ПРИЛОЖЕНИЕ НА VaR АНАЛИЗ ПРИ ОЦЕНКА НА РИСКА В БАНКОВИТЕ ИНСТИТУЦИИ
APPLICATION OF VAR ANALYSIS TO ASSESS THE RISK IN BANKING INSTITUTIONS
Subject(s): Economy, Financial Markets
Published by: Софийски университет »Св. Климент Охридски«
Keywords: risk models; risk analysis; VaR.
Summary/Abstract: The article discusses key theories related to modeling and risk management in financial institutions.The most common methodology for risk assessment method is used VaR (Value-at-Risk),which is an aggregate measure for comparing risk across portfolios and financial instruments. Discusses models of type ARCH, developed by R. Engle 1982., GARCH (p, q) – Bolerslav T. (1986). Special attention is paid to the Value-at-Risk (VaR), which reduces the total income distribution of the portfolio to a figure considered application of VaR method is associated with four main areas of banking:– In-house monitoring of market risks: aggregation can be done at the level of the banking book, the types of assets in issuers, counter parties, by traders (portfolio managers) and others.• When an external monitor – the method allows to obtain an idea of the market risk of the portfolio without disclosing information about the composition of the portfolio.– The monitoring of the effectiveness of the hedge – the method allows an assessment of how hedging strategy is meeting the objectives (when compared with the performance of the portfolio hedging and no hedging).– The monitoring of transactions (transactions), by setting limits on transactions that do not exceed a certain value of the index VaR.
- Issue Year: 12/2014
- Issue No: 1
- Page Range: 35-51
- Page Count: 17
- Language: Bulgarian