01 : ? ( 2010).
10-02 : ?
( 2010).
10-03
( 2010).
10-04
( 2010).
10-05 ( 2010).
10-06 : ( 2010).
10-07 ?
? ( 2010).
11-01 : 100
? ( 2011).
11-02 , : ( 2011).
11-03 : ( 2011).
11-04 ( 2011).
11-05 :
( 2011).
11-06 :
( 2011).
11-07 ( 2011).
11-08 : ( 2011).
11-09 : ( 2011).
11-10 , - :

35

 ( 2011).
11-11 ( 2011).
12-01 SIEMS ( 2012).
12-02 ( 2012).

:
10-01 2030 : C
( 2010).
10-02 .
: ? ( 2010).
10-03 . ( 2010).
10-04 : ( 2010).
11-01 . , ( 2011).
11-02 ( 2011).
11-03 .
( 2011).

 2012

,
- . ,
,
. : ,
, .

-
.

.

.
2006
Executive Education

, ,
. 2009 Executive MBA,
2009 Fulltime MBA.

,

. , . , 100
.: +7 495 580 30 03
: +7 495 994 46 68

(SIEMS) ,

.
, ,

. ,
,
, ,
, , ,
.
SIEMS ,

.

,
. :
,
,

.
,
. .


, 100101,
Unit 1607-1608, North Star Times Tower
No. 8 Beichendong Road, Chaoyang District
./: +86 10 6498 1634

info@skolkovo.ru
www.skolkovo.ru
/

37

 , , .
144 000 , , . , , .
1989 . . 16 ( ,
-, , , , -, , , , , , , , , ) 3400 .
, - .
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Ernst & Young
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,

. , . , 100
.: +7 495 580 30 03
: +7 495 994 46 68
info@skolkovo.ru
www.skolkovo.ru

, 100101,
Unit 1607-1608, North Star Times Tower
No. 8 Beichendong Road, Chaoyang District
./: +86 10 6498 1634