Conceptual approaches use a structural model for assessment of financial risk commercial banks, namely the risk measurement in combination: a comparison of its capital, calculated based on the standard approach of Basel II advanced approaches of Basel II and the structural model. Analysis of the application of the model in a economics crisis situation, such as the capital adequacy of the commercial banks. Deals with a unified approach to the choice of measure and its risk parameters to measure the risks of different nature.

There was also a speaker examined risk factors and the corresponding volumes of portfolios at risk, per month from 2014 to 2015 for the commercial banks, namely the weighted average yield on loans (including the reserve) individuals, legal entities, banks; the average cost of deposits of individuals and legal entities; market portfolio yield securities (RTS Index); the share of administrative and economic costs in the assets of the bank. For each risk factor were built parametric approximation of their historical distributions. Graphically shows the distribution, yield corporate loan portfolio, the cost of redundancy, the cost of deposits of individuals and entities that reflect the behavior of risk factors in conditions of economics crisis.

Keywords: bank; financial risks; commercial banks; assets; Basel; structural models.

Date of submission 18.12.2015

DOI: http://dx.doi.org/10.17721/1728-2667.2016/178-1/2

References

1. Mishchenko, V.I., Slavianska N.H., 2011. Bankivski operatsii: pidruchnyk, K.:Znannia, S. 727. (Ukrainian).
2. Bludova, T., Harmydarov P. 2004.Upravlinnia vidsotkovym ryzykom, Visnyk NBU, 10, S.34-35. (Ukrainian).
3. Bondarenko, L. A., 2003. Pobudova systemy ryzyk-menedzhmentu v komertsiinomu banku, Finansy Ukrainy, 9, S.85-93. (Ukrainian).
4. Vitlinskyi, B. V., 1996. Ekonomichnyi ryzyk i metody yoho vymiriuvannia: pidruchnyk, K, IZMN, S.362. (Ukrainian).
5. Dekret Kabinetu Ministriv Ukrainy “Pro systemu valiutnoho rehuliuvannia i valiutnoho kontroliu” № 1593 vid 19.02.1993, Pidpryiemnytstvo i rynok Ukrainy, 1993, 3, S.17. (Ukrainian).
6. Ehorov, V.A., 2003. Systema upravlenyia ryskamy v banke, Fynansi, 9, S.78. (Ukrainian).
7. Ivchenko, I. Iu., 2012. Ekonomichni ryzyky: Navch. posib, K.: TSUL, S. 304. (Ukrainian).
8. Petruk, O.M. 2011. Bankivska sprava: Navch. posibnyk, K, Kondor, S. 461. (Ukrainian).
9. Potiiko, Iu., 2004. Teoriia i praktyka upravlinnia riznymy vydamy ryzykiv u komertsiinykh bankakh,Visnyk NBU, 4, S.58-60. (Ukrainian).
10. Prymostka, L., 2010. Ekonomichni ryzyky v diialnosti bankiv, Bankivska sprava, 3, S. 16-23. (Ukrainian).
11. NBU: http://www.bank.gov.ua/control/uk/index (Ukrainian).
12. Farrahov, I.T., 2005. Edinaya tehnologiya stress – testirovaniya i VaR- analiza finansovyih portfeley s uchetom riska likvidnosti, Metodicheskoe posobie, Banki i tehnologii, 2 (Russian).
13. Fantatstsini, D., 2008. Ekonometricheskiy analiz finansovyih dannyih v zadachah upravleniya riskom, Prikladnaya ekonometrika, 2, S. 91-137 (Russian).
14. Kowalski, A.M., 2014. The Role of Innovative Clusters in the Process of Internationalization of Firms Journal of Economics, Business and Management, Vol. 2, No. 3. DOI: dx.doi.org/10.7763/JOEBM.2014.V2.121.