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Analіz bankіvskoї dіyalnostі - Gerasimov AM

Subject 13. ANALІZ RIZIKІV KOMERTSІYNOGO BANK

13.1. Viznachennya rizikіv that їh klasifіkatsіya

Bankіvska dіyalnіst for svoєyu by nature pov'yazana s rizikami scho viklikayutsya rіznimi obstavinami. Axis chomu rozumіnnya sutі Tsikh rizikіv, right otsіnyuvannya th upravlіnnya them daє zmogu uniknuti abo knowledge chno zmenshiti neminuchі vtrati, SSMSC vinikayut in bankіvskіy dіyalnostі.

Rizik oznachaє neviznachenіst, pov'yazanu s nastannyam whether yakoї podії abo її naslіdkami. Neviznachenіst - tse result neochіkuvanih for Change. For bank vzagalі neviznachenіst - tse result neochіkuvanih Change log protsentnoї rates potokіv depozitіv, platospromozhnostі pozichalnikіv, currency kursіv toscho. Vіdsutnіst tochnoї Informácie abo forecast about them porodzhuє rіznі riziki (interest rate, currency, rizik lіkvіdnostі, credit). Otzhe, rizik - tse result neviznachenostі maybutnogo.

Oskіlki rіshennya menedzherіv vrahovuyut ochіkuvanі zmіni then vihodit scho Dzherelo riziku Je tіlki neperedbachuvanі zmіni. Hoch ochіkuvanі zmіni not pіddayutsya bezposerednomu sposterezhennyu, їh mozhna vimіryati for Relief randomness doslіdzhen, vikoristovuyuchi Taku formula:

Dіysna zmіna = Ochіkuvana zmіna + Neperedbachuvana zmіna.

Otzhe, dіysnu zmіnu mozhna rozklasti on ochіkuvany i neperedbachuvany components. In absolute vipadku peredbachennya abo viznachenostі neperedbachuvany component that ochіkuvana zmіna zbіgayutsya. Tsey vipadok pіdkreslyuє role neperedbachuvanoї zmіni yak dzherela riziku.

So rank, upravlіnnya rizikami mozhna sprostiti, Yakscho navchitisya tochnіshe formulyuvati ochіkuvannya i viyavlyati dzherela neperedbachuvanih for Change. For otsіnki such neperedbachuvanih Change log vikoristovuyutsya rіznі method scho bazuyutsya on otsіntsі mіkroekonomіchnih that makroekonomіchnih faktorіv on osnovі ically mathematical models i metodіv randomness.

Rizik fіnansovogo іnstrumentu, chi tse asset chi pasiv can otsіniti EYAD ways:

1) Yak okremy rizik, if asset abo pasiv rozglyadayutsya okremo od іnshih aktivіv chi pasivіv;

2) Yak rizik portfolio aktivіv chi pasivіv, if abo asset pasiv rozglyadayutsya yak warehouses sukupnostі vimog chi zobov'yazan scho incoming to the portfolio.

Іmovіrnіst whether yakoї podії viznachaєtsya mozhlivіstyu fact scho tsya Podiya zdіysnitsya. Such іmovіrnіst virazhaєtsya Percentage abo chastkah odinitsі. W glancing riziku otsіnyuєtsya rozdіl іmovіrnostі, napriklad, dohіdnostі rates for tsіnnimi Paper the scho іnvestuyutsya. When tsomu rozglyadayutsya three Stani Economy (boom, normally i mill recession), skin s yakih vіdpovіdaє its rate dohіdnostі i own іmovіrnіst cob tsogo camp. For tsimi danimi rozrahovuєtsya ochіkuvana rate dohіdnostі a formula:

de Pi - i-th іmovіrnіst will;

K i - dohіdnostі rate in the i-th stanі.

In real zhittі Quantity stanіv Economy neobmezhena.

Rizik mozhna takozh yak rozglyadati chance to win a profit-talk abo zbitok od іnvestuvannya in Pevnyi project. Mozhli-vіst win a Prybutok zbitok abo Mauger Buti temple abo nizkoyu fallow od rіvnya riziku (nepostіynostі ochіkuvanih dohodіv).

Prostіshe for all analіzuvati rizik, Yakscho yogo podіliti on the category Dvi - i rіven riziku rіven hour. Rіven riziku mozhna viznachiti porіvnyannyam rizikovanostі quiet abo іnshih іnvestitsіy. So, napriklad, a chance to turn іnvestitsії, vkladenі in kompanіyu UTEL, uniquely vischі, nіzh Ti, scho boule vkladenі in nevіdomі korporatsії. Zvichayno, uniquely Legshei prognozuvati incomes di od Mensch rizikovih kompanіy, nіzh od kompanіy rizikom s temple.

Rizik duzhe often nazivayut INCREASING funktsієyu hour. Yakscho resources rozmіschuyutsya on trivaly lines, the lender will win vinagorodu responsible for those scho took on itself rizik hour. Otzhe, rizik viznachaєtsya base abo bezrizikovoyu bet i premієyu for rizik, pov'yazany factor h hour.

Usі bankіvskі operatsії vіdrіznyayutsya rіznim riziku stage. On praktitsі opened otsіnyuvati digit Quantity rizikіv, SSMSC mozhut oharakterizuvati situatsіyu i ymovіrnіst zdіysnennya podіy.

Sered rіznomanіttya rizikіv mozhna vidіliti takі (Fig. 13.1).

Fig. 13.1. Klasifіkatsіya rizikіv

Main opened vvazhati th otsіnyuvati credit, currency, іnvestitsіyny, interest rizik that rizik lіkvіdnostі, hoch usі INSHI in pevnі moments for an hour i rіznih obstavin mozhut mother i bіlsh іstotne value nіzh vischenazvanі. Control over bankіvskimi rizikami, їh analіz taupravlіnnya them yavlyaє him one іz nayvazhlivіshih faktorіv scho viznachayut pributkovіst bank for the future. Tom rozglyanemo APPROACH analіzu mainly їh vidіv.