Upravljanje tržišnim rizicima u bankama - modeli za analizu i procenu
Market Risk Management In Banks - Models For Analysis And Assessment

Summary/Abstract: Market risk is connected with the price fluctuations on four of the most important economic markets: market of debt securities sensitive to interest rates changes; stock market; currency market, and commodity market. With regard to this, market risk is the risk that the financial instrument's value will fluctuate as a result from market price changes, regardless of whether these changes are caused by factors typical for individual instruments or their issuer, or by factors pertaining to all the instruments traded on the market. This article presents the main components of market risk - interest rate risk, currency risk, and price risk. The methods for interest rate risk measurement include imbalance analysis, duration analysis and simulation model. The Value at Risk (VaR) model is presented as a basic method for market risk analysis. Special place is devoted to stress tests as a technique for reliable risk management used in the potential impact assessment of individual factors or changes in many financial parameters of the bank's income, capital and economic value.

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