The dissertation aims to develop theoretical foundations and scientific and methodological approaches to prudential regulation of the minimum capital adequacy requirements of banks, focused on the adequacy of the amount of capital to the amount of risks that banks face in their activities. The paper systematizes the existing approaches to determining the economic essence of capital, its types, and functions in terms of covering risks in banking activities. Based on the results of these studies, the author’s definition of the concept of “bank capital” was proposed in terms of reflecting the economic essence of equity capital as such, which is used to assess the coverage of banking risks, i.e., it personifies the estimated value of the resources owned by banks that can be used to cover risks. The analysis of the transformation of the concept of regulation of the bank’s capital adequacy in international practice over the past decades has shown that the bank’s capital personifies the estimated value, which has been improving over many years and should now be used to assess the completeness of coverage of banking risks in accordance with the level of risk exposure. A comparative analysis of the approaches used by the National Bank of Ukraine to calculate the adequacy of a bank’s capital for consistency with the provisions of the Basel Committee on Banking Supervision (BCBS), including in terms of capital coverage of the risks that banks face in their activities, has been carried out. The main problems hindering the implementation of the Basel Committee on Banking Supervision approaches in the banking sector have been identified. A scientific and methodological approach is proposed to improve the prudential requirements for assessing the adequacy of banks’ capital (H2 standard), based on the provisions of the BCBS, by finalizing the current approach to assessing credit risk (currently risk-weighted assets) and introducing an assessment of operational and market risks with subsequent inclusion in the calculation of H2 standard. The principles that should be used to improve the methodology for calculating the regulatory capital adequacy ratio (H2) of banks in terms of assessing credit, operational and market risks are defined, and an algorithm is developed according to which the improvement should take place. In particular, the values of capital requirements to cover operational and market risks are represented by the amount of the risk weighted by 10% (for balancing with the numeral, based on the standard value of H2 ≥ 10%).
Scientific and methodological approaches to the assessment are proposed: credit risk, operational risk of the bank, market risk of the bank’s activities. A scientific and methodological approach has been developed to construct an indicative indicator of the choice of calculation method (basic/ standardized/ improved) of the bank’s capital requirements to cover operational risk based on regression analysis, which allows objectively determining which banks can apply the basic method to calculate operational risk, which ones should use a more complex standardized method for such purposes, and which ones can claim to apply an improved econometric approach. A scientific and methodological approach is proposed to determine the estimated levels of debtors’ defaults based on migration matrices and subsequent comparison of aggregated historical data on the level of debtors’ defaults in the banking system with the corresponding data of an individual bank. This allows banks to effectively control the level of debtors’ solvency, and allows the National Bank of Ukraine, being the basic subject of microprudential supervision, to determine the level of application of instruments of influence to banks, taking into account the level of defaults of their debtors (general degree of supervision; degree of monitoring; degree of measures taken).
