CREDIT RISK MANAGEMENT IN UKRAINIAN BANKS UNDER MARTIAL LAW: CORRELATION-REGRESSION MODELLING
Abstract
The article substantiates the theoretical and methodological foundations of credit risk management in Ukrainian banks under martial law, considering the deepening macroeconomic instability, the transformation of banks’ business models and the tightening of regulatory requirements imposed by the NBU and international supervisory institutions. The purpose of the study is to deepen approaches to the assessment, forecasting and mitigation of credit risk by applying correlation regression modelling to identify the impact of internal and external factors on the level of non-performing loans and on the financial resilience of banking institutions. The authors’ contribution consists of adapting global credit risk management frameworks (Basel standards, IFRS 9, CECL) to the specific features of the Ukrainian banking sector during war, constructing a two-factor regression model for JSC “Poltava Bank” based on annual statistical data for 2021–2024, and systematising a set of NPL management instruments at both macro and micro levels. The empirical results confirm an inverse relationship between bank asset growth and the share of NPLs, as well as a positive impact of increases in the NBU key policy rate on problem loan ratios, which necessitates a revision of credit policies, the strengthening of early warning risk monitoring and the adjustment of lending terms under tight monetary conditions. The practical significance of the research lies in the development of applied recommendations to reinforce preventive risk management, diversify the loan portfolio, improve models for assessing borrowers’ creditworthiness, enhance active NPL management, raise the quality of collateral and integrate stress testing results into strategic planning and capital management processes. It is concluded that the integrated use of international standards, macroprudential tools, and internal bank risk management mechanisms enables the reduction of the share of problem loans, the reinforcement of the financial resilience of Ukrainian banks, the maintenance of stakeholder confidence, and the preservation of their ability to perform financial intermediation functions amid prolonged economic and security instability.
References
Доценко І. Управління кредитними ризиками банківських установ в умовах воєнного стану. Modeling the development of the economic systems. 2024. № 1. С. 156–162. DOI: https://doi.org/10.31891/mdes/2024-11-22
Антків В. Кредитні ризики банків України в умовах війни. Економічний аналіз. 2025. Том 35. № 3. С. 747–758. DOI: https://doi.org/10.35774/econa2025.03.747
Рябушка Л. Б., Криклій О. А., Батанін А. Д. Моделювання впливу проблемних кредитів і макроекономічних факторів на фінансові результати банків України. БізнесІнформ. 2025. № 8. С. 399–408. DOI: https://doi.org/10.32983/2222-4459-2025-8-399-408
Zarutska, O., Dobrovolska, O., Masiuk, I., Sonntag, R., & Ortmanns, W. Risk management through a Kohonen map bank business model survey: The case of Ukraine. Banks and Bank Systems. 2024. № 19 (2). Р. 221–233. DOI: https://doi.org/10.21511/bbs.19(2).2024.18
Osipenko, D. Managing the loan portfolio of banks in the context of military conflicts: Comparison of world experience and the experience of Ukraine. University Economic Bulletin. 2024. Vol. 19. № 2. Р. 36–46. DOI: https://doi.org/10.69587/ueb/2.2024.36
Zaichko, I., Bohrinovtseva, L., Verheliuk, Y., & Purdenko, O. Current challenges and prospects of loan portfolio quality management in wartime: the case of Ukraine. Academic Review. 2023. № 2 (59). DOI: https://doi.org/10.32342/2074-5354-2023-2-59-15
Костюченко О., Стефанчук М., Коробцова Д., Сонюк О. Мінімізація проблемних кредитів у банках: економіко-правовий аспект державного регулювання. Financial and Credit Activity: Problems of Theory and Practice. 2021. № 2 (37). С. 47–54. DOI: https://doi.org/10.18371/fcaptp.v2i37.229686
Bank for International Settlements. IFRS 9 and expected loss provisioning – executive summary. Basel: BIS, 2017. URL: https://www.bis.org/fsi/fsisummaries/ifrs9.pdf
European Banking Authority. Final report – Guidelines on loan origination and monitoring (EBA/GL/2020/06). Paris: EBA, 2020. URL: https://lnk.ua/Cu135mHnA
Financial Accounting Standards Board. ASU 2016-13 – Financial instruments – credit losses (Topic 326): measurement of credit losses on financial instruments. Norwalk, CT: FASB, 2016. URL: https://www.fasb.org/page/document?pdf=ASU+2016-13.pdf
Bank for International Settlements. IFRS 9 and expected loss provisioning – executive summary. Basel: BIS, 2017. URL: https://www.bis.org/fsi/fsisummaries/ifrs9.pdf
Basel Committee on Banking Supervision. International convergence of capital measurement and capital standards: a revised framework (comprehensive version). Basel: Bank for International Settlements, 2006. URL: https://www.bis.org/publ/bcbs128.pdf
Basel Committee on Banking Supervision. Basel III: a global regulatory framework for more resilient banks and banking systems. Basel: Bank for International Settlements, 2011 (rev.). URL: https://www.bis.org/publ/bcbs189.htm
Board of Governors of the Federal Reserve System. 2024 supervisory stress test methodology. Washington, DC: Federal Reserve, 2024. URL: https://www.federalreserve.gov/publications/files/2024-march-supervisory-stress-test-methodology.pdf
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (CRD IV). EUR-Lex. URL: https://eur-lex.europa.eu/eli/dir/2013/36/oj/eng
IFRS Foundation. IFRS 9 Financial instruments. London: IFRS Foundation, чинна редакція. URL: https://www.ifrs.org/content/dam/ifrs/publications/pdf-standards/english/2021/issued/part-a/ifrs-9-financial-instruments.pdf
Ніколаєва А. Теоретико-методичні аспекти функціонування системи управління проблемними кредитами в банках. Економічний форум. 2022. № 12 (3). С. 185–193. DOI: https://doi.org/10.36910/6775-2308-8559-202-3-24
Приказнюк Н., Загороднюк Ю. Сучасні підходи до управління проблемними кредитами в банках. Причорноморські економічні студії. 2022. № 73. С. 103–109. DOI: https://doi.org/10.32843/bses.73-16
Рівень непрацюючих кредитів // Національний банк України. 2025. URL: https://bank.gov.ua/ua/stability/npl
Ukraine Resilience and Livelihoods Framework. European Bank for Reconstruction and Development. 2023. URL: https://www.ebrd.com/home/work-with-us/projects/psd/53662.html
Ozili P. K. Non-performing loans and financial development: new evidence. The Journal of Risk Finance. 2019. Vol. 20. №. 1. Р. 59–81. DOI: https://doi.org/10.1108/JRF-07-2017-0112
Сайт Національного Банку України. URL: https://bank.gov.ua/
Офіційний сайт АТ «Полтава-Банк». URL: https://poltavabank.com/
Про затвердження Положення про визначення банками України розміру кредитного ризику за активними банківськими операціями: постанова Правління Національного банку України від 30.06.2016 № 351. Верховна Рада України. URL: https://zakon.rada.gov.ua/go/v0351500-16
Орлов М. С. Організація і методика стрес-тестування ризиків банківської діяльності. Економіка. Фінанси. Право. 2024. № 8. С. 64–69. DOI: https://doi.org/10.37634/efp.2024.8.13
Худолій Ю., Глушко А. Статистичні методи в системі оцінювання фінансової стійкості банківських установ. Соціальний розвиток: економіко-правові проблеми. 2025. № 7–8. DOI: https://doi.org/10.70651/3083-6018/2025.7-8.097
Hlushko A. Khudolii, Yu. Financial technologies as a factor in the innovative development of the banking system. Chapters of Monographs in: «Intellectual capital is the foundation of innovative development '2025». Monographic series «European Science».Karlsruhe, Germany: ScientificWorld-NetAkhatAV, March 2025, Book 38, Part 3, pp. 19–27. DOI: DOI: https://doi.org/10.30890/2709-2313.2025-38-03
Dotsenko I. (2024). Upravlinnia kredytnymy ryzykamy bankivskykh ustanov v umovakh voiennoho stanu [Management of credit risks of banking institutions under martial law]. Modeling the Development of the Economic Systems, vol. 1, pp. 156–162. DOI: https://doi.org/10.31891/mdes/2024-11-22
Antkiv V. (2025). Kredytni ryzyky bankiv Ukrainy v umovakh viiny [Credit risks of Ukrainian banks under war conditions]. Ekonomichnyi analiz – Economic Analysis, vol. 35(3), pp. 747–758. DOI: https://doi.org/10.35774/econa2025.03.747
Riabushka L. B., Kryklii O. A., & Batanin A. D. (2025). Modeliuvannia vplyvu problemnykh kredytiv i makroekonomichnykh faktoriv na finansovi rezultaty bankiv Ukrainy [Modeling the impact of non-performing loans and macroeconomic factors on the financial results of Ukrainian banks]. Biznes Inform – Business Inform, vol. 8, pp. 399–408. DOI: https://doi.org/10.32983/2222-4459-2025-8-399-408
Zarutska O., Dobrovolska O., Masiuk I., Sonntag R., & Ortmanns W. (2024). Risk management through a Kohonen map bank business model survey: The case of Ukraine. Banks and Bank Systems, vol. 19(2), pp. 221–233. DOI: https://doi.org/10.21511/bbs.19(2).2024.18
Osipenko D. (2024). Managing the loan portfolio of banks in the context of military conflicts: Comparison of world experience and the experience of Ukraine. University Economic Bulletin, vol. 19(2), pp. 36–46. DOI: https://doi.org/10.69587/ueb/2.2024.36
Zaichko I., Bohrinovtseva L., Verheliuk Y., & Purdenko O. (2023). Current challenges and prospects of loan portfolio quality management in wartime: The case of Ukraine. Academic Review, vol. 2(59). DOI: https://doi.org/10.32342/2074-5354-2023-2-59-15
Kostiuchenko O., Stefanchuk M., Korobtsova D., & Soniuk O. (2021). Minimizatsiia problemnykh kredytiv u bankakh: ekonomiko-pravovyi aspekt derzhavnoho rehuliuvannia [Minimization of non-performing loans in banks: Economic and legal aspect of state regulation]. Financial and Credit Activity: Problems of Theory and Practice, vol. 2(37), pp. 47–54. DOI: https://doi.org/10.18371/fcaptp.v2i37.229686
Bank for International Settlements. (2017). IFRS 9 and expected loss provisioning: Executive summary. Basel: BIS. URL: https://www.bis.org/fsi/fsisummaries/ifrs9.pdf
European Banking Authority. (2020). Final report: Guidelines on loan origination and monitoring (EBA/GL/2020/06). Paris: EBA. URL: https://lnk.ua/Cu135mHnA
Financial Accounting Standards Board. (2016). ASU 2016-13: Financial instruments – credit losses (Topic 326): Measurement of credit losses on financial instruments. Norwalk, CT: FASB. URL: https://www.fasb.org/page/document?pdf=ASU+2016-13.pdf
Bank for International Settlements. (2017). IFRS 9 and expected loss provisioning: Executive summary. Basel: BIS. URL: https://www.bis.org/fsi/fsisummaries/ifrs9.pdf
Basel Committee on Banking Supervision. (2006). International convergence of capital measurement and capital standards: A revised framework (comprehensive version). Basel: Bank for International Settlements. URL: https://www.bis.org/publ/bcbs128.pdf
Basel Committee on Banking Supervision. (2011). Basel III: A global regulatory framework for more resilient banks and banking systems. Basel: Bank for International Settlements. URL: https://www.bis.org/publ/bcbs189.htm
Board of Governors of the Federal Reserve System. (2024). 2024 supervisory stress test methodology. Washington, DC: Federal Reserve. URL: https://www.federalreserve.gov/publications/files/2024-march-supervisory-stress-test-methodology.pdf
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (CRD IV). (2013). EUR-Lex. URL: https://eur-lex.europa.eu/eli/dir/2013/36/oj/eng
IFRS Foundation. (2021). IFRS 9 financial instruments. London: IFRS Foundation. URL: https://www.ifrs.org/content/dam/ifrs/publications/pdf-standards/english/2021/issued/part-a/ifrs-9-financial-instruments.pdf
Nikolaieva A. (2022). Teoretyko-metodychni aspekty funktsionuvannia systemy upravlinnia problemnymy kredytamy v bankakh [Theoretical and methodological aspects of functioning of the system of managing non-performing loans in banks]. Ekonomichnyi forum – Economic Forum, vol. 12(3), pp. 185–193. DOI: https://doi.org/10.36910/6775-2308-8559-202-3-24
Prykazniuk N., & Zahorodniuk Yu. (2022). Suchasni pidkhody do upravlinnia problemnymy kredytamy v bankakh [Modern approaches to management of non-performing loans in banks]. Prychornomorski ekonomichni studii – Black Sea Economic Studies, vol. 73, pp. 103–109. DOI: https://doi.org/10.32843/bses.73-16
National Bank of Ukraine. (2025). Riven nepratsiuiuchykh kredytiv [Level of non-performing loans]. URL: https://bank.gov.ua/ua/stability/npl
European Bank for Reconstruction and Development. (2023). Ukraine resilience and livelihoods framework. URL: https://www.ebrd.com/home/work-with-us/projects/psd/53662.html
Ozili P. K. (2019). Non-performing loans and financial development: New evidence. The Journal of Risk Finance, vol. 20(1), pp. 59–81. DOI: https://doi.org/10.1108/JRF-07-2017-0112
National Bank of Ukraine. (n.d.). Official website. URL: https://bank.gov.ua/
Poltava-Bank. (n.d.). Official website of JSC Poltava-Bank. URL: https://poltavabank.com/
National Bank of Ukraine. (2016). Pro zatverdzhennia Polozhennia pro vyznachennia bankamy Ukrainy rozmiru kredytnoho ryzyku za aktyvnymy bankivskymy operatsiiamy [On approval of the Regulation on determining the amount of credit risk by banks of Ukraine for active banking operations] (Resolution No. 351, June 30, 2016). URL: https://zakon.rada.gov.ua/go/v0351500-16
Orlov M. S. (2024). Orhanizatsiia i metodyka stres-testuvannia ryzykiv bankivskoi diialnosti [Organization and methodology of stress testing of banking activity risks]. Ekonomika. Finansy. Pravo – Economics. Finance. Law, vol. 8, pp. 64–69. DOI: https://doi.org/10.37634/efp.2024.8.13
Khudolii Yu., & Hlushko A. (2025). Statystychni metody v systemi otsiniuvannia finansovoi stiikosti bankivskykh ustanov [Statistical methods in the system of assessing financial stability of banking institutions]. Sotsialnyi rozvytok: ekonomiko-pravovi problemy – Social Development: Economic and Legal Problems, vol. 7–8. DOI: https://doi.org/10.70651/3083-6018/2025.7-8.097
Hlushko A., & Khudolii Yu. (2025). Financial technologies as a factor in the innovative development of the banking system. In Intellectual capital is the foundation of innovative development '2025 (Book 38, Part 3, pp. 19–27). Karlsruhe, Germany: ScientificWorld-NetAkhatAV. DOI: https://doi.org/10.30890/2709-2313.2025-38-03
Copyright (c) 2026 Ю. С. Худолій, А. Д. Глушко
This work is licensed under a Creative Commons Attribution 4.0 International License.
