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1. Financial risks in the activities of a commercial bank

In the course of its activities, commercial banks are subject to multiple risks. In general, bank risks are divided into 4 categories: financial, operational, business and emergency. Financial risks in turn include 2 types of risks: clean and speculative.

Pure risks - incl. Credit risk, liquidity and solvency risks - may with improper management lead to a loss of bank.

Speculative risks based on financial arbitration may result in their result, if the arbitration is carried out correctly, or loss - otherwise. The main types of speculative risk are the interest, currency and market (or positional) risks.

Like any enterprise operating in the market conditions, the Bank is subject to risk of losses and bankruptcy. Naturally, seeking to maximize profits, the Bank's management at the same time seeks to minimize the possibility of damages. The two ways to a certain extent contradict each other. Maintaining the optimal ratio between profitability and risk is one of the main and most complex problems of bank management. The risk is associated with uncertainty, the latter is associated with events that are difficult or impossible to foresee. The loan portfolio of the commercial bank is subject to all major types of risk that are accompanied by financial activities: risk of liquidity, risk of interest rates, risk of non-payment on a loan. The last type of risk is especially important, since the non-risk of loans to borrowers brings large losses to banks and serves as one of the most frequent causes of bankruptcies of credit institutions. Credit risk depends on exogenous factors associated with the state of the economic environment, with the situation, and endogenous, caused by the erroneous actions of the Bank itself. The possibilities of managing external factors are limited, although timely actions, the Bank may subject to a certain way to mitigate their influence and prevent losses. However, the main leverage of credit risk management lie in the field of domestic policy of the bank.

The main task facing bank structures is minimizing credit risks. To achieve this goal, a large arsenal of methods is used, comprising formal, semi-formal and informal procedures for assessing credit risks. Minimize credit risks of banks allows the diversification of a loan portfolio, the quality of which can be determined on the basis of the risk assessment of each individual loan and the risk of the entire portfolio as a whole. One of the criteria determining quality loan portfolio In general, the degree of diversified portfolio, under which they understand the presence of negative correlations between the loans, or at least their independence from each other. The degree of diversification is difficult to express quantitatively, so under diversification, rather, it is understood as a set of rules that the lender must adhere to. The most famous of them are as follows: not to provide a loan to several enterprises of one industry; do not provide a loan to enterprises of different industries, but interrelated with each other technological process, etc. In essence, the desire to maximize diversification representing the process of a set of the most diverse loans, there is nothing but an attempt to form a loan portfolio with the most diverse types of risks in order to change in an external economic environment where enterprises-borrowers are functioning Negative impact on all loans. Changes in the economic environment should affect the situation of borrowers' enterprises in different ways. This means that under the most differentiated risks, lenders understand the most diverse response of loans to events in the economy. Ideally, it is desirable that the negative response of some loans, when the likelihood of their non-risk increases, was compensated by the positive response of others when the probability of their obstruction decreases. In this case, it can be expected that the income will not depend on the state of the market and will be maintained. It is important here to note that if the concept of a variety of risks by species is quite difficult, then the diversity of the effects rendered to the situation of borrowers with changes in economic conjuncture is quite simple, since the natural measure of the impact is the magnitude of the incomplete income on a separate loan compared to the planned . In other words, the impact on credit is the difference between the planned and actual income volumes by a separate loan for a certain period of time.

Different types of financial risks, moreover, are closely related to each other, which can significantly increase the overall bank profile risk. For example, a bank exercising currency operationsIt is usually subject to currency risk, it will also be under an additional liquidity risk and interest risk if there will be open positions or discrepancies in the periods of requirements and obligations in the net position on emergency operations.

Operational risks depend: from the general business strategy of the bank; From its organization: from the functioning of internal systems, including computer and other technologies; from the consistency of the policy of the Bank and its procedures; From measures aimed at preventing errors in management and against fraud (although these risk types are extremely important and covered by banking risk management systems, this work does not pay much attention to them, since focused on financial risks).

Business risks are associated with an external banking business environment, incl. With macroeconomic and political factors, legal conditions and regulatory conditions, as well as with the general infrastructure of the financial sector and the payment system.

Extreme risks include all types of exogenous risks, which, in the event of an event, are able to expose the activities of the bank or undermine its financial condition and capital adequacy.

In the course of work, commercial banks face various types of risks, which differ among themselves at the place and time of occurrence, the aggregate of external and internal factors affecting their level, according to the method of analyzing risks and methods of their description. In addition, all types of risks are interconnected and influence the activities of banks. A change in one type of risk causes a change in almost all other species, which makes it difficult to choose the method of analyzing the level of specific risk.

Banking risks covers all parties to banks - both external and internal. Thus, there are internal and external risks.

In accordance with the letter of the Central Bank Russian Federation (Central Bank of the Russian Federation) dated June 23, 2004 No. 70 "On Typical Banking Risks" allocate the following typical risks of commercial banks:

Credit;

Country;

Market, including stock, currency and interest risks;

Liquidity risk;

Operating;

Legal;

Risk of loss of business reputation;

Strategic.

2. Main types of risks in the activities of a commercial bank

2.1 Credit Risk

Credit risk occupies a central place among domestic banking risks. It can be viewed as the largest risk inherent banking activities. The low growth rates of the volume and profitability of lending are forced banks to systematically and systematically develop and improve credit risk management methodology and create organizational structures for its implementation in everyday banking practice.

Credit risk - The risk of losses from the credit institution due to non-fulfillment, untimely or incomplete execution by the debtor of financial obligations before it in accordance with the terms of the contract, in other words, the risk of non-payment of the borrower of the principal and interest on it in accordance with the terms and conditions of the loan agreement.

To specified financial obligations The debtor's obligations may include:

Obtained loans, including interbank loans (deposits, loans), other relevant funds, including requirements for obtaining (return) debt securities, shares and bills provided under a loan agreement;

Accountable credit institution bills;

Bank guarantees for which cash paid by the credit institution are not reimbursed by the principal;

Financing transactions under the assignment of money requirements (factoring);

Acquired credit institution on the transaction (assignment of the requirement) rights (requirements);

Acquired credit institution in the secondary market mortgage;

Sales transactions (purchases) of financial assets with a delay of payment (supply of financial assets);

paid credit institution with letters of credit (including uncovered letters of credit);

return money (assets) on a transaction to acquire financial assets with the obligation of their reverse alienation;

requirements of the credit organization (lessor) on operations financial rental (leasing).

As part credit risk The following types of risks can be distinguished:

The risk of improper loan means the risk of failure to fulfill the conditions of the loan agreement: a complete and timely return of the principal amount of debt, as well as interest payments and commission.

The risk of delay in payments (liquidity) means the risk of delay in the return of the loan and late interest payments and leads to a decrease in the liquid funds of the Bank. The risk of delay in payments can be transformed into the risk of non-miss.

The risk of credit provision is not an independent type of risk and is considered only when the risk of outstanding the loan is occurring. This type of risk is manifested in the insufficiency of income received from the implementation of the loan provisions provided by the Bank to fully satisfy the debt claims of the bank to the borrower.

The risk of improper loan is preceded by the risk of a borrower's creditworthiness, under which the borrower's inability to fulfill its obligations towards creditors at all. Each borrower is characterized by the individual risk of creditworthiness, which is present regardless of business relationships with the bank and is the result of the business risk and risk of capital structure.

Business risk covers all types of risks associated with the functioning of enterprises (procurement, production and sales activities). But unlike the names of the risks that the enterprise management can be managed, unmanaged external factors affect the business risk, in particular the development of the industry and the conjuncture. The value and nature of risk largely determine investment programs and manufactured products.

The risk of capital structure is determined by the structure of liabilities and strengthens the business risk.

Having issuing a loan, the bank thus increases the overall risk of the enterprise, since the use of borrowed funds strengthens due to the effect of financial leverage is possible both positive and negative changes in the profitability of the company's own capital.

A feature of credit risk that distinguishes it from other types of banking risks is its individual character. This circumstance largely determines the originality of the credit risk management methodology. Deciding on the issuance of a loan, the bank should not focus on the assessment of certain types of risk, but to the definition of the overall risk of the borrower. The general risk is a combination of business risk and risk of capital structure.

Credit risk concentration It is manifested in providing large loans to a separate borrower or a group of related borrowers, as well as as a result of the belonging of a credit institution or to separate sectors of the economy, or to geographic regions or in the presence of a number of other obligations that make them vulnerable to the same economic factors.

Credit risk increases with lending to the credit institution of persons (related lending), i.e. Providing loans to individual physical or legal entities who have real capabilities to influence the nature of the credit institutions made by the credit institution on issuing loans and lending conditions, as well as persons to make a decision that a credit organization may influence.

When lending to related persons, credit risk may increase due to non-compliance or insufficient compliance with the rules established by the credit institution, procedures and procedures for consideration of loans, determining the creditworthiness of the borrower (s) and making decisions on loans.

When lending to foreign counterparties, a credit institution may also arise a country risk and the risk of non-review of funds.

Credit risk level Depends on the type of credit provided by the Bank. Depending on the provision period, loans are: short-, medium and long-term; from the type of collateral: secured and unsecured; from the specifics of creditors: banking, commercial, state, etc.; From the direction of use: consumer, industrial, investment, seasonal, import, export; By size: Small, medium, large.

When developing risk management policies, banks need to be borne in mind that they are subject to negative trends in the development of borrowers to a much greater extent than positive. Even with the favorable development of the economic situation of the borrower, the Bank can expect a maximum of payments provided for in the contract, but with unfavorable - the risk of losing everything. By deciding on lending, banks should take into account the possible negative development of borrowers to a greater extent than positive.

Banks should strive to discover and assess the risk of bankruptcy as early as possible in order to reduce the amount of lending in a timely manner and adequate measures. Banks should not lend borrowers, which are largely exposed to risk of bankruptcy. Therefore, it is necessary to correctly appreciate the credit proposal provided by the potential borrower. First of all, it is necessary to find out the reputation of the borrower. This is especially important for new customers. Then it is necessary to analyze whether a loan offer is realistic from an economic point of view, for which the Bank should develop its credit proposal requirements and bring them to the attention of the borrower. After analyzing the loan proposal, the Bank must determine how its loan portfolio will change with the advent of the new loan, will it lead to the diversification of the loan portfolio, and consequently, to a decrease in the level of total risk of the bank or, on the contrary, new Credit will lead to a concentration of the loan portfolio on one industry or on the same period of payment, which will increase the level of risk. The next step of the credit risk assessment is the selection of financial information on the potential borrower, on the basis of which the Bank shall evaluate the creditworthiness of the borrower, the possible volumes of lending are determined, the size and method of fixing interest rates, the duration of repayment of loans, the requirements for their provision. At the same time, the bank should be guided by the fact that the higher its risk, the greater the bank's profit should be.

Reducing credit risk is possible with the help of the following events:

Verification of solvency of the potential borrower;

Current monitoring of loans issued;

Risk insurance;

Use of collateral, guarantees, guarantees;

Getting from the client award for risk;

Risk limitation through certain standards established by the Central Bank.

2.2 Country risk

Country risk (including the risk of non-reliability of funds) - the risk of losses from a credit institution as a result of non-fulfillment by foreign counterparties (legal, individuals) of obligations due to economic, political, social changes, as well as due to the fact that the currency of the monetary obligation may not be available to the counterparty For the peculiarities of national legislation (regardless of the financial situation of the contract itself).

When analyzing of this risk Numerous factors are taken into account, since country risk is a complex risk that includes economic and political risks. Economic risk depends on the state of the balance of payments of the country, the management system conducted by this state economic Policy, especially restrictions on the transfer of capital abroad. Evaluation of economic risk is usually made on the basis of data from national statistics. A distinctive feature of the country risk is the complexity of its calculation and analysis, since it is necessary to create a highly effective, flexible and reliable data bank for its assessment.

2.3 Market risk

Market risk - Risk of damages from a credit institution due to adverse changes in market value financial instruments trade portfolio and derivative financial instruments of a credit organization, as well as foreign currency exchange rates and (or) precious metals.

Market risk includes stock risk, currency and percentage risks.

Stock risk - the risk of losses due to the unfavorable change in market prices for stock values \u200b\u200b(securities, including consolidating rights to participate in the management of the trade portfolio and derivative financial instruments under the influence of factors associated with the issuer of stock values \u200b\u200band derivative financial instruments and general fluctuations Market prices for financial instruments.

Currency risk - The risk of losses due to the unfavorable changes in foreign currency and (or) precious metals on an open credit organization in foreign currencies and (or) precious metals.

Percentage risk - Risk of financial losses (losses) due to the unfavorable change in interest rates on assets, liabilities and off-balance sheet tools of the credit institution.

The main sources of interest risk may be:

The incompression of the maturity of assets, liabilities and off-balance sheet requirements and obligations to instruments with a fixed interest rate;

The incomprehension of the maturity of assets, liabilities and off-balance sheet requirements and obligations on tools with a changing interest rate (risk of revision of the interest rate);

Configuration of the yield curve for long and short positions on financial instruments of one issuer, creating a risk of loss as a result of exceeding potential costs of income when closing data of positions (risk of yield curve); For financial instruments with a fixed interest rate, subject to the coincidence of their repayment, the incomprehension of the degree of changes in interest rates on the resources attracted and placed by the credit institution; For financial instruments with a floating interest rate, provided the same frequency of the revision of the floating interest rate - the incompression of the degree of change in interest rates (basic risk);

Widespread use of optional transactions with traditional

interesting tools that are sensitive to changes in interest rates (bonds, loans, mortgage loans and securities, etc.), generating the risk of losses as a result of a refusal to fulfill the obligations of one of the parties to the transaction (optional risk).

The banks that regularly practice the game in interest rates are most susceptible to profit, and those banks that are not carefully predicting changes in interest rates.

Two types of interest risk are distinguished: positional risk and structural risk. Position risk is a risk for some one position - percentage of this particular point. For example, the bank issued a loan with a floating interest rate, while it is unknown, will receive a bank profit or incur damages. Structural risk is the risk as a whole on the balance of the Bank, caused by changes in the monetary market due to the fluctuations in interest rates. Thus, interest risks affects both the balance of the general and the results of individual transactions.

The main reasons for interest risk are:

invalid choice of interest rate varieties (constant, fixed, floating, decreasing);

will abruptly loan agreement possible changes in interest rates;

changes in the interest rate of the Central Bank of Russia;

establishing a single percentage for the entire use of the loan;

the absence of a developed interest policy strategy in the bank;

invalid definition of credit cents, that is, the interest rates.

Interest risk can be avoided if changes in income from assets fully balance in changes in the costs of attracting funds. This is theoretically. However, it is almost impossible to achieve such a balance constantly, therefore banks are always subject to percentage risks.

Interesting risk management includes both assets and bank commitments. The peculiarity of this control is that it has borders. Asset management is limited by credit risk and liquidity requirements, which determine the content of the bank's risky assets portfolio, as well as price competition from other banks in the established costs of the loan.

Management of obligations is also difficult first limited choice and the size of debt instruments, that is, the limited means necessary for issuing a loan, and again price competition from other banks and credit organizations.

Reduce interest risks can also be reduced by conducting percentage "swaps". These are special financial transactions, the terms of which are provided for interest payments for certain obligations in advance due time, that is, essentially, the contracts entering into the contract are exchanged by the interest payments they should produce. The exchange of interest payments by a fixed rate transaction occurs against the transaction with a variable rate. At the same time, the Party, which undertakes to make payments at fixed rates, is counting on significant growth over the period of the transaction of variable rates; And the opposite side is on their decline. Then the side wins, which correctly predicted the dynamics of interest rates.

2 . 4 Risk of liquidity

Risk of liquidity - The risk of losses due to the inability of the credit organization to ensure the fulfillment of its obligations in full. The risk of liquidity arises as a result of the imbalance of financial assets and financial obligations of the credit institution (including due to the late execution of financial obligations by one or more counterparties of the credit institution) and (or) the emergence of the unforeseen need for immediate and lump-sum fulfillment by the credit institution of its financial obligations.

2 . 5 Operational risk

Operational risk - risk of losses due to inconsistencies in the nature and scope of the activities of the credit organization and the requirements of the current legislation of internal orders and procedures for holding banking operations and other transactions, their violations of the employees of the credit institution and other persons (due to incompetence, unintentional or intentional actions or inaction), disproportionateness ( insufficiency) functionality (characteristics) of the information, technological and other systems and their failures (violations), as well as as a result of the impact of external events used by the credit institution.

2 . 6 Legal risk

Legal risk - Risk of damages from a credit organization due to:

non-compliance with the credit institution of the requirements of regulatory legal acts and concluded contracts;

allowed legal errors in carrying out activities (incorrect legal advice or incorrect preparation of documents, including when considering controversial issues in the judiciary);

imperfections legal system (the inconsistency of legislation, the lack of legal norms on the regulation of certain issues arising in the process of activity of the credit institution);

violations by counterparties of regulatory legal acts, as well as conditions for concluded contracts.

2 . 7

Risk of loss of business reputation The credit institution (reputational risk) is the risk of loss at the credit institution as a result of a decrease in the number of clients (counterparties) due to the formation of a negative idea of \u200b\u200bthe financial sustainability of a credit institution, the quality of the services provided by it or the nature of the activity as a whole.

2 . 8 Strategic risk

Strategic risk - the risk of losses from the credit institution as a result of errors (shortcomings) made in decision-making decisions that determine the strategy of activities and the development of a credit organization (strategic management), and express in unacceptable or insufficient accounting of possible hazards that may threaten the activities of the credit organization, incorrect or The insufficiently defined definition of promising areas of activity in which a credit institution can achieve advantages over competitors, absence or providing in the incomplete amount of necessary resources (financial, material and technical, human) and organizational measures (management decisions), which should ensure the achievement of the strategic goals of the credit activities Organizations.

3. The concept and methods of regulation of risks in the activities of a commercial bank

3.1 Risk Management Concept

What is hiding behind these words? Methods for the impact of the control entity on a managed object in order to minimize losses. In the case of the Bank, we have ways to influence the bank for possible banking risks in order to minimize losses from their implementation.

A very important part of the development of risk strategy is to develop measures to reduce or prevent revealed risk. In general, the term hedging is applied to describe actions aimed at minimizing financial risks.

It is in the development of basic approaches to risk assessment, determining the permissible level and developing the relevant strategy and is the main task of risk management or risk management.

To account for the factors of uncertainty and risk in assessing the feasibility of holding a risk event or in the process of its implementation, all available information is used and it is based on possible ways of risk management.

Risk management methods are divided into analytical and practical methods. Analytical risk management techniques are used as a risk management tool and allow to develop predictions and risk management strategies before the project is started. The main task of analytical risk management methods is to determine risky situations and the development of measures aimed at reducing the negative consequences of their occurrence. The tasks of analytical risk management methods also include the prevention of risky situations.

Practical risk management methods are designed to reduce the negative result of the risky situations arising during the implementation. As a rule, they are based on analytical risk management methods. At the same time, practical risk management methods are the basis for creating a risk management information base and the subsequent development of analytical methods.

Allocate the following risk management methods:

a) avoiding (evasion) of risk;

b) risk limitation;

c) risk reduction;

d) transfers (transmission) of risk, including insurance;

e) risk taking.

Within these methods, various strategic decisions are applied to minimize the negative effects of decisions made:

avoiding risk;

retaining (restriction) of risk;

self-insurance;

risk distribution;

diversification;

limitation;

hedge;

insurance;

wrapping;

double insurance; reinsurance

3.2 Banking Risk Management Methods

1. Avoiding risk. Development of strategic and tactical solutions that exclude risky situations, or a refusal to implement the project.

2. Holding (restriction) of risk. The delimitation of the system of rights, powers and responsibility in such a way that the consequences of risky situations did not affect the implementation of the project. For example, the inclusion in the contract for the supply of equipment conditions for the transfer of ownership of the delivered goods when it received by the customer.

3. Safety. Creating reserves compensating for the consequences of risky situations. The self-insurance advocates in monetary and natural-real forms, when the Samostrachik forms and uses a monetary insurance fund and (or) reserves of raw materials, materials, spare parts, etc. With unfavorable economic situation, delay in customers payments for the products and others. insurance Fund Under the conditions of self-insurance, it is envisaged in the charter of the economic entity. The market economy significantly expands the borders of the self-insurance, transforming it into the risk fund.

4. Risk Distribution. Organization of project management providing for collective responsibility for the results of the project implementation.

5. Diversification. Risk reduction due to the possibility of compensation for losses in one of the activities of the enterprise's activities to another.

Diversification is widely used on financial markets And is the basis for managing portfolio investments. Financial management has been proven that portfolios consisting of risky financial assets can be formed in such a way that the cumulative level of risk of the portfolio will be less than the risk of any individual financial asset included in it.

6. Limit. Establishing limit values \u200b\u200bof indicators when taking tactical solutions. For example, restriction amounts of expenses, establishing export quotas, etc.

The most convenient and applied method of limiting risks is to establish limits to financial results. If it is decided that the maximum level of loss is limited, for example, the amount of 500 thousand dollars, then all the limits in the integrated calculation must comply with this parameter. The use of such widespread in international Practice Limits like Stop-Loss, Stop-Out, Take Profit and Take Out, allow you to effectively monitor the level of losses.

7. Heading. Insurance, reducing risk from losses due to sellers or customers with changes in market prices for goods in comparison with those that were taken into account when concluding the contract.

Heading is completed by purchase or sale. The essence of hedging is that the seller (buyer) of the goods concludes a contract for its sale (purchase) and at the same time carries out a futures transaction of the opposite character, that is, the seller makes a purchase deal, and the buyer is for the sale of goods.

Thus, any change in the price brings sellers and buyers to lose one contract and winnings differently.

Thanks to this, as a whole, they do not suffer a loss from raising or lowering prices for goods that should be sold or buy at future prices. To confirm the validity of the assignment of operations with financial instruments of urgent transactions to hedging operations, the taxpayer submits a calculation confirming that the execution of these operations leads to a decrease in the size of possible losses (lack of profit) on transactions with hedging object.

8. Insurance.

Insurance of bank credit risks is most common. Credit Risk Insurance Objects are bank loans, commitments and guarantees, investment loans. During the non-return of the loan, the lender receives insurance compensation, partially or fully compensating loan.

9. CONSTRUCTION.

Insurance of the same insurance object with several insurers for one insurance contract.

If the right and obligations of each of the insurers are not identified in the compacting contract, they agree to the policyholder (beneficiary) for the payment of insurance compensation under the Treaty of Property Insurance or the Insurance Agreement under personal insurance contract. In certain cases, the insured may act as a insurer into part of his own deduction limited by a franchise. And sometimes insurers participating in the coordinations require that the insured is a Socrapener, that is, he held on his responsibility a certain share of risk.

With composure, a joint or separate insurance policy may be issued on the basis of the risk of risk adopted by each Sociorachlorian and recorded in the insurance sum.

10. Double insurance.

Insurance in several insurers of the same risk. 11. Reinsurance.

Activities for protecting one insurer (reinsurer) of the property interests of another insurer (reinsurance) related to the income adopted under the insurance contract (main agreement) of insurance obligations on insurance fees. Insurer, taking into account the risk, exceeding its ability to insure such a risk.

Relationships are drawn up by the contract for which one side is a reinsurance, or a cedent - transfers the risk and the corresponding part of the award to the other side - reinsurer, or cessionary. The latter undertakes in the event of an insured event to pay for the accepted part of the risk. Risk transmission operations are called Cessia.

In turn, the reinsurer can pass part of the risk to reinsurance to the next insurance society. In this case, the reinsurer enters into the role of a retrocedent, a new insurance company is called retrocession, and the risk transmission operation is called retrocession.

Reinsurance relations suggest two types of contracts - to reinsurance of all risks obtained, regardless of their size, and on the reinsurance of only individual "excessive" risks.

There are compulsory reinsurance, based on the conclusion of a contract with a concession of a compulsory adoption for the reinsurance of all the risks of the company, optional, involving the possibility of refusing to reinsurance of individual risks, and the optional and compulsory in the form of a combination of the first and second.

Reinsurance is carried out on the basis of a reinsurance agreement concluded between the insurer and the reinsurer in accordance with the requirements of civil law.

Along with the reinsurance agreement, other documents applied on the basis of business turnover can be used as a confirmation of the agreement between the reinsurance and the reinsurer.

Conclusion

Any form of human activity is associated with many conditions and factors affecting a positive approach of decisions. All entrepreneurial activity without risk does not happen. The main place is the financial risk. The greatest profits bring financial operations with increased risk. However, the risk must be calculated to the maximum allowable limit.

Under financial risk, the likelihood of unplanned losses is understood, the incompatibility of the planned profit. Financial risk arises in the process of financial and economic activities of the organization. A variation of financial risk is a bank risk.

Financial risk is an objective economic category. And this economic category is an event that may occur or not happen. In the case of such an event, three economic results are possible:

Negative (loss, loss);

Null;

Positive (win, benefit).

The risk is the probability of the loss of something. For the Bank, financial risk is the risk of money loss. Through banks pass huge amounts of money and thousands of operations are performed, so the prevention of losses is one of the main tasks of the bank, the more the bank is the ability to make a profit, the greater the risk of loss of invested funds.

Banking activities are exposed to a large number of risks. Since the bank, in addition to the business function, carries the function of public importance and conductor of monetary policy, the knowledge, definition and control of bank risks is of interest to a large number of external stakeholders: the National Bank, shareholders, participants in the financial market, clients.

Consideration of the most well-known species of risk showed their diversity and complex embedded structure, that is, one type of risk is determined by the set of others. The above list is far from exhaustive. Its diversity is largely determined by an increasing spectrum. banking services. A variety of banking operations is complemented by a variety of clients and changing market conditions. The desire to be quite natural is the desire to be not only the object of all kinds of risks, but also to bring the share of subjectivity in the sense of impact on risk in carrying out banking activities.

Bibliography

risk Credit Banking

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The dissertation (part of the author's abstract) on the topic "Management of financial risks in the activities of commercial banks"

Relevance of the topic. The development of banking business and the proposal of new banking products takes place in the conditions of uncertainty of the formation of end-performance activities (i.e. profit or loss), which, on the one hand, increases the risks of banking operations, and on the other, it affects the volume of lending to the economy.

As an integral part of the financial and credit system of Russia, the banking system is experiencing the influence of general and specific financial risks. These risks are due to the need to manage funds raised from customers and at the balance sheet along with highly liquid and rapid assets (securities), assets such as loans and deposits that cannot be instantly implemented.

Commercial banks of Russia in modern conditions Becoming full members of the International Business Community, for this, starting from October 1, 2004, the Central Bank of the Russian Federation introduced compulsory reports under IFRS, and since 2006 plans to fully go to international reporting standards.

Thus, effective financial risks are required in credit institutions, there is a need to form a unified regulatory framework for risk management and a comprehensive assessment of the financial condition of partner banks. The function of the regulator and the main risk manager assumed the Central Bank of the Russian Federation, which organizes the management of the banking system by oversight, using the so-called "risk-oriented" approach. The fundamental document is the provision of the Central Bank of the Russian Federation dated December 16, 2003 No. 242-P "On the organization of internal control in credit institutions", in accordance with which credit organizations are imputed to the duty to control the process of managing bank risks on an ongoing basis, using financial management methods. In practice, the functions of monitoring financial risks in credit institutions are delegated to specialized banking units, which are developing intrabank regulations and carry out continuous monitoring for risks accepted.

At the same time, the guidelines proposed by the Central Bank of the Russian Federation are clearly insufficient to create an effective financial risk management system. In this regard banking organizations, relying on the methodological base of the Central Bank of the Russian Federation, using the richest world experience in managing financial risks, is developing its own methodical approaches to assessment and risk management, taking into account the national and industry features of financial management and rationality of management methods. Thus, for the successful development of the system, the risk of management in commercial banks and increasing their competitiveness in the financial market, issues of creating a unified regulatory and methodological framework for financial risk management are put on to the fore.

Insufficient development of theoretical and regulatory base, a small number of scientifically based and practically tested financial risk management methods in credit institutions in relation to the modern stage of development banking system And financial management in Russia predetermined the choice of themes, goals, objectives and key research areas.

The purpose and objectives of the study. The goal of the dissertation study is to improve the financial risk management system of commercial banks, taking into account the specifics of their operations through the use of modern financial management methods and the development of practical recommendations for banks to identify, evaluate, account and monitor financial risks on operations in the interbank financial market.

The realization of the goal predetermined the need to solve the following tasks:

Clarify the essence of financial risks, determine their place in the entrepreneurial risk system;

Summarize the methods of risk identification and criteria for the classification of financial risks in the activities of commercial banks;

To investigate and evaluate the effectiveness of individual methods for managing financial risks in the implementation of operations of commercial banks;

Substantiate the proposed classification of bank limits as one of the main methods for managing financial risks of credit institutions;

Enough the need to form and adjust financial reserves by banks, taking into account the diversification of the risk and quality of the banking portfolio for operations in the interbank financial market, as well as to develop practical recommendations on reserving reserves and the methods of economic and mathematical analysis, the Monte Carlo method and the hydraulic methodology and Ilyaos methodology.

The subject and object of the study. The subject of the study is the methodological foundations of managing financial risks of commercial banks. The object of research is financial risks arising from banking activities.

Theoretical and methodological basis for research.

The theoretical basis of the study was the works of domestic and foreign scientists on the theory and risk management practices: Algin

A.P., Balabanova I.T., White L.P., Bloke I. A., Bora M. 3., Voronina D.

B., Ershova M. B., Lukasevich I.Ya., Maslachenkova Yu. S., Panova G. S., Polek G. B., Sevrook V. T., Sokolinskaya N. E., Shirinskaya E. B.

As a methodological basis for research, a systematic approach, methods of generalization and comparison, analysis and synthesis, grouping method, mathematical modeling, method of historical and logical analysis, as well as risk management techniques used in practice with modern foreign and Russian banks are used.

The methodological foundations of the assessment of financial risks of credit institutions are quite well developed in foreign economic literature, therefore, the works of such economists like Altman E.I., Merton R.C., Joseph F., Sinkey Jr.

The information base of the study was the regulatory acts and recommendations, conference materials, financial statements of commercial banks of Russia, official statistical data. In the process of research, the author studied the guidance and methodological and regulatory documents of the Bank of Russia on monitoring and regulating the activities of commercial banks, as well as the materials of the Basel Committee on Banking Supervision and Regulation.

Practical developments of Western analytical companies and banks in the Risk Management Risk Management, "Chase Manhattan" and "J.P.Morgan" were of particular interest. Electronic information materials were also used.

Scientific novelty. The scientific novelty of the study is to develop and testing the methodology for managing financial risks and the formation of reserves for commercial banks in the interbank financial market, clarifying the definition of financial risks, justify the proposed classification of risks and limits in the Russian banking system. The following results are obtained in the paper containing scientific novelty:

Modern approaches to disclosing the essence of financial risks are summarized, the definition of this category is clarified, elements of the financial risk management system are identified;

Financial risks management methods are allocated, criteria for the formation of limits in commercial banks are identified;

An assessment of the efficiency of the use of domestic and foreign financial risk management methods in the activities of credit institutions is given;

The methodology for managing financial risks was developed and tested on the operations of commercial banks in the Interbank Financial Market, containing new approaches to the determination of the amount of adoption of counterparty banking on the basis of the analysis of net balance and determining the market value of assets;

The criteria for assessing the financial condition of the post-Soviet spaces banks, taking into account national characteristics, based on the universal grouping of balance accounts accountinggoverned by international standards financial statements;

The size of reserves for possible losses on operations in the interbank financial market, used to effectively manage financial risks by applying Monte Carlo method, hydraulic and kayap methodology.

Practical significance. The dissertation describes the methods of assessing financial risks used in credit institutions. The practical significance of the study is to develop the author of its own methodology for assessing the financial condition of commercial banks for the risks of counterparty banks and the formation of reserves. The technique can be in demand by banks in the process of limiting operations in the internal or external interbank financial market, both in the context of national account plans and in the context of the translation of Russian reporting on IFRS. The work also formulated proposals for the classification of risks and limits of credit institutions when performing operations with partner banks. The dissertation materials can be used in the educational process in the preparation of students in the specialty "Finance and Credit".

Approbation of the results of the study was conducted in the MEDIVESTBANK CB and the Interprombank Akb in the implementation of financial analysis and subsequent monitoring of the financial state of Russian counterparty banks, operations on operations in the interbank financial market.

The main provisions of the dissertation are set out in 5 articles with a total volume of 2.8 p., Including the author's contribution 2 p.

The thesis consists of an introduction, three chapters, conclusions, a list of used literature and applications.

Conclusion of dissertation on the topic "Finance, money circulation and credit", noisky, Andrei Aleksandrovich

IV. Conclusions and offers

After deciding on the opening of limits, structural risk management units carry out monthly monitoring of the financial position of banks.

According to the results of monitoring, which is carried out by financial statements for each reporting month, the Bank's management is informed of the following indicators: the size of the active limit, the volume of the risk limit, the synthetic coefficient of financial position, the risk of insolvency, the dynamics of active and passive operations, the capitalization characteristic (sufficient, low, Raising, low, high), prediction of the Bank's development (positive, neutral, negative). According to the monitoring results, conclusions and proposals are made to change the amounts and timing of limits, or about their possible opening or closing.

In addition, in accordance with the provision of the Central Bank of the Russian Federation of March 26, 2004 No. 254-P "On the procedure for the formation of loan organizations of reserves for possible losses on loans, on loan and equivalent debt" Banks produce calculation of a risk group for possible losses on loans and Determine the size of reserves based on the motivated judgment of analytical units. The basis for motivated judgment is exactly the results of monthly monitoring of the financial condition of counterparty banks.

The proposed technique allows you to draw up your own intrabank rating of counterparty banks, compare it with existing ratings and analyze the position of your own bank in comparison with similar assets and capital banks.

I would like to summarize the highlights that fundamentally distinguishes the proposed methodology for assessing the financial condition of the commercial bank from other banking techniques. The complexity of comparison is determined by the fact that banks prefer not to disclose their methodical approaches, but, as a rule, only the final results will be published.

1. The developed methodology is approximated to international reporting standards, and, as well as the Central Bank of the Russian Federation, since 2005, in parallel with Russian standards obliges banks to draw up reporting in IFRS in accordance with the letter of the Central Bank of the Russian Federation 181-T methodical recommendations "On the procedure for compiling and submitted by credit organizations of financial statements." In this way, commercial BankUsing the proposed methodology, it may be painless to begin to analyze the financial position of counterparty banks that constitute reporting on international standards. In addition, the practice of cooperation with banks of Kazakhstan, Belarus and Ukraine, based on the above methodology to finalize it and apply to the evaluation of the financial condition and determining limits for banks of these regions. Appendix 7 presents an analysis of the financial condition of Kazkommertsbank (Kazasstan), based on reporting on the national account plan.

2. At the heart of the calculation of net assets lies the method of non-balanceing balances on some accounts accounts. Accounting Rolls (ZOZA and Zozp), Budget Accounts, Bank Accounts for interest (20319, 20320, 32501, 32502, 40311, 459, 4,7427) and income of future credit operations (32801, 47501, 4,6801, 47501, 61303) , the obligations of the Bank for payment of interest (account 31801-31804, 47,411, 47,426, 47,06-4,7609) and the expenditure of future periods on credit operations (accounts 32802 and 47502).

3. The introduced concept of net assets and net liabilities, on the basis of which banks of net lenders and net borrowers are detected, allow the risk of solvency and the size of the risk to differentiate.

4. As a basis for calculating the maximum and calculated limit, own working capital is adopted. It should be explained that mostly all methods in other banks as a base for calculating the limit use the size of own capital, calculated on the instructions of the Central Bank of the Russian Federation, and adjust it to the state of liquidity. The indicator of own working capital, in contrast to the requirements of the Central Bank of the Russian Federation, takes into account not only the size of the losses and immobilized assets in the form of fundamental funds on the balance sheet, but also also problematic debt. In this regard, it should be noted that it is classified as a problem:

Overdue debt (account 20317, 20318; 32401, 32402 (minus 32403), 40310, from 45801 to 45817 (minus 45818), 50505 (minus 50506, 50507);

Dubious debt (accounts 47408; 51501, 51502, from 51506 P51509, 519, (minus accounts 51510 and 51910), from 512114, from 51608 to 51609,51808,51809);

Inspriscation for factoring and warranty operations (accounts 47402 minus 47401 and 60315).

5. In addition, the size of the limit depends on the net value of the bank's capital, and in case of exceeding its negative value over its own working capital, the Stop comes into effect and the limit is not established.

6. Calculation of coefficients, risk groups and risk qualifications based on the developed coefficient analysis. Such a classification of insolvency risk is introduced as minimal, low, moderate, elevated, high and given a classification of interbank commitment, as standard, non-standard, dubious, dangerous and hopeless. These classification categories are used by analysts of other units when determining the size of the created reserves on loan debt, which is reflected ultimately on the bank profitability. In addition, the coefficient analysis allows not only to weigh and evaluate individual active and passive operations, but also show sources of funding for active operations, their urgency, indicate the sources of repayment of possible losses, the degree of resource of own funds into non-current assets, to reveal the ability of the Bank using liquid assets to satisfy Requirements of creditors within a reasonable time, as well as determine which part of assets is represented by non-Christian, identify the risk of risk of operations and their profitability.

7. The originality of the methodology is to distribute assets according to the degree of decrease in liquidity and determination of the discount size also in the same manner, which leads to the formation of the indicator of the net capital of the bank or the market value of assets that are used in assessing regional banks in the event of their purchase or accession.

8. On the basis of the methodology, the forecast of the Bank's development is determined, which is communicated to other units that provide banks to partners not treasury products (for example, when emissions of plastic cards or opening NOSTRO accounts).

9. The generalized analysis data on the basis of the technique made it possible to estimate the two main indicators - the risk and profitability of operations, and to prove that the risk is not always justified, and its increase is not always adequately reflected on profitability.

10. Stop indicators are introduced, in the presence of which the Bank is not considered as a applicant, which greatly facilitates the work of analysts, especially in branches. Stop The indicator is used with a synthetic coefficient value from 0 to 40, when classifying the risk of insolvency as high.

I. As a basis for the risk of insolvency, own capital is taken, since it is he, performing a protective function, allows the bank to resist in the case crisis situations. Capital failure entails not only financial risks, but also reputational risks, because it shows that the bank's owners are not interested in increasing capital, conduct risky operations and have intentions in a limited life time of the bank. 12. The Methodology is repeatedly tested in practice, which is especially indicative in that the bank, its useful, has been able to avoid losses during the so-called "banking confidence" of the summer of 2004, while having suspended operations with such banks as a credit trap operation, Akb " Dialog Optim, Akb "Merit Bank", Akb "Style Bank". For example, the analysis of financial data and the calculation of the risk coefficients for Dialog-Optim, the Bank has shown a greater dependence of the Bank from interbank claims, maintaining liquidity due to mutual lending on the interbank market, low liquidity rates, a significant package of illiquid securities, against resources depending on resources Deposit individuals, low payment coefficient and increasing negative cost of pure capital. Thus, the bank was assigned a "negative" development forecast.

3.2 Creation of economically sound reserves for operations in the interbank financial market.

The result of the application developed by the methodology is the formation of a limit to interbank operations, as well as a quantitative assessment of the risk of a counterparty bank, expressed by the risk coefficient.

However, along with the limitation of commercial banks, other methods of risk management on operations in interbank financial markets are also applied. This paper provides the author's methodology developed by the author of the calculation of the necessary economic capital to cover the financial risks of the Bank when working in the interbank financial market.

The risk of a portfolio of assets placed on the interbank market is the likelihood of losses associated with the possible default of the borrower. To estimate the loss data, we use two indicators: expected (average) portfolio loss and unexpected (maximum) losses.

Expected losses are a function of the probability of default of counterparty banks and the cost of assets at risk, which will be irretrievably lost as a result of a specific bank default. Such losses are predictable, refer to the costs of this type of activity and are reimbursed through the pricing mechanism of the services provided. To estimate the value of expected losses, the average probability of the default of counterparty banks is used and the average share of funds return.

Unexpected losses reflect the scatter of losses around their expected value (volatility), and the size of these losses is determined by the joint distribution of probabilities of the defaults of counterparty banks, taking into account the cost of assets at risk. These losses can no longer be included in the price of the instruments and are compensated for by the reserve of the capital, the cost of the formation and maintenance of which in turn is compensated by the profitability of the services rendered to risk. To assess the unexpected losses, the correlation rate between the scatter of losses on various counterparties around their average values \u200b\u200bis used.

Thus, the probability of a counterparty bank default is determined by its rating, that is, the risk coefficient (loss probability) calculated with a qualitative analysis of the bank and can take values \u200b\u200bfrom 1 to 100%. Then the expected losses on a separate asset are defined as a product of the probability of losses for the cost of an asset at risk:

Ee \u003d AG * WG (6) where ED are expected losses,

A1 - the value of the asset at risk, determined by the adjustment of the asset value by the value of partial cost recovery in the case of a default, for example, by implementing the pledge, guarantee execution, etc.

M is the probability of loss.

Then the expected losses on the assets portfolio are equal to the amount of expected losses on a separate asset: N yai * pi

7) J \u003d i where ELP is the expected portfolio loss.

It further should be noted that under this methodology, unforeseen losses on the assets portfolio are defined as the maximum possible losses on the assets portfolio, with a level of reliability of 99%, over the expected portfolio losses. At the same time, the maximum losses on the portfolio are determined taking into account the correlation of assets included in the portfolio.

This follows from the following points:

1. The maximum probability of losses on a separate asset included in the portfolio can be determined by assessing the empirical function of the probability distribution density of the loss of this asset using the Value At Risk method, that is, the maximum probability of a loss (var) with a given probability (confidence level): where r - The maximum value of the loss probability distribution density function

1 - CC - confidential level.

The confidence level is set - 99%, according to the recommendation of the Basel Committee on Banking Supervision.

2. To simulate the empirical function of the probability distribution density, a separate asset is proposed to use the Monte Carlo method, that is, the random processes are simulated by the pseudo-random method with the specified

VXob (var\u003e p) \u003d \\a (8) parameters: mathematical waiting for a damage probability and standard probability deviation. In this case, these indicators are calculated based on the dynamics of changes in the rating of the counterparty bank (loss probability) by retrospective data.

3. Then the maximum level of losses on a separate asset is multiplying the appropriate value of an asset value at risk:

MAYY \u003d L * OASH

9) where MAHY is the maximum level of loss / asset with a given confidence level,

UAS - the maximum probability of losses / asset, A1 - the value of the I asset at risk.

3. The magnitude of the maximum loss for the MAHR assets portfolio, taking into account the correlation links, changes in the ratings of counterparty banks is located as a square root from the work of the vector column (ie, the transposed vector string) of maximum individual losses, correlation matrix and vector-lines of maximum individual losses:

Mah Mah1 \\ Makh4 1

K \\, p- \\ kg, p- \\

L-1.L P - \\, p 1 y. \\ Makhts. Mahc. MAHTS (10) where MAHY is the maximum level of losses of the I asset with a given confidence level,

K is the correlation coefficient between the respective assets.

The MAXLP value is the maximum amount of losses on a given portfolio of interbank financial assets with a given level of trust. Thus, the size of the required means necessary for the coating of unforeseen losses (Credit var) can be determined by:

CreditVar - MaxLP - ELP (11)

Credit var reflects the required range of own funds to cover unforeseen losses with a specified level of trust.

The implementation of this technique is as follows:

1. At the first stage, the values \u200b\u200bof counterparty bank ratings and risk coefficients are determined by which are included in the portfolio. Values \u200b\u200bare determined in the last year, that is, on the 12 last reporting dates. The choice of this period of the retrospective range is due to a feature of banking and the structure of the interbank financial market. In our opinion, it is at a given range with sufficient accuracy that the main trends in the development of the bank can be determined and reveal its problem zone. The choice of a larger analysis period is non-determined due to the influence of the final indicator of historically remote data.

We analyze the portfolio of assets of the commercial bank, at risk, cost 5,870 USD, the following structure:

Conclusion

The risk, being a historical and economic category, originally had a mathematical expression, and then was already postponed as a choice of an optimal solution for individuals from public and economic life.

Financial risks arose together with the advent of the monetary circulation and relations "Borrower - creditor". Adam Smith first allocated in the structure of the entrepreneurial income "fee for risk" in the form of a reimbursement of possible risk associated with entrepreneurial activities. Other scientists, including Russian, developed on the theoretical foundations of risk.

After examining the various approaches to the definition of financial risks, we found out that the risk is related to the action, with the choice and there is a deviation from the set goal. Thus, the characteristic features of risk acts uncertainty, probability and action.

Having studied and summarizing the views of Western and Russian scientists, we clarified the definition of financial risks in the activities of credit organizations as follows: the financial risk is the probabilistic characteristic of an event that can lead to losses, non-receipt of income or receiving additional income, as a result of the conscious actions of the credit institution under the influence of losses External and internal factors of development in the conditions of uncertainty of the economic environment.

This definition reflects the basic concepts that characterize the risk category (the decision-making uncertainty, the likelihood of the onset of a negative or positive situation and associates the risk with the activities of the credit organization and the influence of independent factors on it). The new point in the definition is the likelihood of income.

To account and manage bank risks, it is necessary to classify them. Risk classification means systematizing a plurality of risks on the basis of any signs and criteria that allow you to combine subsets of risks in general concepts. To clarify the classification of risks, we have developed a number of our own criteria, which should satisfy the risk system: the correspondence of the purpose of a particular organization, the relationship to regulation, the terms of the transaction, the convenience of the risk system, belonging to active or passive operations.

All scientists involved in risk management issues offer their own classifications, at the same time, they proceed from the characteristics of the banking risks proposed by Peter S. Rose, which allocates six main types of risk (credit, risk of unbalanced liquidity, market, interest, risk of inconvenience , insolvency risk) and four additional risks (inflationary, currency, political, risk of abuse).

After analyzing various forms and types of classification of risks, we revealed that each bank is characterized by basic types of risks, named above, but at the same time, each credit organization has a risk-definitive risk set (for example, banks specializing in retail, innovation, interbank operations, servicing foreign trade operations).

We believe that the classification of bank risks should be built on a common risk map, and each credit organization clarifies and complements it depending on the profile of its activities.

After determining the classification of risks, you can start to manage them. The risk management system is a scientific and methodological set of measures to manage a credit institution aimed at identifying and assessing the risk using specific techniques and methods in order to create conditions for the sustainable functioning of the bank, maximizing equity, fulfilling the requirements of customers and partners of the Bank and ensuring its profitability Activities.

The risk management system is aimed at ensuring the optimal relationship between the profitability of banking operations and their risks, maintaining liquidity at a sufficient level when optimizing the amount of profits, satisfying the norms of sufficiency of equity capital.

The risk management system for bank risks performs a methodological, analytical, regulatory, control function. Performing functions is implemented through stages of financial risks: identifying the risk and causes of its occurrence, risk assessment and possible losses, making a decision on making or refusing risk, carrying out regulatory risk impacts by using management methods (monitoring, establishing standards and limits, diversification of operations , forming a sufficient level of reserves to cover losses, hedging), organization of the process of control and monitoring.

One of the main revenue operations of banks is operations in interbank financial markets. The operations conducted by banks in interbank financial markets are divided depending on the subject with which the operation is carried out, and by type of operation. Participants in the Interbank Financial Market provide each other interbank loans or deposits, carry out conversion operations and banknote transactions, urgent operations (Forex, Spot), operations with securities, accounting for consideration and coincidence of exchanges of counterparty banks, carry out documentary operations (issuance and adoption bank guarantees (guarantees) confirmation of uncovered letters of credit) and REPO operations.

In the interbank financial market, banks manage the payment risk and liquidity risk for which the special methods of evaluating the financial condition of counterparty banks are developing in order to reduce the risk of non-fulfillment of their obligations on time and in full, increasing revolutions in the interbank financial market by increasing operations and expanding the reliable circle of banks, and, therefore, an increase in profitability.

In world practice, various methods of assessing the financial condition of counterparties are applied, the most well-known of which is the American Camels system. The basis of these techniques is the assessment of the financial condition of the Bank for selected criteria, which ultimately reduce the analysis of capital adequacy, liquidity, assets quality, risk assessment and quality management. However, the applicability of Western techniques in Russian practice is not always possible and is justified, which is associated with the peculiarities of the development of the Banking Sector of Russia and the specifics of the functioning of the financial markets of Russia and Western countries.

The work of the Russian methods for analyzing the financial condition of banks were investigated, their advantages and disadvantages were revealed. Since they do not assess the risk of adopting interbank commitment and are not acceptable to monitor the financial position of the counterparty bank, the work has proposed developed and approved in practice the methodology for calculating the limit on interbank operations. The objective task is a quantitative and qualitative assessment of the bank's credit risk arising from operations in the interbank financial market and the securities market. Quantitative risk assessment involves the calculation of the total (cumulative) adoption limit monetary obligations Bank-Counseling Bank for Credit Operations and Operations of Nebitrary Character - Currency, Operational, Market, and TP. A qualitative assessment involves determining the risk group.

In the methodology, the process of analyzing the financial condition of the Bank is divided into several stages: the formation of the enlarged balance of the bank, the net structure of assets and liabilities, determining the amount of net capital of the bank, determining the size of the monetary commitment limit of the counterparty and the preparation of an analytical report on the financial statement of the counterparty.

The methodology is approximated to international reporting standards, which is confirmed by the practice of cooperation with banks of Kazakhstan, Belarus and Ukraine.

As one of the methods for calculating the indicators, the method of netting the accounts of individual accounts accounts is proposed. The concept of net balance entered into the practice practice allows you to identify banks net creditors and a net borrower, the risk of solvency on which is different. The limit size is calculated from its own working capital and the size of the pure capital of the bank.

Based on the coefficient analysis, the risk group is determined, the qualification of the risk of insolvency is derived and the classification of the interbank commitment is given. In the future, these data is used by analysts of other bank units when determining the size of reserves on loan debt. The coefficient analysis also shows the sources of funding of active operations, their urgency determines the sources of repayment of possible losses, the degree of response of own funds into non-current assets discloses the ability of the Bank using liquid assets to meet the claims of creditors within a reasonable time limit, and is also defined which part of the assets is presented in non-Christian, determines which Risk ratio of operations of their profitability.

Based on the methodology, the forecast of the development of the bank is determined, which is communicated to other units that provide banks to partners not treasury products (for example, when emissions of plastic cards or opening NOSTRO accounts).

Introduced Stop The indicator filters banks of applicants prior to analysis, which greatly facilitates the work of analysts, especially in branches. As a basis for the risk of insolvency, own capital is taken, since it, performing a protective function, allows the bank to resist in the case of crisis situations. Capital failure entails financial and reputational risks, because it shows that the bank's owners are not interested in increasing capital, conduct risky operations and have intentions in a limited life time of the bank.

To assess possible losses of a commercial bank when working in the interbank financial market, two indicators are used: expected and unexpected. Such separation is associated with various economic values \u200b\u200bof these indicators:

Expected losses are a forecast value and belong to the expenditures of this type of banking, for their assessment, the value of the risk coefficient for a particular bank, calculated on its last rating is used.

Unexpected losses are characterized by the highest possible loss for each asset, and to determine such losses on the portfolio, correlations are taken into account between the ratings of counterparty banks. These losses are compensated at the expense of their own capital, which is formed by the profitability of banking activities.

To determine the value of the maximum loss on a separate asset, a method of modeling random Monte Carlo processes is used.

Analysis of maximum losses on the appropriate asset allows you to identify the most risky borrowers and form additional requirements for limits on a specific counterparty bank.

In the developed methodology, unforeseen losses on the assets portfolio are defined as an excess of the maximum possible losses on the assets portfolio, with a level of reliability of 99%, over the expected portfolio losses. At the same time, the correlation matrix takes into account the relationship between changes in the relevant bank ratings of banks, to take into account correlation ties between changes in bank ratings.

To characterize its own funds necessary to cover unforeseen losses in the portfolio, the Credit var is used, which reflects the cumulative risk on the portfolio. To estimate the risk of portfolio and individual values \u200b\u200bfor each financial asset, taking into account their profitability, we offer to use RAROC (Risk Adjusted Return on Capital), which determines the return on risk. By comparing the value of this indicator for each asset with the value of the portfolio, it is concluded that the profitability of one or another asset relative to the average value is made.

Raroc indicator is used when comparing yield and risks different species Bank's activities, to determine the priority directions of development and identify the most problematic zones in current activities credit organization.

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124. MBC share in assets (million rubles)

125. Name of the Bank 01.01.2001 01/01/2002 Change with the previous year 01.01.2003 Change with the previous year 01.01.2004 Change compared to the previous year Change compared to 01.01.01

126. MBK share in assets in% MBC share in assets in% MBC share in the asset of the RS% MBC share in assets in%

127. AlfaBank 19 305.40 17,80 18 299.40 18,60 -5.21% 38 919.90 27.00 112.68% 8 229.60 4,60 -78.85% -57.37%

128. Bank of Moscow 3 044.00 7,10 3 453.90 5.50 13.47% 10 599.00 11,10 206.87% 1 392,20 1,00 -86.86% -54.26%

129. Rosbank 1 818.00 4.00 5 213.50 7.80 186.77% 5 101.30 7.70 -2.15% 5 088.30 4,50 -0.25% 179.88%

130. PSB 2 101.00 9,40 4 954,10 15,20 135.80% 6 981.00 14,80 40.91% 735.80 1,10-89.46% -64.98%

131. URALSIB 1 887.50 19.00 2 426.30 10,10 28.55% 6 923.10 15.80 185.34% 3 177.00 4,90 -54.11% 68.32%

132. City 17 378.00 55.70 19 646.50 50.00 13.05% 28 999.80 49.60 47.61% 3 844,80 6,30 -86.74% -77.88%

133. Nikil 1 136.90 21,70 1 777.00 16,20 56.30% 3 914,10 17,40 120.26% 1 357,40 4,10 -65.32% 19.39%

134. TransCredit 581.90 8.50 386.30 4,10 -33.61% 625.80 4.00 62.00% 1 615.00 5,60 158.07% 177.54%

135. RUSK. Standard 284.80 23.10 313.00 9.30 9.90% 1 393.70 24,80,345.27% 25.20 0.20 -98.19% -91.15%

136. Avangard 1 187.80 24,10 1 325.60 20.80 11.60% 1 387.90 15.40 4.70% 793.30 5,40 -42.84% -33.21%

137. KMB 1 307.50 76,20 3 016.80 80.90 130.73% 3 178.90 59,20 5.37% 742,20 9,50-76.65% -43.24%

138. MBRD N.D. N.D. 574.50 5.60 ND 1 497.60 14.20 160.68% 1 038,60 5.00 -30.65% ND.

139. Nizhizho PSB 20.60 0.70 87.50 2.50 324.76% 558.30 11,10 538.06% 119.20 1.90 -78.65% 478.64%

140. VTB 17 185.20 15.50 45 488.20 30,40 164.69% 43 148.30 24,50 -5.14% 29 088.00 11,30-32.59% 69.26%

141. MDM 10 294,10 40.80 14 644,10 44.50 42.26% 28 696,20 35.20 95.96% 6 012,70 5.70 -79.05% -41.59%

142. Menatep 2 179.30 9,70 2 643.70 9.80 21.31% 4 479.70 12.30 69.45% 556.40 1.50-87.58% -74.47%

143. Petrocommerz 951,60 8.50 2 217.90 9.70 133.07% 4 044.50 12,60 82.36% 680.50 1.50-83.17% -28.49%

144. Zenith 649.00 7,20 1 763.80 10,50 171.77% 2 515.70 11.30 42.63% 1 558.90 5,20 -38.03% 140.20%

145. NOMOS 1 699.00 23,60 3 193.40 22.60 87.96% 3 685.70 19,20 15.42% 2 313,10 7,50 -37.24% 36.14%

146. Promsvyazbank 316.20 5.50 962.80 8,20 204.49% 1 733.50 7.50 80.05% 3 286.20 8.80 89.57% 939.28%

147. Komitbank 1 187,20 43.80 5 262.00 78.00 343.23% 12 318.10 81.80 134.10% 2 854,40 10,80-76.83% 140.43%

148. Absolut 663,60 30,10 862.00 25.60 29.90% 1 103.40 26.50 28.00% 797,10 9,30 -27.76% 20.12%

149. Omsk PSB 6.70 0.30 21.60 0.80 222.39% 132.30 3.50 512.50% 30.10 28,80 -77.25% 349.25%

150. Kedr N.D. N.D. 25.00 1.20 N.D. 72,10 2,70 188.40% 10.60 0.20 -85.30% ND.

151. Yeniseisk. ND.Bank N.D. N.D. 53.50 6.90 ND 45.90 3,20 -14.21% 340.80 22.00 642.48% ND.

152. Southern trading N.D. N.D. N.D. I.D. N.D. 118.40 13.70 nd. N.D. | N.D. N.D. N.D.

153. The share of the MBC attracted in Pasivakh (million rubles) M 91.91.ZWS 1.91.2004 1.99.2 004 91.97.2004

154. MBK DM ** Pm MBK 1! I- DM * "SSAI LMASH PU W" PTR MBK DM "" 1. MBK thousand "T<. %% щиН. %% тые.»т«. шитС. %%

155. VTB 175 917446.00 431 483.00 0.25% 256 938 146.00 52 284 783.00 20.35% 286 599 909.00 61 080594.00 21,31% 299 632 771.00 68 141 791.00 21.70%

156. R »<«ы« (б 049 501,00 5 101 345.00 7.72% 113 025 322,00 7 348 338.00 6,50% 111 765 021.00 8 857 019,00 7,92% 116 760 862,00 5 893 622,00 5,05%

157. MDM 81 579480.00 28 696 150.00 35.18% 105 564 798.00 41 388 045.00 39,21% 116 448 561.00 50321287.00 43 l% 106 783 503.00 40 717 577.00 38.13%

158. MMB 79 343 036.00 6 505 902.00 8.20% 83 774 375.00 9 293 067.00 11.09% 94 001 775.00 9 647 271.00 10.26% 90 853 654.00 13 407 430.00 14.76%

159. City 58 507 923.00 28 999 797 00 49.57% 61 OSE 9BB, OO 23 751 545.00 38.94% 59 447 2 52.00 18 248 704.00 30.70% 65 566 485.00 19 538 985.00 29, B0 %

160. PPRWTM. 32 155 277.00 4 044 499.00 12.58% 44 320135.00 1 074 843.00 2.43% 46 656990.00 7 939 652.00 17.02% 4 3 657 605.00 5 638 569.00 12.%

161. DNB 31 519432.00 2 084 091.00 6.61% 25 010341.00 12 639734.00 50.54% 29 592 619.00 13 006174.00 43.95% 28 649 690.00 12 803 177.00 44.69%

162. Trikkudagt 15 581 201.00 625 751.00 4, CE% 28 949978.00 751 613.00 2.60% 5 284 669.00 2 499 236.00 47.29% 26 930 707.00 1 441 854.00 5.35%

163. K "M" RCBAZh 15 067 036.00 12 318 145 00 81.76% 26482448.00 22 968 666.00 86.73% 25 135 665.00 18 445 885.00 73.39% 23 827 444.00 20 269 085.00 85.07%

164. AZHBA * "14 957 52 \\, 00 V 2090666.03 8.08% 22.012621.00 1 854 159.00 8.42% 30 588 215.00 1 405 093.00 4.59% 32 782 600.00 1 096 700.00 3.35%

165. MBRD 10 542 230.00 1497 558.00 14.21% 20 838 454.00 1 825 949.00 8.76% 17 196 732.00 2 859802.00 16.63% 18 923 907.00 2 593 395.00 13 70%

166. RBP 6443 381.00 635 780.00 9.87% 7 994 726.00 1 919482.00 24.01% 6 730017.00 794 280.00 11.80% 1 236 061 00 816 236.00 66.04%

167. M *<ж^феа.бамг 6121 401.00 384 272.00 6.28% 10 312 066.00 1 775 230,00 17^2% 9221 311.00 143 626,00 1.56% 9 238 218.00 1 277 246.00 13.83%

168. M Ruek. NGP. 5 612 638.00 1 393 748.00 24.83% 15 404 308.00 5 175 951.00 33.60% 21 744 137.00 8 914 687.00 41.00% 22 486 393.00 9 375 937.00 41.70%

169. A (Yent 5 182 552.00 1 103 378.00 21.29% 8 530 242.00 2 480112.00 29.07% 10 036117.00 2 714 341.00 27.05% 9 768 009.00 2 423 601.00 24.81%

170. NAYPGM LSB 5 032 782.00 558 346.00 11.09% 6 147 379.00 900 467.00 14.65% 6 880256.00 882 894.00 12.83% «129 371.00 440 417.00 7.19%

171. UBRR 4 739 376.00 26 "578.00 5.58% 7 782 346.00 386 376.00 4.96% 9 se6 221.00 1 341 572.00 14.86% 140469.00 465 855.00 5.72%

172. WTTB 4 552 616.00 1 256 419.00 27.60% 6 287 8 97.00 917 885.00 14.60% 6350835.00 807 416.00 12.71% «156 735.00 682 089.00 11.08%

173. H "-Y 4 288 528.00 38 822.00 0.91% 6 262 523.00 160 904.00 2.57% 7 334 512.00 246 605.00 3.36% 7 318 071.00 173 829.00 2.38%

174. TSRPSHM E 481 508.00 206 621.00 5.93% 5 065 311.00 129 399.00 2.55% 7 268 222.00 87 113.00 1.20% 7 296462.00 87 244.00 1.20%

175. Ripvzh 3 377 820.00 2 312 353.00 68.46% 4 508 710.00 Э 129551.00 69.41%\u003e 959612.00 3 583 031.00 60.12% 5 462 633.00 4 034 826.00 73 86%

176. E 247 886.00 508 427.00 15.65% 3 556438.00 237 117.00 6.67% 4 136722.00 512 095.00 12.38% 4 277 962.00 515 727.00 12.06% 31 3 022 788.00 506 804.00 16, 77% 5 103 606.00 1 338 416.00 26.22% 5 924 409.00 1 099780.00 18.56% 6 262 289.00 1 210 388.00 19.33%

177. C K "2 661 199.00 72 14000 2.71% 4 251 182.00 4 687.00 0.11% 5 503 V 64.00 9 562.00 0.17% 5 613 717.00 3 084.00 0.05 %

178. For "" "< 2 345 970,00 6.00 0.00% 1 194 208.00 0,00 0,00% 1 951240,00 0,00 0,00% 1 735 353.00 0,00 0,00%

179. RSPMSAM 1 85 "529.00 88 165.00 4.65% 2 666214.00 153 046.00 5.74% 2 931 162.00 6 902.00 0.24% E 038 481.00 5 787.00 0.19% and Yarov" feet 1 615 578.00 0.00 0.00% 2 525 140.00 18 500.00 0.73% 2 437 695.00 25 200.00 1.03% 2 470914.00 5 190.00 0.21%

180. EM. yga<ж 1 429002,00 45 902,00 3.21% 1 545 861,00 102 431.00 6.63% 2 166 932,00 82 607.00 3,81% 2 518 141,00 77 549.00 3.08%

181. MMP * Pim 1 032 401.00 15 106.00 1.46% 1 227 331.00 11 48 9.00 0.94% 1 562 755.00 95 033.00 6.08% 1 452 148.00 99 152.00 6.83%

182. RNKB 987 787.00 Yap 9 ^ 2.00 9.92% 145! 171.00 375 651.00 25.8-9% 144 140.00 20l 401.00 »7.87% 1 09 * 293.00 150 600.00 17.42%

183. M Mo. Bayak AE "R. 48 9 787.00 166 103.00 33.91% 678 891.00 299 607.00 44.13% 806 705.00 366 906.00 45.48% 802 695.00 434 570.00 54.14%

184. HSWM 347 781.00 0.00 0.00% 518 422.00 0.00 0.00% 619 050.00 7 006.00 1.13% 606 737.00 18.00 0.00%

185. See * k.d k.d. 23 952 106.00 4 375 413.00 18.27% 26 132 061.00 6 28 9 081.00 24.07%

186. Tsaium ^ Dates. *. I. A 16 586273.00 g 336 787.00 14.09% 12 356 910.00 1 309 775.00 10.60% and 11HRB 12 748 852.00 67 172.00 0.53% 14 545 997.00 1U7 812.00 1.36% 17 141 303.00 30 141.00 0.18%

187. SmipmG K. Ya. 5 026887.00 759 843.00 15,12% 6 592 587.00 583 1 65.00 8.85% 7 192 800.00 545 978.00 7.59%

188. GC\u003e "GT, Y.Ya- k. I. 4 355 518.00 1 801 242.00 41.36% 4 326 320.00 1 755 320.00 40.57%

189. Toylette. M.Ya. N-y-. L. E 286593.00 2 091.00 0.06% 3 836 042.00 71 329.00 1.86%

190. OI "-PSB * -I 5 238 108.00 94 119.00 1.8% I-I. And1 m. D. I, I, Yap99 3 079916.00 260 568.00 8.46% Э 284 149 00 88 044.00 2.68% I.Ya. Mr. Yap

191. Basque C-p 12 556221.00 1 751 731.00 13.95% 13 135 628.00 59 * 5 00! .00 4.54% 13 311 974.00 540 137.00 4.06%

192. A "Sch-" RD N-A. 14 561 385.00 2 137 203.00 14,68% 15 917 722.00 2 487 696.00 15.63% 14 799 139.00 I 438 286.00 9.72%

193. The consolidated calculation of the value of banks by 01,01.2003. (thousand rubles.) Negative cost

194. CaIC; Assets Net Cost Capital St-T / Caanoal Ratish

195. Imneksbank 14 214 604.00 948 207.00 2 632 010.00 36.03% 80.44

196. Petrocommerz 32 155 277.00 ¡35 993.00 6 658 609.00 2.04% 80.00

197. AK BARS 14957 521.00 561 617.00 3 110 049.00 18.06% 77.63

198. Celind 4 288 528.00 138 911.00 710 314.00 19.56% 76.00

199. North Ka Sha 5 111 614.00 484 138.00 556 392.00 87.01% 74.25b Mosk. credit. Bank 6 121 401.00 1 475 259.00 1 530 229.00 96.41% 73.50

200. ABN AMRO 14 353 383.00 248 492.00 1 722 176.00 14.43% 72.81

201. Dialogue-Oped 6 807 965.00 267 413.00 1 311 192.00 20.39% 72.69

202. Nomos 19 246 695.00 436 983.00 4 407 281.00 9.92% 72.56

203. City 58 507 923.00 4 161 046.00 6 481 931.00 64.19% 72.13

204. CSNGR-INESTER 3 022 788.00 105 299.00 623 922.00 16.88% 71,56

205. Kedar 2 661 199.00 232 882.00 340 602.00 68.37% 71,31

206. Omsk-PSB 3 821 251.00 458 509.00 506 288.00 90.56% 70,81

207. URALSIB 43 706 733.00 3 191 944.00 8 630 698.00 36.98% 70.50

208. Me is about Dock PA L 1 032 401.00 132 365.00 135 932.00 97.38% 70.06

209. Sberbank 1 081 784 306.00 105 958 449.00 126 820 307.00 83.55% 70.00

210. Raiffeisen 42 477 183.00 4 710 646.00 2 882 405.00 163.43% 69.63

211. Gazprombank 153 554 763.00 21 498 911.00 20 288 783.00 105.96% 69.13

212. Regnobank! 896 529.00 164 402.00 174 890.00 94.00% 68.75

213. Russian. General, Bal to 7 448 238.00 557 617.00 914 023.00 61.01% 67.81

214. Nicky L 22 478 516.00 477 322.00 6 458 471.00 7.39% 67,56

215. WTTB 4 552 616.00 588 132.00 403 863.00 145.63% 66.13

216. Yarsozzbank 1 615 578.00 98 120.00 263 412.00 37.25% 65.81

217. Eurofinance 23 429 610.00 857 818.00 3 264 591.00 26.28% 65.75

218. Promsvmz 23 223 869,00 3 653 534.00 2 772 942.00 131.76% 64.63

219. TAURICH 3 481 508.00 160 439.00 720 994.00 22.25% 64.25

220. Metalinvest 4 892 235.00 245 284.00 1 324 290.00 18.52% 64.19

221. Southern Trade 863 160.00 65 347.00 168 092.00 38.88% 63.44

222. Gas Bank 3 770 267.00 605 478.00 374 621.00 161.62% 61.88

223. Zarechye 2 345 970.00 37 539.00 382 189.00 9.82% 61.44

224. Menatep 36 287 136.00 6721 055.00 2 763 731.00 243.19% 60.50

225. INTERN 5 389 078.00 668 410.00 460 045.00 145.29% 60.44

226. UBRR 4 739 376.00 504 954.00 757 759.00 66.64% 60.13

227. Probusinessbank 7 478 249.00 675 798.00 1 089 693.00 62.02% 59,56

228. MDM 81 579 480.00 12 553 155.00 8 434 980.00 148.82% 59.50

229. Far Eastern 2 340 647.00 216 252.00 28 6 363.00 75.52% 59.25

230. Feets LB 8 720 242.00 552 294.00 770 702.00 71.66% 59.19

231. Zenit 22 358 135.00 4 024 305.00 2 689 527.00 149.63% 58.50

232. Alpha 143 992 371.00 15 489 475.00 24 629 827.00 62.89% 57.88

233. PSB 47 057 414.00 7 072 911.00 4 114 093.00 171.92% 57.69

234. Bank of Moscow 95 425 ¡63.00 17 806 676.00 9 845 763.00 180.86% 57.19

235. KME 5 370 317.00 989 637.00 403 570.00 245.22% 57.00

236. Russian Standard 5 612 638.00 387 447.00 1 255 385.00 30.86% 56.75

237. Kr.lionz 7 267 571.00 539 341.00 1 359 633.00 39.67% 53.69

238. MMB 79 343 036.00 8 891 200.00 4 758 857.00 186.83% 51.19

239. Trackredit 15 581 201.00 1 087 709.00 2 504 439.00 43.43% 50,8848 Div 31 519432.00 6 936 832.00 5 174 138.00 134.07% 50.00

240. Rosbank 66 049 501.00 12 012 962.00 10 292 005.00 116.72% 48.061. Positive value

241. BAI * Aktins Cost Capital St-T / Kilt Rey 1 msh

242. RNB 987 787.00 206 272.00 406 173.00 50.78% 83,13

243. VTB 175 917 446.00 ¡2 966413.00 57 095 912.00 22.71% 82.06

244. Rosslhoz 9 015 884.00 2 055 471.00 3,799,000.00 54.11% 81.63

245. Kras Bai 3 247 886.00 381 874.00 1 030 728.00 37.05% 79.50

246. Cr. Swiss 9 765 813.00 2 160 074.00 2 192 849.00 98.51% 76.63

247. Orgres 5 037 038.00 979 836.00 1 880 929.00 52.09% 76.44

248. MBRD 10 542 230.00 616 475,00 2 856 420.00 21.58% 76.38

249. RBR 6 443 381.00 3 984 620.00 5 356 279.00 74.39% 76,31

250. Interddes Bank Azerbaijan 48U 787.00 230 522.00 315 797.00 73.00% 75.75

251.P absolute 5 182 552.00 348 133.00 1 304 814.00 26.68% 75.63

252. Nizhegorod PsS 5 032 782.00 133 446.00) 372 991.00 9.72% 73.06

253. EN NOT. I 429 002.00 42 139.00 286 979.00 14.68% 71.81

254. Deutsche 12 279 807.00 846 478.00 2 717 684.00 31.15% 69.13

255. Ripublnk 3 377 820.00 192 498.00 820 062.00 23.47% 68.63

256. Khakassia 347 781.00 13 625.00 99 313.00 13.72% 66.81

257. Complete calculation of the value of banks NL 01.01.2004. (thousand rubles) 1. Seprades.: P.Iipa Cost

258. Bank Assets Checked Sipmosh. Capital St-T / Kapshade ■ Rating

259. EURO FI OUR; 20 256 318 134 259 3 388 683 3.96% 79.69

260. They Ikebane to 15 989 714 889 206 3 032 982 29.32% 79,31

261. Northern treasury 5 498479 390 191 670 627 58.18% 75.88

262. Petrocommerz 33 140 830 450 019 6 920 662 6.50% 75.25

263. AK BARS 17 882 857 1 319 873 3 069 898 42.99% 75.06

264. Southern trading 919 435 80 718 158 713 50.86% 74.63

265. CENT ind 4 673 695 256 168 752 678 34.03% 74.00

266. KSLR 3 098 018 230 290 374 828 61.44% 73.75

267. Raiffweapa 50 453 171 5 944 477 3163 157 187.93% 72.38

268. City 51 597 856 2 872 916 7 459 951 38.51% 71.75

269. Plobank 1 884 004 216 334 185 811 116.43% 69.25

270. Gazprombank 189 943 120 27 100 675 21 204 441 127.81% 68.94

271. Gazbank 4 630 884 567 257 428 2x0 132.45% 68,56

272. Menatep 41 614 352 6 605 050 3 453 093 191.28% 68.06

273. Dialog Optim 7 315 \u200b\u200b077 758 266 1 323 191 57.31% 67.13

274. AEN AMRO 14 427 919 835 023 12 053 120 6.93% 66.88

275. VEM LB 8 989 872 428 695 902 892 47.48% 66.69

276. URALSIB 49 203 226 4 375 856 9 692 062 45.15% 66,56

277. Mosk. Credit, Bank 6 827 362 1 041 686 1 537 045 67.77% 66,56

278. CommSrtsbank 18 151 205 2 862 497 726 361 394.09% 66,56

279. WTTB 4 912 563 735 673 424 156 173.44% 66.25

280. NOMOS 22 771 043 1 522 423 4 329 430 35.16% 65.88

281. Center-Invest 2 624 840 325 475 637 963 51.02% 65,56

282. Omsk-PS B 4 247 435 536 718 566 889 94.68% 64,56

283. Tauride 4 374 629 326 473 735 720 44.37% 64.062 (5 HeatsSilk 8 775 701 1 023 656 1 120 447 91.36% 63.50

284. PS b 54 021 030 7 047 444 4 566 808 154.32% 62.25

285. Granskredit 18 866 984 1 470 137 2 688 172 54.69% 61,56

286. Alpha 156399740 17 980 934 24 352 572 73.84% 61,503 "Yarsozzbank 1 574 780 100 412 278 920 36.00% 60.25

287. Promsvyaz 22 734 589 3 738 299 2 893 110 129.21% 59.94З: INTERN 5 775 811 943 100 473 337 199.24% 58.31

288. NIKOIL 23 932 849 463 845 6 236 692 7.44% 57.06

289. MBRD 20 672 592 2 272 622 2 996 253 75.85% 56.94

290. Zenith 24 349 036 4 202 709 3 067 571 137.00% 56,56

291. Bank of Moscow 109 772 211 19 564 759 10 854 449 180.25% 56.06

292. UBRR 5 541 361 724 262 750 397 96.52% 55.88

293. Far Eastern 2 277 212 236 992 303 447 78.10% 55.06

294. MMB 79 987 432 8 667 995 4 842 397 179.00% 53,56

295. Rosbank 743 057 774 13 654 167 10 396 290 131.34% 53.25

296. KME 5 228 573 952 001 422 579 225.28% 53.00

297. MDM 86 017 884 17 023 631 8 418 642 202.21% 50.56

298. Cririon 8 751 688 882 994 1 380 027 63.98% 49.81

299. Avangard 9 592 209 589 990 2 022 852 29.17% 48.75

300. Dib 40 869 440 11 631 691 6 088 619 191.04% 47.061. Positive value

301. BAPK! | IK1 | "Nm Stonmisga: Kishghal ET-TD / Kyashapal

302. VTB 204 793 35! 16 974 512 60 894 729 27.88% 91.63

303. Absolut 5 882 637 269 949 1 309 173 20.62% 83.38

304. Khakassia 318 779 30 116 101 300 29.73% 80.50

305. RNKB 1 352 464 203 111 503 491 40.34% 80.00

306. Russian Standard 5 987 606 207 596 1 800 542 11.53% 79.13

307. Kras Bank 2 982 457 201 245 1 049 851 19.17% 76.94

308. Cr. Swiss 708 481 2 366 400 2 399 165 98.63% 76.63

309. OrgRes 5 002 567 805 140 1 880 856 42.81% 76.00

310. Rosselkosis 9 940 940 1 527 011 3 972 082 38.44% 75.81

311. Neither the city of PSB 5 099 946 236 715 1 522 753 15.55% 74.81

312. MPU, Bank A 1SRAb 612 17! 251 372 318 033 79.04% 71.50

313. Metal Invest 5 153 161 76 966 1 326 831 5.80% 70.31

314. DYUCHS 13 427 537 391 241 2 887 127 13.55% 69.69

315. Ripablik 3 501 415 74 092 811 202 9.13% 68.44

316. RBP 6 478 937 4 058 583 5 526 127 73.44% 64.00Fully calculation of the cost (¡Anconi 01.09.2004 (thousand PVFI.) Negative cost of Aktipm Chastai Cost Capital Stand / Capital Rating

317. PVCCK-general.Bank 45 501.00 8 980 396.00 1 733 686.00 2.62% 77.08g VTB 77 509 552.00 344 930 292.00 65 479 209.00 118.37% 77,50E Slavinvest 671 547 00 8 084 840.00 1 379 296.00 48.69% 75,56

318. M Yatal Invest 234 430.00 7 147 683.00 1 643 868.00 14.26% 75.50

319. LNSHI 1 B78 550.00 40 909 723.00 9 395 102.00 17.87% 74,57

320. Snobsnesbashs 1 599 937.00 12 272 186.00 1 771 135.00 90.33% 74.25

321. Petrik Mary 4 629 218.00 45 379 130.00 7 710 771.00 60.04% 74.00

322. I am PCHK S0 191.00 20 790 631.00 3 812 574.00 2,10% 73,44

323. Eurofshans 2 458 482.00 33 408 372.00 5 468 305.00 44.96% 73.13

324. Russian Standard 916 763.00 26 085 369.00 5 918 774.00 15.49% 70.38

325. And MDM 10509 221.00 113 133 806.00 10 834 859.00 96.99% 70.13

326. City 5 753 368.00 67 856 790.00 11 215 015.00 5 1.30% 69.38

327. My Voloka Dal 182 109.00 1 035 561.00 129 973.00 140.11% 68.75

328. Nomos 3 555 990.00 3 469 283.00 B 376 230.00 55.77% 68.25

329. Yenis Union B »NK 90 544.00 1 941 023.00 306 541.00 29.54% 67,31

330. RNNUBNAK 118 664.00 5 738 192.00 83S 307.00 14.21% 67.19

331. Ash 535 304.00 21 591 477.00 2 337 880.00 22.90% 66,56

332. Absolut 754 622.00 9 051 480.00 1 475 671.00 51.14% 66,56

333. VGETLB 158 087.00 and 471 314.00 I 053 378.00 15.01% 66.44

334. Train 6 804 229.00 40 955 467.00 4 732 613.00 143.77% 66.38

335. U VTB 1 167 361.00 6 443 260.00 485 010.00 240.69% 66.25

336. TO LI Yattykhi MSAP to 229 476.00 3 775 173.00 707 256.00 32.45% 65,7523 "Granskreng 3552 951.00 29 592 022.00 3 325 206.00 106.85% 64, 81.

337. Rosbank 1st 510 700.00 118 029 052.00 1 2 394 486.00 14935% 63.69

338. Gazprombank 32 047 876.00 242 820 144.00 29 656 816.00 108.06% 63.31

339. Zenit 6 267 449.00 41 857 200.00 4 292 974.00 145.99% 62.44

340. My miles to redes. Ba NK 1 974 300.00 9 265 673.00 2 022 255.00 97.63% 62,31

341. Chepiml 943 702.00 7 732 875.00 924 438.00 102.08% 62,0629 LIG\u003e 2 939 710.00 27 441 721.00 5,280,456.00 55.67% 62.00

342. Yarstsbik 296 661.00 2 390511.00 263 770.00 112.47% 61,56

343. Alpha 15 757 394.00 162 571 040.00 31 451 640.00 50.10% 60.63

344. Tauride 747 754.00 6 951 162.00 1 169 135.00 63.96% 60.50

345. Menatep 2 052 578.00 23 324 673.00 3 303 1 51.00 62.14% 60.50

346. Imteksbiik 4 329 078.00 28 746 186.00 3 291 090.00 ¡3154% 60.19

347. BANKS-P 1 977 622.00 14 151 477.00! 304 495.00 151.60% 60.0636 1 "Egyobic 396 347.00 2 981 982.00 318 016.00 124.63% 59.81

348. URALSNB 7 586 136.00 75 128 150.00 12 481 616.00 60.78% 59.69

349. AK BARS 5 131 252.00 32 141 559,00 3 780 322.00 135.74% 59.36

350. MME 16 407 587.00 103 425 215.00 7381 851.00 222.27% 59.13

351. Avangard 1 152 890.00 ¡4 602 636.00 2 987 455.00 38.59% 58.63

352. INTERN 1 216 636.00 8 509 545.00 729 616.00 166.75% 58.31

353. Gazbank 1 045 792.00 6 309 834,00 566 727.00 184.53% 57.25

354. TSA) PROG REDIT 1 257 165.00 11 850 211.00 3 025 358.00 41.55% 57.19

355. MBRD 2 036 350.00 19 567 643.00 3 102 771.00 65.63% 55.75

356. North Kazhi 1 470 074.00 8 897 317.00 985 639.00 149.15% 54,56

357. Union 5 619 423.00 29 972 698.00 4 240 667.00 132.51% 54.00

358. Raiffeich 11 773 479.00 72 179 227.00 5 592 680.00 210.52% 53.94

359. Bank of Moscow 23 773 261.00 134 822 790.00 13 504 731.00 176.04% 52.69

360. Commnbank 5 172 000.00 27 307 781.00 1 394 725.00 370.83% 52.06

361. PSB 12 505 839.00 74 883 401.00 7 597 587.00 164.60% 51,56

362. UBRR 1 253 130.00 7 590 593.00 862 598.00 145.27% 51.13

363. km B 1 657 630.00 8 880 165.00 677 318.00 244.73% 47.63

364. KR.LNONP 999 S65.00 8 300 827.00 1 352 207.00 73.94% 41,501. Positive value

365. S CP SHISH B "" * Assets Cost of SG-T / Caital Rating

366. RNB 332 168.00 995 629.00 549 125.00 60.49% 78.19

367. Orzhrges 454 743.00 7 833 779.00 2 072 347.00 21.94% 77.25

368. Garant »127 053.00 3 838 157.00 957 383.00 13.27% 77.13

369. For RSCS 175 850.00 1 456 742.00 552 284.00 31.84% 76.56

370. Krasbapk 326 458.00 4 054 688.00 1 262 985.00 25.85% 76.25

371. Rosselhoa 544 553.00 16 976 250.00 4 923 232.00 11.06% 74.19

372. Morgan 1 008 882.00 5 552 232.00 1 301 063.00 77.54% 73.13

373. Deutsche 1 223 822.00 15 603 405.00 2 904 510.00 42.14% 72.88

374. Hackvscia 67 913.00 563 725.00 211 264.00 32.15% 68,81

375. To r. With Visa 2 419 492.00 17019761.00 2912049.00 83.09% 68.13

376. RPR 4 046 598.00 6 775 840.00 5 912 534.00 68.44% 66,13

377. Interface Bank Dzerbi 85 281.00 1 053 378.00 325 961.00 26.16% 65,56

378. Nnjezorod PSB 97 077.00 5 686 385.00 1 531 294.00 6.34% 60.06

379. Characteristics of synthetic coefficients

380. Coeffthnci smoothes the name of the coefficient assignment of the navigator interval of my weight in the final coefficient

381. Koehddshgieitim dependence on interbank tsp: KMB

382. The CM "The ratio of attracted MBS and client sources the correlation of the two main attracted sources of resources allows you to estimate the balance of the Bank's resource base<10% 10-25% 25-40% 40-50% >50% 50 75 100 25 0 03

383. KM B 0, ZCHKM1 + KMB2) + 0.2 * GKMBZ + KMB4\u003e 0.15

384. KEEAAI ■ IENTS LESSION OF ADVERSION: KM

385. CSZZ The proportion of problem loans in total loan debt is characterized by the quality of the bank's loan debt<5% 5-10% 10-15% 15-20% >20% 100 75 50 25 0 0,25

386. KSZ 0.4 * KP1 + PL5 * K (P2 + 0.25 * KSZZ 0.15

387. KPEAAIPNEITIM independence: from

388. KNZ 0.4 * (KNZ1 + KSh2) + 0.2 * KNZZ 0.2

389. Liquidity coefficients: UIS

390. CLKS The share of highly liquid investments in assets reveals which part of the total assets is in risk-free tools and tools with minimal risk<3% 3-5% 5-10% 10-15% >15% 0 25 50 75 100 0,2

391. CLK \u003d 0.4 * (CLK1 + CLK2) + 0.2 * CLKS 0.2

392. Balance Sustainability Coefficients: CBU

393. KBU2 The ratio of the difference in urgent investments and urgent sources to the liabilities to demand is assessed by the steering of the dependence of the bank's urgent investment from the most unstable obligations.<0% 0-15% 15-30% 30-45% >45% 75 100 50 25 0 0,4

394. CBU \u003d 0.4 "(KBU1 + CBU2) + 0.2" Kbuz 0.2

395. Profitability coefficients: KRN

396. KRN1 The profitability of own working capital shows the effectiveness of the investment of own working capital in the reporting period, and it is assumed that their value as a whole is inertial<0% 0-5% 5-10% 10-15% >15% 0 25 50 75 100 0,4

397. CRN \u003d 0.4 * CRN1 + 04 * KRN2 + P.Z "Krn.1 0.1

398. Synthetic coefficient K \u003d 0.15 * (KMB + KO) + 0.2 * (K1P + KLK + KFU) + 0.1 * KRN

Please note the scientific texts presented above are posted for familiarization and obtained by recognizing the original texts of theses (OCR). In this connection, they may contain errors associated with the imperfection of recognition algorithms. In PDF the dissertation and the author's abstracts that we deliver such errors.

In the process of activity, commercial banks are subject to multiple risks. In general, bank risks are divided into four categories: Financial, operational, business and emergency.

Financial risks In the queue, include two types of risks: clean and speculative. Pure risks including Credit risk, liquidity and solvency risks can lead to a loss of bank in improper management. Speculative risks Based on the financial arbitration may have a profit result if arbitration is carried out correctly, or a loss - otherwise. It is worth noting that the main types of speculative risk: interest, currency and market (or positional).

Different types of financial risks, moreover, are closely related to each other, which can significantly increase the overall bank profile risk. For example, a bank exercising currency operations is subject to currency risk, but it will also be under an additional liquidity risk and interest risk if there will be open positions or discrepancies in the periods of requirements and obligations in the net position on urgent operations.

Operating risks depend on: the general business strategy of the bank; his organization; functioning of internal systems, including computer and other technologies; consistency of the Bank's policy and its procedures; measures aimed at preventing errors in management and against fraud. Business risks are associated with an external banking business environment, incl. With macroeconomic and political factors, legal conditions and regulatory conditions, as well as with the general infrastructure of the financial sector and the payment system. Extreme risks include all types of exogenous risks, which are capable of carrying out the activities of the Bank or undermine its financial condition and capital adequacy in the event of an event.

We characterize financial risks to pure risks, i.e., leading in the event of a risk case only to negative consequences.

Deposit risk - Risk associated with the possibility of non-return of deposit deposits (deferences of deposit certificates). This risk is rarely found and is associated with an unsuccessful choice of a commercial bank for the implementation of deposit operations of the enterprise. It is important to note that however, with all this cases, the implementation of deposit risk is found not only in our country, but also in countries with developed market economy. Abroad, the insured of this type of risk is the bank, and the insurance is carried out in a mandatory form.

Credit risk - The risk associated with the danger of non-payment by the borrower of the principal debt and interest due to the creditor. The causes of the occurrence of credit risk may be the unscrupulousness of the borrower, the deterioration of the competitive position of a particular company, adverse economic conjuncture.

57. Investment banks, their functions and operations

Investment banks are special credit institutions that implement funding and lending to investments. These banks are leaving unidentic banking institutions, which is associated with the features of the loan capital market and the differences in the banking legislation of individual industrial developed country Thus, the classic type of the US investment bank was approved by the banking act of 1935 (the act of Gloss-Stigolla). In accordance with the specified act, commercial banks are prohibited from investment activities, with the exception of operations with state and municipal bonds. Such operations are in the acquisition of part of state and municipal bonds, organizing the placement of some of their share among the population, conducting subscription operations on bonds and payment of coupons (cutting tickets to the bond, giving the right to receive a certain amount of interest after a period of one period).

The main function of the investment bank in the United States is the emission function - negotiations with trade and industrial companies on the release of new shares and bonds and technical training of such issues with the obligations of securities on the market and the acquisition of that part of them that will not be posted subscription.

A characteristic feature of cash capital accumulation Investment banks of the United States is to attract savings of not only the richest segments of the population, but also small investors with low incomes - small bourgeoisie, farmers and relatively well-paid workers and employees.

In European industrial developing countries, such a clear distinction between commercial and investment banks does not exist. So, in the UK, trading banks are traditionally involved in investment operations. The most influential of them (about 60) are included in the Association of Investment Banks. Since 1970, commercial banks from 1970 are actively invaded.

In France, financing and lending to capital investments are carried out by special credit institutions, among which the leading place is owned by the national loan (exchanging). This bank distributes state subsidies, provides loans for a period of 7-15 years and gives guarantees on loans.

In Germany, investment banks as independent institutions did not get distribution. Here banks combine both short-term and long-term investment operations. At the same time, Grossbanks (German, Dresden and Commercial) are held in the market of loan capital capital countries.

Functions of investment banks and banks of long-term investments in Eastern Europe are fulfilled by popular, national, as well as government banks (Bulgaria, Hungary) or specialized banks (Romania). The structure and functions of these banks systematically undergo changes. Thus, the investment bank "Prague" was approved in 1948 to 1950. He carried out funding and long-term lending to capital construction included in the state plan. In 1959, his functions were transferred to the State Bank.

Romania Investment Bank is a specialized bank for financing and long-term lending to industry, construction, communications, trade, with the exception of agriculture, food industry and water management.

In Japan, the issuance of long-term loans is carried out both public and private banks. For example, a Japanese Development Bank is engaged in lending to industry, construction, energy, transport, which is held in second place among the state credit institutions of the country. This bank entrusted preferential lending (under low interest and for a period of at least a year) sectors of the economy, in lending to which private banks are little interested (risk of mastering, greater capital intensity, capital turnover duration, lossibility of production, etc.). Significant difference between interest rates on bank loans and more profitable rates The market of loan capital is covered from the state budget.

Only in a few developing countries with a relatively developed capitalist sector of the economy there are investment banks: in Latin America - Argentina, Bolivia, Brazil, Mexico; In Southeast Asia - Malaysia, Singapore, Sianggan (Hong Kong - now as part of China), South Korea; In Africa - Ghana, Nigeria, as well as in some French franc countries. Investment banks exist along with regional development banks of developing countries: Asian Development Bank, dealing with long-term lending to the development of Asian and Pacific Development Projects; The Inter-American Development Bank, providing promoting the development of the economy of Latin America; The African Development Bank, promoting the economic development of African and several non-African states. International Credit Institutions: International Bank for Reconstruction and Development, Arab Investment Companies and other international organizations play a significant role in the implementation of investments of developing countries.

Since the main task of investment banks is financing and lending to investments, consider the concept and types of investment.

[Investments - long-term investments Capital in industry, agriculture, transport, construction and other industries. The purpose of investment activities is to receive entrepreneurial income or percentage.

Investments are divided into financial and real.

Financial investments - investments in securities (shares, bonds, etc.), manufactured by private companies and the state, as well as bank deposits and objects of thesorration (treasures, i.e. storage of money at home).

Real investments - investments in fixed assets and on the increase in material and industrial stocks. In the context of the modern scientific and technical revolution, along with an increase in real elements of fixed capital,

in the development of spiritual productive forces in the development of spiritual productive forces, the intellectual potential becomes the most active element of production, increasing the role of scientific research, qualifications, knowledge and experience of workers. The accumulation acquires a comprehensive nature, and the costs of science, education, training and retraining of personnel, etc. become productive investments.

There are also investments to expand and invest updates of consumed fixed capital.

The source of expansion investment is part of the newly created value directed to the accumulation. Entrepreneurs mobilize her at the expense of their own profits (self-financing) and in the market of loan capital (attracted funds). The source of investment of fixed capital updates are depreciation.

Real investments in fixed assets are characterized by sectoral and technological structures, whose proportions largely determine the efficiency of savings.

Shifts in the sectoral investment structure in all developed capitalist countries in the 50-70 GG. They were expressed in the advanced growth of their share in the manufacturing industries, primarily in mechanical engineering, construction, transport, communications. The lag at this time of investments in the extractive industry and the fuel and energy complex was one of the reasons for the energy-raw crisis of the 70s.

The technological structure of the investment is determined by the cost ratio of the active elements of fixed capital (machines, equipment) and its passive elements (buildings, structures). The effectiveness of investments is usually increasing with the growth of the share of the active part.

Investments in the reproduction of fixed assets, along with industry and technological structures of capital investments, are also characterized by territorial and reproductive structures.

The territorial structure of capital investments means their distribution in individual regions of the country with an increase in the share of investments in areas that give the greatest returns that have sufficient raw materials and energy resources and the necessary workforce.

The reproductive structure of capital investments involves the direction of them for new construction, on the technical

the re-equipment and reconstruction of the existing industries, since such costs ensure the acceleration of updating the current fundamental funds.

Reconstruction and technical re-equipment of enterprises make it possible to increase production volumes, improve product quality and other technical and economic indicators with less costs than in the construction of new enterprises. At the same time, the deadlines for entering new capacities are reduced by one and a half - twice. Considering this, the scale of technical re-equipment and reconstruction of the current manufacturing office for last years We systematically increase. So, if in 1985 the share of capital investments for these purposes in industrial construction was 36%, then in 1993 - 51%.

Major share real investment In developed capitalist countries account for private investment. However, the state also participates in the investment process by investing in the public sector, both directly and indirectly through the provision of loans, subsidies, implementing economic regulation policies. The main part of public investment is sent to the infrastructure industry, the development of which is necessary to ensure the normal course of public reproduction (science, education, health, environmental protection, transport and communication).

In developing countries, investment growth is an indispensable condition for overcoming economic retardation. In expanding the production potential of these countries important role The state plays, which is confirmed by a significant increase in public investment, the main areas of investment of which are the production and social infrastructure and manufacturing industry.

In order to carry out investment operations, investment banks mobilize long-term loan capital and provide its borrowers (entrepreneurs and the state) through the issuance and placement of bonds or other types of borrowed obligations. In addition, investment banks buy and sell stakes and bonds at their own expense, as well as provide loans to customers of securities.

In the process of activity, commercial banks are subject to multiple risks. In general, bank risks are divided into four categories: Financial, operational, business and emergency.

Financial risks In the queue, include two types of risks: clean and speculative. Pure risks including Credit risk, liquidity and solvency risks can lead to a loss of bank in improper management. Speculative risks Based on the financial arbitration may have a profit result if arbitration is carried out correctly, or a loss - otherwise.
It is worth noting that the main types of speculative risk: interest, currency and market (or positional)

Different types of financial risks, moreover, are closely related to each other, which can significantly increase the overall bank profile risk. For example, a bank exercising currency operations is subject to currency risk, but it will also be under an additional liquidity risk and interest risk if there will be open positions or discrepancies in the periods of requirements and obligations in the net position on urgent operations.

We characterize financial risks to pure risks, i.e., leading in the event of a risk case only to negative consequences.

Deposit risk - risk associated with the possibility of non-return of deposit deposits (non-risk of deposit certificates) This risk is rarely found and is associated with an unsuccessful choice of a commercial bank for the implementation of enterprise deposit operations. It is important to note that however, with all this cases, the implementation of deposit risk is found not only in our country, but also in countries with a developed market economy. Abroad, the insured of this type of risk is the bank, and the insurance is carried out in a mandatory form.

Introduction .. ......................................................................................... ..... ... 3

Chapter I. Theoretical Basics of Bank Financial Risks ....... ............ ... 5

1.1. The concept and essence of bank financial risks ......... .... ...... ... ... 5

1.2. Types of bank financial risks .........................................8

Chapter II. Analysis and assessment of the financial risks of the bank ................... ......... 12

2.1. Types of financial risk analysis ..............................................12

2.2.Basel II - a set of standards for assessing the financial risks of banks ..........13

Chapter III. Bank financial risks on the example

CJSC "TranscapitalBank" ............................................ .............. 19

3.1. Bank risk management policy in CJSC TKB ...... ..... ... ..19

3.2. Management of credit risk in the bank "TranscapitalBank" ... .. ...... 22

3.3. Analysis of assets and liabilities of CJSC TranscapitalBank ............. ...... ..24

Conclusion ...................................................................... ... .... ... 29

List of references ............................................................ .... ...... 30

Introduction

Commercial banks are an integral part of the financial system, one of the most important functions of which is to ensure financial resources of the reproduction process. The banking system is a kind of mediator between the owners of temporarily free financial resources and economic entities experiencing a shortage in them, and therefore the peculiarity of banking activities is the work mainly with the funds attracted funds that include funds and individuals, as well as borrowing on interbank financial markets. This activity is associated both with the possibility of their loss and increase, ultimately, with risks. Risks, co-commercial organizations of the Organization, stand out in a special group of risks that are called financial rice. Financial risks play the most significant role in the general portfolio of the entrepreneurial risks of any commercial organization and financial and credit institutions, in particular. The increase in the degree of influence of financial risks on the results of financial activities of the credit organization is associated with the rapid variability of the economic situation and the conjunct-round tours of the financial market, the expansion of the scope of financial relations of organizations, the emergence of new russian companies Financial technologies and tools and other factors.

Practice and methodology for monitoring and managing bank risks is the most critical for banking. Successful risk management is the most important condition for the competitiveness and reliability of any financial organization. As numerous examples show, the most significant types of risk (credit, investment, currency) can lead not only to a serious deterioration in the financial condition of the credit institution, but also in the limiting case - to capital loss and bankruptcy. Proper assessment and management allow you to significantly minimize losses. The main task of the risk management of the bank is to identify and prevent possible adverse events, finding ways to minimize their consequences, creating management methodologies.

This course of work was chosen by me because of the great relevance of the issue of assessment, identifying and managing financial risks for commercial banks at the moment of time, since to successfully overcome the global financial crisis, most Russian banks need to review, tighten and make significant changes to the existing Risk management system.

The purpose of this work is to consider the essence, the main types of bank financial risks and the principles of their classification as a basis for opportunities and ways to minimize them.

Questions of bank risk management strategies go beyond this work.

ChapterI.. Theoretical Basics of Bank Financial Risks

1.1. The concept and essence of banking financial risks

As an economic category, the risk is an event that may occur or not happen. In the case of such an event, three economic results are possible: negative (loss, damage, loss); null; Positive (win, benefit, profit).

To determine the essence of financial risks in a commercial bank, it is necessary to define such concepts as "financial risks" and "banking risks".

In any economic activity there is always a danger of monetary losses arising from the specifics of certain economic operations. The danger of such losses is financial risks. Financial risks are commercial risks. All risks are divided into clean and speculative. Pure risks mean the possibility of obtaining a loss or zero result. Speculative risks are expressed in the possibility of obtaining both positive and negative results. Therefore, financial risks refer to speculative risks.

In various sources, the following definitions are presented in its essence: "Financial risk - risk arising from financial entrepreneurship or financial transactions based on the fact that financial entrepreneurship The role of the goods are either a currency or securities or cash. "

Balabanov I.T. It gives the following interpretation to this concept: "Financial risk is a speculative risk in the financial and credit and exchange spheres. Financial risks include credit risk, interest, currency risks, the risk of missed financial benefits. "

In other sources, you can meet the following definition: "Financial risk is the risk that the issuer's cash flows will be not sufficient to fulfill its financial obligations. Also called additional risk (Additional Risk), which is subject to shareholders of a company using borrowed funds And your own capital. "

In general, under financial risks should be understood on the one hand, the risk of potentially possible, likely loss of resources, reducing income, reducing the profits due to any factors of internal and external nature (including incorrect actions or lack of actions) affecting the conditions and results of activities The economic entity, on the other hand, is the probability of obtaining an additional amount of risk associated.

Financial risks have an objective basis due to the uncertainty of the external environment in relation to the credit institution. The external environment includes objective economic, social and political conditions, within which the FIR carries out its activities and the dynamics of which it is forced to adapt. The uncertainty of the external environment is predetermined by the fact that it depends on the set of changed, counterparties and persons whose behavior can not always be predicted with acceptable accuracy. Thus, the objectivity of financial risks is related to the presence of factors, the existence of which in the final account does not depend on the activities of the commercial bank. On the other hand, financial risks have a subjective basis, since they are always implemented through humans and are fully determined by the managerial decision.

In the course of its activities, commercial banks are subject to multiple risks. The central place in the organization of internal control in the commercial bank is covered by banking risks.

Lavrushushin O.I. The following interpretation of risks in the activities of credit institutions: "Risk in banking is understood as the possibility of loss of liquidity, as well as financial losses (losses). The main purpose of internal risk control is to limit the risks taken by credit institutions, by performing specific control procedures for compliance with the requirements of legislation, regulatory acts of the Bank of Russia, standards professional activity and rules of business customs. "

In accordance with the foregoing in relation to the activities of commercial banks, financial risk – this is a probabilistic characteristic of an event, which in a long run can lead to losses, non-receipt of income, lacking or receiving additional income, as a result of the conscious actions of the credit institution under the influence of external and internal development factors in the conditions of the uncertainty of the economic environment. The main risk management of banks is not the issue of risk assumptions in its negative form, and the development and application of such financial risk management methods that will lead to additional income. The risk management uses the latest developments of other sciences, thereby accelerating public progress and influence all aspects of socio-economic life.

1.2. Types of bank financial risks

Financial risks arise in connection with the movement of financing flows and are characterized by a large manifold. Risk classification is quite wide. Causes of financial risk - inflation factors, growth of bank accounting rates, reducing the value of securities, etc.

All financial risks of a commercial bank are divided into two types:

1) risks associated with the purchasing power of money;

2) Risks associated with the investment of capital (investment risks).

The risks associated with the purchasing power of money are from the following risks: inflation and de-flax risks, currency risks, liquidity risk.

Inflation risk -this is the risk that when increasing inflation, the resulting money incomes are depreciated from the point of view of re-alleged purchasing power faster than growing. In such conditions, a commercial bank carries real losses.

Deflation risk- This is the risk that with the growth of deflations there is a drop in price level, deterioration of economic conditions of entrepreneurship in general, and credit institutions in particular, and decline.

Currency risksrepresent the danger of currency in terms associated with a change in the course of one foreign currency In relation to the other when conducting foreign economic, credit and other currency transactions.

Liquidity risks -these are the risks associated with the possibility of terrain in the implementation of securities or other goods due to the measurement of their quality and consumer value assessment.

Investment risks include the following subspecies of risks:

1) the risk of missed benefits;

2) the risk of reducing profitability;

3) Risk of direct financial losses.

Risk of missed benefits -this is the risk of an indirect (after-side) financial damage (incomplete profit) in the results of the failure of any event (for example, suffering, hedging, etc.).

Risk of reducing returnsit may arise as a result of a decrease in the amount of interest and dividends on portfolio investments, deposits and loans.

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Conclusion

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Bibliography

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Financial risks of the bank: classification, evaluation, management. Financial risks of the bank: classification, evaluation, management What is financial risks in commercial banks

Send your good work in the knowledge base is simple. Use the form below

2. Main types of risks in the activities of a commercial bank

2.1 Credit Risk

paid credit institution with letters of credit (including uncovered letters of credit);

return money (assets) on a transaction to acquire financial assets with the obligation of their reverse alienation;

requirements of the credit organization (lessor) on operations financial rental (leasing).

Verification of solvency of the potential borrower;

Current monitoring of loans issued;

Risk insurance;

Use of collateral, guarantees, guarantees;

Getting from the client award for risk;

Risk limitation through certain standards established by the Central Bank.

interesting tools that are sensitive to changes in interest rates (bonds, loans, mortgage loans and securities, etc.), generating the risk of losses as a result of a refusal to fulfill the obligations of one of the parties to the transaction (optional risk).

The banks that regularly practice the game in interest rates are most susceptible to profit, and those banks that are not carefully predicting changes in interest rates.

The main reasons for interest risk are:

invalid choice of interest rate varieties (constant, fixed, floating, decreasing);

will abruptly loan agreement possible changes in interest rates;

changes in the interest rate of the Central Bank of Russia;

establishing a single percentage for the entire use of the loan;

the absence of a developed interest policy strategy in the bank;

invalid definition of credit cents, that is, the interest rates.

Bibliography

risk Credit Banking

1. Letter of the Central Bank of the Russian Federation No. 70-t of 23.06.2004 "On Typical Banking Risks"

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