TIJORAT BANKLARI MOLIYAVIY SAMARADORLIGINING PROGNOZI (O‘ZSANOATQURILISHBANK MISOLIDA)
Keywords:
tijorat banki, moliyaviy samaradorlik prognozi, O‘zsanoatqurilishbank (SQB), ARIMA, SARIMA, Holt-Winters, ekonometrik modellashtirish, MAPE, ROA, ROE, LDR, Bazel III, stsenariy tahlili, ESG, yashil bank strategiyasi.Abstract
Mazkur maqolada O‘zbekiston Respublikasi bank tizimining yetakchi muassasalaridan biri – O‘zsanoatqurilishbank (SQB) misolida tijorat banklarining 2025–2030-yillarga mo‘ljallangan moliyaviy samaradorlik prognozi kompleks ekonometrik modellashtirish asosida amalga oshirilgan. Tadqiqotda uchta zamonaviy prognoz modeli – ARIMA (Box & Jenkins, 1976), SARIMA (Box, Jenkins & Reinsel, 2008) va Holt-Winters Exponential Smoothing (Holt, 1957; Winters, 1960) – birgalikda qo‘llanilgan va modellarning prognoz aniqligi MAPE mezoni asosida qiyoslangan. Tahlil natijalariga ko‘ra, Holt-Winters modeli barcha oltita o‘zgaruvchi – ROA, ROE, aktivlar, kreditlar, depozitlar va foiz spreadi – bo‘yicha eng yuqori aniqlikni (MAPE 0,65–5,12%) ko‘rsatdi. Prognozlarga ko‘ra, SQB ning aktivlari 2024-yildagi 84,8 trln so‘mdan 2030-yilda 196,3 trln so‘mga (2,31 marta), depozitlari esa 21,1 trln so‘mdan 106,0 trln so‘mga (5 marta) o‘sadi; ROA ko‘rsatkichi 1,55% dan 2,72% gacha, ROE esa 12,60% dan 33,27% gacha ko‘tariladi. Maqolada uch xil prognoz stsenariysi – pessimistik, bazaviy va optimistik – ishlab chiqilgan va bankning biznes modeli "kreditlash-orientirovan"dan "diversifikatsiyalashgan moliyaviy xizmatlar"ga o‘tishi asoslab berilgan.
References
Adams, R. B., & Mehran, H. (2012). Bank board structure and performance: Evidence for large bank holding companies. Journal of Financial Intermediation, 21(2), 243–267.
Basel Committee on Banking Supervision. (2018). Basel III: Finalising post-crisis reforms. Basel: Bank for International Settlements.
Bates, J. M., & Granger, C. W. J. (1969). The combination of forecasts. Operational Research Quarterly, 20(4), 451–468.
Beutel, J., List, S., & von Schweinitz, G. (2019). Does machine learning help us predict banking crises? Journal of Financial Stability, 45, 100693.
Box, G. E. P., & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control (Revised ed.). San Francisco: Holden-Day.
Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (2008). Time Series Analysis: Forecasting and Control (4th ed.). Hoboken, NJ: John Wiley & Sons.
Demirgüç-Kunt, A., & Detragiache, E. (2002). Does deposit insurance increase banking system stability? An empirical investigation. Journal of Monetary Economics, 49(7), 1373–1406.
Diebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263.
Holt, C. C. (1957). Forecasting seasonals and trends by exponentially weighted moving averages. ONR Memorandum No. 52. Carnegie Institute of Technology, Pittsburgh, PA.
Hyndman, R. J., & Athanasopoulos, G. (2021). Forecasting: Principles and Practice (3rd ed.). Melbourne: OTexts.
Hyndman, R. J., & Koehler, A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting, 22(4), 679–688.
Klein, N. (2013). Non-performing loans in CESEE: Determinants and impact on macroeconomic performance. IMF Working Paper, WP/13/72.
Lewis, C. D. (1982). Industrial and business forecasting methods: A practical guide to exponential smoothing and curve fitting. London: Butterworth Scientific.
Makridakis, S., Spiliotis, E., & Assimakopoulos, V. (2018). The M4 Competition: Results, findings, conclusion and way forward. International Journal of Forecasting, 34(4), 802–808.
Petropoulos, A., Siakoulis, V., Stavroulakis, E., & Vlachogiannakis, N. E. (2020). Predicting bank insolvencies using machine learning techniques. International Journal of Forecasting, 36(3), 1092–1113.
Timmermann, A. (2006). Forecast combinations. In G. Elliott, C. W. J. Granger, & A. Timmermann (Eds.), Handbook of Economic Forecasting (Vol. 1, pp. 135–196). Amsterdam: Elsevier.
Winters, P. R. (1960). Forecasting sales by exponentially weighted moving averages. Management Science, 6(3), 324–342.
S&P Global Ratings. (2024). Uzbekistan Banking Sector Outlook 2024–2025. New York: S&P Global Ratings.
Freedom Finance. (2024). Uzbekistan Financial Sector Analytical Report. Almaty: Freedom Finance.
O‘zsanoatqurilishbank (SQB). (2020–2024). Yillik moliyaviy hisobotlar (IFRS). Toshkent: SQB.
O‘zbekiston Respublikasi Markaziy banki. (2024). Bank tizimi rivojlanishining asosiy ko‘rsatkichlari: 2024-yil yakuniy hisoboti. Toshkent: O‘zbekiston Markaziy banki.
Vahobov, A. A., & Malikov, T. S. (2022). Moliya: nazariya va amaliyot. Toshkent: “Iqtisod-Moliya” nashriyoti.
International Monetary Fund (IMF). (2024). Republic of Uzbekistan: Financial Sector Stability Review. Washington, DC: IMF.
