Determining the Rating of Ukrainian Banks on the Risk of Legalization of Illegally Obtained Income

Анотація

The article examines a scientific and methodological approach to the rating of banks on the risk of money laundering. A sample of 18 indicators of 65 Ukrainian banks in 2019 was selected. The relative indicators that characterize the risk of using the bank's operations to legalize illegal income are considered. Logically, the indicators are divided into three parts. The first group of indicators characterizes the quantity and quality of the bank's compliance with the current legislation of Ukraine in the field of financial monitoring. The second group of indicators reflects the size of cash turnover in the bank, which is a characteristic of the bank's participation as a conversion center. The third group of indicators characterizes the bank's involvement in international income laundering cycles, considering transactions in countries - offshore zones and dubious transactions without explicit confirmation by a foreign trade contract. The study of input data on multicollinearity was carried out, based on which 5 indicators that are collinear with others were excluded. Normalization of the input data set based on nonlinear normalization is carried out. The weights of each indicator are calculated based on the principal component’s method. The optimal number of factors was determined based on the percentage of the variance explained by each factor and the graph of the scree plot. Minkowski metric was used to construct the integral index. Based on the integrated indicator, the rating of banks on the risk of money laundering was formed. The verbal-numerical Harrington scale provided a qualitative characterization of the risk of using bank operations to legalize illicit income. MS Office Excel software and Correlations of the statistical package STATISTICA 10 were used for calculations. Keywords: Anti-money laundering, the rating of banks, on the risk of legalization, integral indicator, Minkowski metric.

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