TIJORAT BANKLARI LIKVIDLILIGINING PROGNOZ SSENARIYLARI
DOI:
https://doi.org/10.5281/zenodo.22661412Abstract
Tijorat banklari likvidliligining prognoz ssenariylari nazariy va empirik jihatdan chuqur tahlil qilinib,
O‘zbekistonning yirik davlat banklaridan biri — “O‘zsanoatqurilishbank” ATB (SQB) misolida likvidlik ko‘rsatkichlarining
2026–2030-yillarga mo‘ljallangan ko‘p ssenariyli prognozi ishlab chiqilgan. Tadqiqotda 2016–2025-yillardagi 40 ta choraklik
kuzatuv (2016Q1–2025Q4) asosida SQBning to‘rtta asosiy likvidlik ko‘rsatkichi — HQLA Ratio, LCR, NSFR va Instant
Liquidity Ratio (IML) dinamikasi ARIMA(1,1,1), SARIMA(1,1,1)(1,1,1,4) hamda Holt–Winters uch karra eksponensial silliqlash
modellari yordamida prognozlashtirilgan. Uchta modelning 95 %lik ishonch oraliqlari asosida pessimistik, bazaviy
va optimistik ssenariylar shakllantirilgan hamda Bates–Granger ensemble forecasting yondashuvi asoslab berilgan. Tahlil
natijalari SQBning likvidlik ko‘rsatkichlari 2030-yilga qadar Bazel III va Markaziy bankning minimal talablaridan sezilarli
darajada yuqori saqlanishini ko‘rsatdi (bazaviy ssenariyda: LCR — 206,6 %, NSFR — 119,1 %, IML — 84,5 %). Muallif
tomonidan risk-menejment sohasi uchun stress-test ssenariylarini kengaytirish, ensemble forecasting metodologiyasini
joriy etish, HQLA portfelini diversifikatsiya qilish, mavsumiy strategiyalarni ishlab chiqish hamda real vaqt rejimida intraday
likvidlik monitoringi tizimini to‘liq joriy etish bo‘yicha ilmiy-amaliy takliflar ishlab chiqilgan.
Keywords
tijorat banki, likvidlik prognozi, ARIMA, SARIMA, Holt–Winters, ensemble forecasting, HQLA Ratio, LCR, NSFR, IML, Bazel III, ishonch oralig‘i, stress-test, O‘zsanoatqurilishbank, prognoz ssenariylariReferences
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