Система внутрішніх лімітів валютного ризику банку
Ключові слова:
валютний ризик банку, stop-out ліміти, stop-loss ліміти, VaR-ліміти, Stress-ліміти, ліквідність валютної позиції.
Анотація
У статті запропоновано науково-методичний підхід до побудови ієрархічної системи внутрішніх лімітів валютного ризику банку, який базується на інтеграції динамічної гнучкої складової (забезпечує дотримання базової толерантності до валютного ризику) та фіксованого жорсткого буфера (сприяє створенню додаткового капітального резерву на випадок виключної та критичної, але ймовірної ескалації ризику). Динамічна гнучка складова має трирівневу структуру та складається з лімітів реалізованих, нереалізованих та потенційних збитків. Жорстка складова представлена позиційними Stress-лімітами.
Завантаження
Дані завантаження ще не доступні.
Посилання
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3. Vorovskyi V. V. (2005). Limitnaia politika investitsionnoi kompanii na rynke aktsyi [Investment Company Limit Policy in the Stock Market]. Financial Risk Management. 4, 44-52.
4. Dresel, T., Härtl R., & Johanning L. (2003). Risk Capital Allocation Using Value at Risk Limits: Incorporating Unpredictable Correlations between Traders’ Exposures. Retrieved December 21, 2013, from http://www.cofar.uni-mainz.de/dgf2003/paper/paper143.pdf.
5. Lobanov A. A., & Kainova E. Y. (2005). Sravnitelnyi analiz metodov rascheta VaR-limitov s uchetom modelnoho riska na primere rossiiskoho rynka aktsyi [Comparative Analysis of Methods for Calculating Var-Limits with Regard to Model Risk on the Example of the Russian Stock Market]. Financial Risk Management. Vol. 1, 44-55.
6. Nykyshev, Yu. Yu. (2005). Sistemnyi podkhod k limitirovaniiu riskov banka [Systematic Approach to Bank’s Risk Limitation]. Management in credit organization Retrieved December 21, 2013, from http://www.reglament.net/bank/mng/2005_1_article_1.htm.
7. Saita F. (2007). Value at Risk and Bank Capital Management. Elsevier Inc.
8. Hanrahan M. (2000) Establishing a CapitalBased Limit Structure. In Lore, M., & Borodovsky L. (Ed.). (2000). The Professional’s Handbook of Financial Risk Management (pp. 635-656). Reed Educational and Professional Publishing Ltd.
9. Piskulov D. Yu. (2002). Teoriia i praktika valiutnoho dilinha [Theory and Practice of Currency Dealing] (4th ed., rev. ed.). Moscow: Financier.
10. Uvarov K. V. (2003). Suchasni pidkhody do vstanovlennia limitiv valiutnykh operatsii bankiv z metoiu kontroliu valiutnoho ryzyku [Current Approaches to Setting Limits on Foreign Exchange Transactions of Banks to Control Currency Risk]. (Problems and Prospects of the Banking System of Ukraine [Problemy i perspektyvy rozvytku bankivskoi systemy Ukrainy], 8, 32-36), Sumy: Mriia-1 LTD, UABS.
11. Shora O. Ye. Metodyky otsinky valiutnykh ryzykiv i vstanovlennia ta kontroliu limitiv vidkrytoi valiutnoi pozytsii v praktychnii diialnosti komertsiinykh bankiv Ukrainy [Currency Risks Valuation Techniques and Establishing and Monitoring Limits on Open Currency Position in the Practice of Commercial Banks in Ukraine]. Retrieved December 21, 2013, from www.nbuv.gov.ua/e-Journals/nd/2006-2/06soebou.pdf.
12. Lobanov A. A., & Chuhunov A. V. (2009) Entsiklopediia finansovoho risk-menedzhmenta [Encyclopedia of Finance Risk Management]. Moscow: Alpina Pablysher.
13. Pro vstanovlennia limitiv vidkrytoi valiutnoi pozytsii banku [Act about Setting Limits on Open Currency Position], NBU, 205 (22.06.2011). Retrieved December 21, 2013, from http://zakon4.rada.gov.ua/laws/show/v0205500-11.
14. Pro poriadok vstanovlennia Natsionalnym bankom Ukrainy limitiv vidkrytoi valiutnoi pozytsii ta kontrol za yikh dotrymanniam upovnovazhenymy bankamy [Act about the Order of Open Currency Position Limits Establishing by the National Bank of Ukraine and Monitoring their Compliance by Authorized Banks]. NBU, 290 (12.08.2005). Retrieved December 21, 2013, from http://zakon4.rada.gov.ua/laws/show/z0268-09.
15. Revisions to the Basel II market risk framework, Basel Committee on Banking Supervision (July 2009). Retrieved December 21, 2013, from http://www.bis.org/publ/bcbs158.pdf.
16. Bangia A., Diebold F. X., Schuermann T., & Stroughair J. D. (1998) Modeling Liquidity Risk with Implication for Traditional Market Risk Measurement and Management. Retrieved December 21, 2013, from http://fic.wharton.upenn.edu/fic/papers/99/9906.pdf.
17. Jarrow R., & Protter Ph. (2005). Liquidity Risk and Risk Measure Computation. Retrieved December 21, 2013, from http://forum.johnson.cornell.edu/faculty/jarrow/109%20wp.pdf.
18. Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, Vol. 1, 31-56.
19. Wu L. (2009). Incorporating Liquidity Risk in Value-at-Risk Based on Liquidity Adjusted Returns. Retrieved December 21, 2013, from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1471368.
20. Jarrow R., & Subramanian A. (2001) The Liquidity Discount. Mathematical Finance, Vol. 12, 447-474.
21. Lawrence C., & Robinson G. (1997). Liquidity, Dynamic Hedging and VaR in Risk Management for Financial Institutions (pp. 63-72). London : Risk Publications
Переглядів анотації: 79 Завантажень PDF: 44
Опубліковано
2014-04-24
Як цитувати
(1)
Ребрик, М. Система внутрішніх лімітів валютного ризику банку. fp 2014, 140-146.
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