MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS
https://doi.org/10.26425/1816-4277-2017-11-151-157
Abstract
The article analyzes the model of market risk management with the help of a system of interrelated limits on debt securities, which take into account the risk of standards and statistical data of risk. The work proves the urgency of the problem of market risk management in credit institutions. The author, using the analysis of market risk factors, builds the structure of the securities portfolio of a credit institution for effective management. The conducted research allows the author to conduct an inseparable connection between all banking standards and a portfolio of securities.
References
1. Burenin A. N. Upravlenie portfelem cennyh bumag [Portfolio management securities]. Moscow, Nauchnotekhnicheskoe obshchestvo imeni akademika S. I. Vavilova [Vavilov Scientific-technical society], 2007. 454 p.
2. Volkov A. A. Upravlenie riskami v kommercheskom banke [Risk management in commercial bank]. Moscow, Omega-L, 2012. 160 p.
3. Gotovchikov I. F. Rol' i mesto ekspertnyh metodov v sistemah upravleniya bankovskimi riskami [The role and place of expert systems in banking risk management]. Bankovskie tekhnologii [Banking technology]. 2011, I. 2, pp. 39–43.
4. Instrukciya Banka Rossiiot 28.06.2017 № 180-I «Ob obyazatel'nyh normativah bankov» [The instruction of Bank of Russia, 28 June 2017 No. 180-I «On mandatory ratios of banks»]. Available at: http://www.consultant.ru/document/cons_doc_LAW_220206/ (Accessed: 25 September 2017).
5. Lobanov A. A. Regulirovanie kapitala na pokrytie rynochnyh riskov v Bazele III : shag v pered ili dva shaga nazad? [Regulation of capital to cover market risk in Basel III : a step forward or two steps back?] Den'gi i kredit [Money and credit]. 2011, I. 8, pp. 35–40.
6. Lobanov A. A., Chugunova A. V. (ed.) Enciklopediya finansovogo risk menedzhmenta [Encyclopedia of financial risk management]. Moscow, Alpina Business Books, 2008. 878 p.
7. Podkovyrov P. A. Metody ocenki rynochnogo riska, koncepciya VAR [Methods of assessing market risk, the VARconcept]. EKONOMIKA. BIZNES. BANKI [Economics, Business, Banks]. 2016, I. 2, pp. 164–172.
8. Polozhenie ob organizacii vnutrennego kontrolya v kreditnyh organizaciyah I bankovskih gruppah [The regulation on organization of internal control in credit organizations and bank groups]. Available at: http://www.consultant.ru/document/cons_doc_LAW_46304/ (Accessed: 25 September 2017).
9. Polozhenie o poryadke rascheta kreditnymi organizaciyami velichiny rynochnogo riska [Regulations on the market risk size calculation by credit institutions]. Available at: http://www.consultant.ru/document/cons_doc_LAW_190828/ (Accessed: 25 September 2017).
10. Informacionno-analiticheskij portal o rossijskom rynke obligacij [Information-analytical portal of the Russian bond market]. Available at: http://ru.cbonds.info/ (Accessed: 25 September 2017).
Review
For citations:
Samokhina E. MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS. Vestnik Universiteta. 2017;(11):151-157. (In Russ.) https://doi.org/10.26425/1816-4277-2017-11-151-157
Views:
523
Email this article 