Ýêîíîìè÷åñêèå íàóêè/1. Áàíêè è áàíêîâñêàÿ ñèñòåìà
Master of 1 course
of the Institute of World Economy and Finance
Bokova Natalia
Volgograd State University, Russia
Methodical aspects of banking risk analysis
The importance of the
management of banking risks is their analysis, which in practice allows you to
improve information management solutions. There are several basic banking risk
assessment methods: expert assessments, analytical and statistical.
The method of expert
estimations. Based on the basis of studying the estimates made by experts and
includes a compilation summarizing expert assessments. By this method could be
considered: the rating of bank creditworthiness of customers, method of
prudential banking system, the amount of risk calculation under the loan
portfolio of commercial banks and the determination of the amount required bank
reserves to cover potential losses from credit risks; credits classification
according to the degree of risk.
The difficulty of
applying the method in the evaluation of the overall risk of the credit
portfolio of the bank arises when comparing the calculated parameters to
standard values. Because the value of some parameters can be calculated to meet
regulatory criteria, and others - not, so far, in this case it is necessary to
allocate a general indicator of determining the level of risk.
The analytical
method. It is an estimate of possible losses (risk) of a bank and carried out
in accordance with the position of the National Bank of Kazakhstan "On the
order of formation of the credit organizations of reserves for possible loan
losses on loans and similar debts."
Methods of assessing
the risk of the loan portfolio in accordance with the National Bank of the
Republic of Kazakhstan Regulation provides for assessment of the level of risk
for each credit transaction, taking into account the financial condition of the
borrower, credit debt servicing them and the level of its security, then it is
determined in one of five categories of quality loans.
Classification of bank
loans made in accordance with the "Regulations on the procedure for the
formation of the Bank of reserves for possible loan losses on loans and similar
receivables" and financial assessment is made according to the "Rules
for assessing the financial situation of borrowers."
Statistical method
for estimating the value of the loan portfolio risk. Statistical values show
the importance of each characteristic to determine the level of risk.
credit risk
assessment using statistical analysis suggests that the overall risk exposure
on loan portfolio affects its quality. This statement provides a basis to
interpret the variation of credit risk with respect to the agreements of the
loan portfolio as a summary measure of the riskiness of lending activity.
The essence of the
statistical method is as follows:
- Statistical
analysis of credit risk with respect to the agreements, the loan portfolio of
the bank;
- Description of the
measures of the sparseness of the credit risk on the loan portfolio;
- Establish the magnitude
and frequency of occurrence of credit risk.
The main tools of the
statistical method of calculation and risk assessment of the loan portfolio are
known from the general theory of the variance, variation, standard deviation,
coefficient of variation and asymmetry.
The probability of
realization of the bank's credit risk is characterized by a probability
distribution. The basic definition of a statistic probability (risk) performs
the standard deviation or coefficient of variation. The calculation of the
average loan portfolio risk, its variance and standard deviation allows you to
track the level of diversification of the loan portfolio. The use of such
statistical values as positive and negative semivariatsiya,
positive and negative mean semikvadraticheskoe deviation, as well as the
calculation of the asymmetry coefficient for credit risks with respect to the
agreements of the loan portfolio, enables us to determine the bank rate of
losses depending on the number of cases the onset of the relevant loss and
total risk cases in the statistics.
The total amount of
losses from credit operations can be assessed as the total amount of
obligations of the borrower (or group) to the bank multiplied by the
probability of losses during the credit operations. Under the probability of
losses from credit operations refers to the average for the preceding
three-year period of activity of the bank's share of non-repayment of loans and
other liabilities of default customers (or groups) that have similar
characteristics and credit metrics.
The statistical
method of credit portfolio of the bank risk assessment based on the analysis of
statistical data related to the financial condition of the borrower for a
certain period of time. This study is the basis for comparison of the actual
incidence of bank losses from the forward-looking estimates. Comprehensive
assessment of the bank's loan portfolio risk provides simultaneous quantitative
and qualitative assessment of credit risk.
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