Financial risk management of a commercial bank. The speech for the defense of the diploma "Improving methods of assessing credit risk": example, sample, free, download. Characteristics of CJSC "VTB24"

Banking risk is the possibility of material losses for a credit and financial organization. This may be due to an unexpected change market value various financial instruments. In addition, losses may arise due to changes in the foreign exchange market.

Types of banking risks

There is the following classification:

1. by time. There are current, prospective and retrospective risks;
2. by level. The extent to which losses may occur can be low, moderate, or full;
3. by the main factors of occurrence. Such circumstances are caused by economic or political reasons. The first option includes various unfavorable changes in economic area the financial institution itself. Also, this can occur in the country's economy. Political risks stem from changes in the political environment.

Main banking risks

These include the following factors:

1. liquidity risk. The value of assets and liabilities of banking institutions must correspond to the current market indicator. If this does not happen, then the financial institution may experience serious difficulties in repaying its obligations;
2. the risk of changes in credit rates. Unforeseen changes in this segment can seriously affect the structure of assets and liabilities of a banking institution;
3. credit risk... This direction requires a constant balance between the quality of loans and the liquidity factor;
4. capital adequacy. It is necessary for the bank to be able to freely absorb losses and to have sufficient financial capacity in times of negative situations.

Features of banking risks

In their activities, financial institutions have to take into account various nuances. In particular, the nature of the risks is of considerable importance. Distinguish between external and internal reasons for their occurrence. The first category includes those risks that are not directly related to the activities of the bank. These are losses incurred as a result of some serious events. These may include wars, nationalizations, the introduction of various bans, exacerbation of the current situation in a particular country. As for internal risks, they represent losses arising from improperly carried out (main or auxiliary) activities of a banking organization.

Assessment of banking risks

Determination of costs (in quantitative terms) that are correlated with risks during implementation banking is called the assessment of such risks. The purpose of this procedure is to identify the compliance of the results of the work of a particular credit institution with the current market conditions... Most often, an analytical method is used for this - in relation to both the loan portfolio and its main indicators. This allows you to display a general picture of the activities of a particular bank, as well as its main areas of operation. In addition, such an assessment process helps to determine the degree of credit risk.

Banking risk management

In the activities of each credit institution important role plays the right financial risk management. In this matter, the choice of the most appropriate strategy is of great importance. The main purpose of such banking risk management is to minimize or limit the occurrence of the possibility of financial losses. For this, a number of special events are regularly held. Much attention is paid to management issues - in relation to assets and liabilities, control of established standards and limits, as well as reporting. In addition, monitoring, analytical and auditing areas are of great importance - in relation to the activities of any credit institution.

Financial banking risks

To the widest group banking risks include financial factors. Such probabilities of losses are usually associated with unexpected changes that have occurred to the basic building blocks of any lending institution. Most often this happens with the volume of banking components, or is associated with the loss of their profitability. In addition, unforeseen changes in the very structure of assets and liabilities of a credit institution can play an important role. The group of financial risks includes such types as investment, credit, foreign exchange, market, inflationary and other variants of changes.

Credit risk

Credit risk is the probability of non-payment by the debtor of the agreed financial amounts, default by the debtor. Direct and indirect lending, purchase and sale operations without guarantees (prepayment) are at risk. In a broad sense, credit risk of loss is the likelihood of events affecting the state of the debtor to pay money on obligations.

Risk assessment is based on indicators: probability of default, credit rating, migration, amount, level of losses. It is subject to assessment, depending on the objectives pursued, the risk of a particular transaction or portfolio. The final estimate is divided into expected and unexpected losses. Expected losses are reimbursed by capital, unexpected losses - by formed reserves.

Risk of unbalanced bank liquidity

Liquidity balance sheet call the aggregate of the level of fulfillment by the company's assets of obligations, the correspondence of the period for which the asset turns into finance, the time of repayment of debts. The risk of unbalanced liquidity of the bank - the likelihood of non-fulfillment of obligations by the bank due to the discrepancy between the receipt and issue of financial units in terms of volumes, terms, currencies. The risk arises under the influence of factors: loss of liquidity, early repayment loans, clients' failure to comply with the terms of contracts, the impossibility of selling an asset, errors in accounting.

Groupings of assets and liabilities are the basis for determining liquidity risk. To assess the risk, an analysis of the company's financial flows in terms of terms, payment groups, currencies is being developed. It is necessary to assess the possibility of a requirement for early repayment of loans, the level of asset recovery.

Interest rate risk

Interest rate risk - the likelihood of incurring losses due to fluctuations interest rates, mismatch of the time of reimbursement of obligations, claims, mismatch of changes in interest rates. The market price of financial instruments with a fixed profitability decreases when the market rates rise, and increases when they fall. The strength of the bond is determined by the duration of the bonds.

Issuance long-term loan is associated with the risk arising from an increase in lending rates in the market, the discovery of lost profit as a result of a decrease in profitability on a previously given loan. Flexible rate financial instruments are directly dependent on market rates. Instruments that do not have market quotes are exposed to risk regardless of the presence or absence of reporting losses on them.

The essence of banking risks

The essence of banking risks is the likelihood of non-repayment of loans issued Money... The classification of the Basel Committee identifies credit, market, operational, government, strategic, liquidity, reputational risks that can cause imbalances in the balance of assets and liabilities.

Banking risks are divided into individual, micro and macro levels, depending on the ways of occurrence. Risks are manifested by the emergence of the need for additional costs, leading to losses up to liquidation. The probability of losses exists in every financial transaction, banking activity reduces the likelihood of events affecting the default of creditors and debtors.

Banking risks

Risks in banking are the likelihood of loss of liquidity, monetary losses due to external, internal factors. Risk is part of banking, but all banks are committed to reducing the potential for financial loss. Banks' drive for marginal returns is limited by the likelihood of monetary losses.

The possibility of risks constantly exceeds the 0 mark, the task of the bank is to calculate the exact value. The level of risks grows in case of sudden problems, the setting of tasks that were not previously solved by the bank, the impossibility of taking urgent measures to resolve the situation. The consequence of an incorrect assessment is the impossibility of taking the necessary actions, the consequence is super-high losses.

Calculation of banking risks

The calculation of banking risks can be complex and private. The calculation is based on the search for the relationship between the acceptable risk and the amount of possible losses. Complex risk - the total probability of loss of bank finances for all types of activities. Private - the receipt of losses for a specific operation, measured empirically using the selected methods.

There are three methods for calculating the possibility of loss: analytical, statistical, expert. In the statistical method, statistical series are considered in a large time interval. Expert method - collecting opinions of banking professionals, drawing up ratings. The analytical method is the analysis of risk areas using the listed calculation methods.

Analysis of banking risks

Analysis of banking risks is a measure aimed at reducing losses, increasing the bank's profitability. The analysis is carried out by the risk management department, which regulates the decision-making process aimed at increasing the occurrence of a favorable result. The analysis methods used give a rating assessment of the client's ability to fulfill obligations on the accepted credit obligations.

Risk analysis allows you to calculate the possibility of losses on loan portfolios, the size of the required bank reserve, to classify debtors' debts by risk level. During the analysis, a critical level of risk is identified, based on which it is possible to avoid collapse and liquidation. When calculating possible complex losses, ready-made calculations for private risks are used.

Advice from Compare.ru: banking risks are of great importance for the effective operation of any credit institution. For this reason, they should be given great attention.

Financial risk is a probabilistic characteristic of an event that in the long term may lead to the occurrence of losses, non-receipt of income, loss or receipt of additional income, as a result of deliberate actions of a credit institution under the influence of external and internal factors of development in conditions of uncertainty economic environment... To determine banking risks, it seems expedient to build such a logical chain that will show where the financial risks are, what they are and how general economic risks in particular can be transformed into financial risks of banks. For this and to clarify the classification of risks, we have developed a number of our own criteria, which the risk system must satisfy:

Compliance with the purpose of a specific organization. Like any commercial structure banks aim to make a profit, at the same time to the goals of banking

To organizations, the goal of ensuring the safety of funds and valuables placed on the current accounts of clients received for management or storage is added.

Attitude towards regulation, i.e. division into external and internal. External risks can only be taken into account in the activity, while internal risks can be influenced by their study and minimization, and in some cases their elimination is possible.

Compliance with the conditions of the banking operation (term, collateral, currency of payment, the ratio of lending to large and small borrowers, shareholders and insiders).

The acceptability of the risk system for subsequent management and control.

By belonging to active and passive operations and to a certain structural unit... So, in banks, risks arise in three large divisions: Credit, Treasury and Operations. The credit division mainly faces credit risks. When conducting active operations, the Treasury assumes currency risk, interest rate risk, portfolio risk, liquidity risk, credit risk and others. Operational management is mainly related to operational and transfer risks.

The system of financial risks in banks is inextricably linked to development and improvement banking system and banking legislation. In the West, the system for studying banking risks has received a fairly broad development, which is inextricably linked with the processes taking place in the world banking system, in which risk is an inevitable part of banking activity.

The western financial system of the late 70s - early 80s of the last century was characterized by a stable increase in the profitability of banks, which was facilitated by a number of extremely favorable circumstances: the possibility of raising funds at low interest rates, low competition, vertical integration and a wide range of services provided. This was also facilitated by the upper limit on the interest rate paid on deposits set by the banking regulator. Raising funds at low interest rates also served to create bank cartels. Banks that are part of the cartel, as a rule, had an agreement among themselves on the interest rate paid to depositors. In addition, a significant volume of checks passing through banking structures in the process of collection provided banks with practically free liabilities.

It should be noted that due to the excessively strict licensing practice in Western Europe and the United States, artificially restraining the emergence of new banks, and, in some cases, the creation of bank cartels, external competition was significantly limited, that is, competition emanating from a different banking jurisdiction for each of the domestic markets... The number of institutions authorized to carry out certain banking functions also played a role in mitigating interbank competition. For example, Finland, which had a population of 4.8 million by 1984, had 7 commercial banks, 272 savings banks, 371 cooperative banks, and a Post Bank with 3,500 branches. This entire complex banking system remained stable only thanks to a number of agreements between banks concerning the interest rate on deposits (to control the costs of raising funds), as well as compliance with market segments divided by the Central Bank among different types of banks, limiting their competition (for example, cooperative banks served agricultural industries, savings banks- consumers, and large commercial banks - industry). The "gentlemen's agreement" on mutual non-penetration of each other's internal financial markets existed between Swiss and West German banks for decades, up to 1985. There are many similar examples in banking practice. In addition, various barriers prevented banks "external" to the market from attracting funds at low costs, sometimes these barriers took the form of a ban on issuing loans in national currency (for foreign banks) or opening a branch.

The expansion of the range of services provided by banks has led to the fact that banks have become universal, meeting the financial needs of most of the society; traditional banks have grown into "supermarkets" for financial services. "Ancillary" services such as stock brokerage, insurance brokerage, and the like also contribute to the expansion of banking services and increasing the profitability of banking. International banking operations have emerged, which include:

lending export operations,

lending to international transactions of residents and securing them money transfers and investment services,

opening access to international capital and money markets to search for new sources of attracting funds.

The modern banking system of Russia began to take shape in 1989, with the creation of 5 specialized banks, then commercial banks began to actively form. In total, more than 2500 were created, and as of 01.02.2005 145511 remained, the rest could not withstand the competition and were abolished. Commercial banks and the credit and banking system as a whole in Russia are decisive and one of the main factors for the preservation and development of the economy, the implementation and promotion of investment programs, including state ones, the ever-increasing merger of industrial-production and banking capital in the form of financial-industrial groups ...

As a dependent element of the economy, Russian banks are also influenced by global financial crises. Financial crises 1997-98 the emerging markets of Southeast Asia, South America and Russia have clearly demonstrated the complexity of the problem of financial risk management in banks. Successful overcoming of such crises provides financial and credit institutions with a strengthening of market positions, therefore, the maximum mitigation of the consequences of the crisis on international financial markets is a task of exceptional importance for such structures; however, bank customers also need to know about the risk management practices of their service provider in order to improve the effectiveness of financial management.

In a situation "when the conditions for the functioning of commercial banks have changed, the achievement of their goals becomes possible only by changing the quality of management. However, many theoretical issues of banking risk management remain insufficiently developed. This is especially true for such issues as: the concept of cash flow, capital price, capital market efficiency, portfolio asset management, a compromise between profitability and risk, etc. In the economic literature there is no unity in the interpretation of certain terms and concepts (reliability, stability, stability, etc.), far from being sufficient for the application of methodological developments.

Thus, the basis for the functioning of an effective financial risk management system is their classification.

In our opinion, the most meaningful is the classification of banking risks proposed by Peter S. Rose12, which identifies the following six main types of risk commercial bank and four additional views. P. Rose refers to the main types of risk as follows:

Credit risk

Liquidity imbalance risk

Market risk

Interest rate risk

Risk of loss of profit

Insolvency risk

To other important types of risk, Rose P. includes four more types, which he defines as follows:

Inflation risk

Currency risk

Political risk

Risk of abuse

The advantage of this classification is that this system includes both risks arising within the bank and risks arising from within the bank and affecting its activities. However, at present, such a classification cannot be used by commercial banks for practical application in view of its enlargement, which means that a more detailed classification is needed with the allocation of groups and subgroups of risk, depending on the specifics of the operations carried out by the bank.

More indicative and practical in application is the classification of Sheremet A.D., Shcherbakov G.N. 13, the advantage of which is the creation of a certain system of risks, including certain types of risk, and the division of risks into external and internal is taken as a basis. This makes it possible to separate the risks arising outside the bank and affecting the operational activities of the bank and the risks arising inside the bank in the course of the bank's "production" activities. This fundamental difference between the two classes of risks determines the attitude of banks towards them, methods of control and management capabilities.

In the proposed scheme, the risks by the type of relationship to the internal and external environment of the bank are classified as follows:

risks associated with the instability of economic legislation and the current economic situation, investment conditions and profit use.

external economic risks (the possibility of introducing restrictions on trade and supplies, closing borders, etc.).

the possibility of a deterioration in the political situation, the risk of unfavorable socio-political changes in the country or region.

the possibility of changing natural and climatic conditions, natural disasters.

fluctuations in market conditions, exchange rates, etc.

Internal:

associated with active operations (credit, foreign exchange, market, settlement, leasing, factoring, cash, risk on a correspondent account, on financing and investment, etc.)

associated with the bank's liabilities (risks on deposit and deposit operations, on attracted interbank loans)

related to the quality of the bank's management of its assets and liabilities (interest rate risk, risk of unbalanced liquidity, insolvency, risks of capital structure, leverage, insufficient bank capital)

associated with the risk of selling financial services (operational, technological, innovation, strategic, accounting, administrative, abuse, security risks).

In contrast to the western practice of risk management, in Russia only recently issued instructions from the Central Bank of the Russian Federation in the form of a letter dated 23.06.2004 No. 70-T "On typical banking risks", in which 10 groups of risks are distinguished: credit, country, market, stock, currency , interest, liquidity, legal, reputation risk and strategic.

Besides, Central bank suggested that commercial banks exercise control over risks at three main levels: individual (employee level), micro and macro levels.

Individual-level risks include risks caused by the consequences of unlawful or incompetent decisions of individual employees.

The risks of micro-level include the risks of liquidity and capital reduction, formed by decisions of the management apparatus.

Macro-level risks include risks predetermined by macroeconomic and regulatory environment external to the bank.

The main documents that guide the risk managers of Western companies in their practice were developed by the Basel Committee on Banking Supervision14 and are called the Principles of Banking Supervision. This document contains 25 principles, the implementation of which is intended to be minimal necessary condition ensuring effective banking supervision, as well as comments to them based on the recommendations of the Basel Committee and the best international practice in the field of banking and banking supervision. Among the Basle principles are principles 6-15 related to banking risks. Integration of Russian banking financial statements with International Standards Financial reporting(IFRS) will undoubtedly be developed in the application of these principles in Russian practice.

International audit companies operating in Russia, based on the recommendations of the Basel Committee, develop their own risk classifications, an example is the risk map 15> 15 ( detailed structure financial risks of a commercial bank), created by PricewaterhouseCoopers, called GARP.

Banks are the main participants financial market: the overall development of the Russian economy depends on their stable functioning. In the context of increasing instability of national and world financial markets, the problem of preserving financial sustainability the banking system of Russia.

The devastating consequences of modern economic crisis questioned the effectiveness of many basic principles of modern financial management, including the actualization of issues related to the effectiveness of financial risk management in banks.

In the current economic situation, the main condition for maintaining financial stability is the formation and implementation of a financial risk management system, which should be effective both in a relatively stable external environment and during a crisis. The effectiveness of financial risk management tools of banks depends on the improvement of the scientific and methodological foundations of banking risk management.

The category "banking risk" in the work is understood as the probability of deviation from the planned performance indicators of the bank due to the active-passive operations of the credit institution, the state of corporate governance and the influence of environmental factors.

Banking risk should not be viewed only as a negative phenomenon. On the contrary, the presence of risk can to some extent be considered as a factor of dynamic development banking sector economy. Note that it makes sense to make risky financial decisions only when a positive economic result is expected from a risky operation. If, even under favorable conditions, the operation does not give any income, then it is necessary to eliminate the risk altogether. It should be borne in mind that a bank that always refuses risky operations loses the opportunity to further increase profits and further develop.

In the process of grouping banking risks, various classification components can be distinguished, namely: financial; temporary; place of formation; the degree of influence on the main operations of the bank; the ability to predict and control.

Examples of the classification of banking risks according to the above criteria are shown in Table 1.

Table 1

Examples of classification of banking risks

We offer the following classification of banking risks:

1. Financial risks - high probability of quantifying risk. Financial risks refer to internal risks that arise in the process of carrying out active and passive operations of the bank.

2. Operational risks - low probability of quantifying risk. Operational risks refer to internal risks and relate to the effectiveness of corporate governance and the organization banking operations.

3. Functional risks relate to the external environment of the bank and are almost impossible to quantify.

In a crisis, the largest increase in the size of financial risks, which include:

1. Credit risk - the likelihood of deviations from the planned indicators due to the failure of the borrower to fulfill its obligations to the bank. It is advisable to divide the credit risk into individual (specific counterparty of the bank) and portfolio (total debt to the bank).

2. Liquidity risk - the likelihood of deviations from the planned indicators due to the loss of balance between the assets and liabilities of the bank (balance sheet risk) and the inability to attract financial resources for the implementation of strategic development goals (market liquidity risk).

3. Currency risk - the likelihood of deviations from the planned indicators due to changes in exchange rate... With a long open currency position, devaluation national currency improves the level of profitability of the bank; revaluation - worsens. With a short foreign exchange position, devaluation of the national currency worsens the level of profitability; revaluation improves.

4. Interest rate risk - the likelihood of deviations from the planned indicators due to changes in interest rates.

5. Stock risk - the probability of deviation from the planned indicators due to changes in the value of securities or other financial instruments on the market.

The main methods for determining a quantitative assessment of the above financial risks of the bank are shown in Table 2

table 2

Methods for assessing the financial risks of a bank

Most of the statistical methods - in order to determine the likelihood of a risk being realized and to determine its magnitude - use the statistics of banks' profits and losses. These methods are based on the theory of probability of distribution of random variables.

Some expert judgment methods are similar to statistical ones. The fundamental difference lies in the fact that expert methods involve the analysis of assessments made by various specialists (internal or external experts). An expert assessment can be obtained both after conducting relevant research and using the accumulated experience of leading specialists.

In turn, analytical methods are based on game theory and include the following stages: 1) selection of a key indicator (for example, the rate of return); 2) determination of the factors of the external and internal environment that affect the selected indicator;

3) calculation of indicator values ​​when changing factors of the external or internal environment.

The analogy method is used in the analysis of new banking products or business lines of the credit institution. The essence of this method is to transfer similar situation to the object of research. The main disadvantage of this method is that it is very difficult to create conditions in which the past experience would be repeated.

As can be seen from Table 2, the advantage of the combined method is that it uses the advantages of all the methods discussed above (for example, the statistical method, as a result of assessing the past, can be supplemented with an analytical method). In addition, the combined method is effective both in ordinary conditions and in crisis conditions.

Note that the formation of the financial risk management system in banks takes place in three stages:

1. The preparatory stage includes formalizing the system of the bank's business processes; description of control and decision-making procedures; development of methods for assessing and predicting risks; determination of collegial bodies and departments that will be directly involved in financial risk management; drawing up maps of financial risks by the centers of the bank's responsibility (tab. 3).

Table 3 Determination of financial risks by the main centers of responsibility of the bank

2. The procedural stage of the bank's financial risk management system includes the development of procedures for setting limits; the concept of minimizing financial risks; procedures for revising the main parameters of the bank's limit policy; insurance procedures, hedging, etc.

3. The integration stage includes an analysis of the requirements for the quantity and quality of information entering the automated financial risk management system; development of recommendations for the implementation of a financial risk management mechanism in the corporate system of the bank; development of a step-by-step plan for the implementation of a financial risk management system.

Consider the main tools for managing the bank's financial risks:

1. Insurance (bankasurance) - one of the elements of the transfer of financial risks of the bank. In the process of using this tool, it should be remembered that, firstly, not all financial risks are subject to insurance, and secondly, the greater the amount of risk is transferred to insurance company, the higher the cost of paying the corresponding insurance policy... Therefore, one of the main problems of the implementation of bankasurance is to determine which risks it makes sense to leave in the bank, making additional costs to reduce them, and which to shift to the insurer, making additional costs to pay for the BBB policy.

2. Hedging - reducing the financial risks of a bank using derivative instruments of the financial market: futures, forwards, swaps and options (the advantages and disadvantages of derivatives are shown in Table 4).

3. Diversification is a tool to reduce financial risks by distributing bank resources into various assets or activities (for example, lending corporate clients related to various sectors of the economy).

Table 4

Advantages and Disadvantages of Financial Risk Hedging Derivatives

4. Limits are a tool to reduce the financial risks of the bank by limiting the values ​​of open positions at risk (examples of limits are shown in Table 5)

Table 5 Limits on the financial risks of the bank

5. Securitization of assets is a tool for transforming the portfolio credit risk bank in financial instruments stock market... In the process of securitization, the bank fully or partially “sells” the loan portfolio, writing it off its balance sheet before its maturity, and transfers the right to receive the principal and interest on it to a new lender, and not necessarily to the bank.

6. The formation of reserves consists in the accumulation of a part of the bank's resources, which are subsequently directed to the “repayment” of non-returned assets. The main problem in the formation of reserves is the assessment of the potential consequences of the risk.

Conclusions. Modern crisis phenomena raise the problem of forming a qualitatively new methodological foundations of banking management. This is naturally accompanied by the actualization of the issue of improving the efficiency of financial risk management of a credit institution. The variety of financial risks, methods of their assessment and management testifies to the need for constant modernization of the bank's risk management system.

Bibliography

1. Grüning H. Wang. Analysis of banking risks. Corporate Governance and Governance Assessment System financial risk/ H. Van Grüning, S. Brionovich-Bratanovich. - M.: Ves Mir, 2004 .-- 150 p.

2. Zotov V. A. Banking risks in practice / V. A. Zotov. - Bishkek: 2000 .-- 128 p.

3. Kozmenko SM Strategic management to the bank: Navch. posib. / CM. Kozmenko, F.I. Shpig, I. V. Voloshko. - Sumi: University book, 2003. - 734 p.

4. Osipenko TV On the system of banking risks / TV Osipenko // Money and credit. - 2000. - No. 4. - P. 28-30.

5. Potiyko Y. Theory and practice of managing different types of risiks at commercial banks / Y. Potiyko // Bulletin of the NBU. - 2004. - No. 4. - P. 58-60.

6. Management of bank risikov: navch. posib. / for zag. ed. L.O. Primostki. - K.: KNEU, 2007 .-- 600 p.

7. Financial risks of banks: theory and practice of management in the minds of a crisis: monograph / VV Bobil; Dnipropetr. nat. un-t zalizn. transport im. acad .. V. Lazaryan. - Dnipropetrovsk, 2016 .-- 300 p.

We present to your attention a free sample of the diploma report on the topic "Improving methods for assessing credit risk."

Slide 1

Hello, dear members of the attestation commission!

The topic of my final qualifying work is "Improving methods for assessing credit risk in a commercial bank (for example, OJSC" Alfa-Bank ")".

The relevance of the topic is due to the need to manage credit risks in such a way as to simultaneously reduce existing risks and achieve the highest profitability, while adhering to all the requirements of the Central Bank of the Russian Federation. To this end, the bank must be armed with risk assessment methods, timely and reliably identify the risk, as well as regulatory methods, thanks to which the bank is able to keep risks at an acceptable level.

Slide 2

The aim of the work is to study the credit risk of an enterprise using the example of OJSC "Alfa - Bank", as well as to acquire practical skills for working with credit risk in a bank.

To achieve the goal, the following tasks were set:

• study of the conceptual apparatus associated with the credit risks of the bank;
• study of methods for assessing and regulating credit risk;
• study regulatory framework regulating the activities of the bank, and in particular, credit division, in terms of work on the identification, assessment, regulation of credit risks, as well as work with problem debts;
• analysis of credit risk in a particular bank, identification of existing problems and search for ways to solve them, applicable to the bank.

Slide 3

Credit risk is the probability that the value of assets, primarily loans, will decrease due to the inability or unwillingness of the borrower to comply with the terms of the loan. Credit risk is influenced by both external and internal factors. Therefore, speaking about credit risk, it is advisable to mention not only the borrower's unwillingness to fulfill obligations to the lender, but also those factors that may lead to the inability to fulfill them.

Slide 4

Accurate and prompt assessment of credit risk is the most urgent task for a commercial bank, increasing the profitability of banking activities largely depends on its accuracy and efficiency. Credit risk assessment is the first step in the risk management system. Risk assessment is based on their minimization.

There are various approaches to dealing with credit risk. However, the differences are characteristic not only for different countries but also methods of dealing with risk among domestic banks. Each credit organisation has inherent features of credit risk assessment. First of all, this is related to the secrecy of some information from external users, for example, information about the used scoring systems.

The creation of a system for monitoring credit risk in real time with the use of special computer programs for recording and analyzing data allows you to quickly respond to changes in the magnitude of credit risk, which is important for its successful management.

Slide 5

Using methods of analysis, as well as classification and factors of credit risk, we carried out detailed analysis loan applications, loan portfolio, reserves for possible losses on loans, and also considered cases of overdue debt on loans on the example of JSC "Alfa - Bank".

Alfa-Bank, established in 1990, is a universal financial institution and provides a wide range of high quality banking services. Alfa-Bank has a wide regional network, which allows it to successfully interact with network clients. The Bank's presence in the regions is constantly expanding. At the end of the reporting year, Alfa-Bank demonstrated significant growth rates of operational and stable bank income as well as a high level of profitability. In the structure of assets, the predominant share was occupied by commercial banking (about 46%), as well as treasury operations and asset / liability management (21%). The main share of liabilities also falls on the commercial bank (50%) and treasury operations (29%).

It should be noted that changes in the structure of the loan portfolio occur due to the growth of overdue loans, which cannot be assessed positively. Over two years, overdue debt increased by 35,454,576.84 rubles. or by 17.57%. At the same time, its most active growth falls on the period from 2015 to 2016.

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Slide 6

According to the requirements The Central Bank Alfa-Bank OJSC forms a reserve for possible loan losses. The amount of the reserve is determined based on the assessment of the loan quality category, as well as on the basis of the assessment of the collateral accepted under the credit transaction. Taking into account the fact that the volume of lending in the period under study was declining, one would expect an adequate reduction in the provision for possible loan losses. However, this did not happen, on the contrary, the bank's loan portfolio became more and more risky, as a result of which the bank was forced to increase the reserve in order to protect itself from risks. According to assessments carried out by employees of the lending department, the loan quality category for many borrowers deteriorated, which was caused by the deterioration of the borrowers' financial condition and could not but affect the quality of debt service.

Slide 7

We have considered ways to improve methods for assessing and regulating a bank's credit risk. In particular, three variants of the loan repayment schedule are considered and we will determine the most acceptable for the enterprise and the bank. Option 1. The bank lends to the company with monthly repayment of part of the principal and interest on it. As you can see from the loan repayment schedule, the total payable is 5350.00 thousand rubles. The initial loan amount was 5,000.00 thousand rubles, using this scheme the company will pay interest in the amount of 350.00 thousand rubles.

Slide 8

Option 2. The bank lends to the company according to the following loan repayment scheme: the company pays monthly interest on the loan, and upon the expiration of the loan agreement pays the entire loan amount and interest for the last month of the loan repayment. The calculation of the lending schedule is shown in the table. As can be seen from the loan repayment schedule at the end of the loan agreement, the company must pay 5,700.00 thousand rubles to the bank. Applying this loan repayment scheme, the company pays interest to the bank in the amount of 700.00 thousand rubles

Slide 9

According to the third option, Alfa-Bank provides loans to the company according to the following loan repayment scheme: revolving flexible loan with quarterly payment of the principal debt and monthly repayment of interest on its principal part. As you can see from the loan repayment schedule at the end of the term loan agreement the enterprise must pay the bank 5700.00 thousand rubles. Using this scheme, the company will pay interest in the amount of 700.00 thousand rubles.

Slide 10

Having calculated three loan repayment schedules, it is clearly seen that the first option of loan repayment is beneficial for the enterprise, in this case the interest payments will be 350.00 thousand rubles. This option of repayment of the loan is mainly used in banks, this option is the least risky for the bank, since the company decreases its debt to the bank every month, therefore, the risk of non-repayment of the loan decreases every month. Thus, the monthly repayment fixed amount loan and interest on it, the most profitable and least risky for the bank.

Slide 11

From the bank's point of view, the third option for repayment of the loan is beneficial both for Vira-plus LLC and for Alfa-Bank OJSC itself, this option is not too risky for the bank, and also meets all legal requirements for taxing banks' profits from issued loans. This option of repayment of the loan is the most optimal for the presented company, as well as for companies in this industry.

Slide 12

The work carried out allowed us to draw conclusions:

1. The bank's credit risk is integral part banking and deserves special attention.
2. Despite the fact that credit risk is the most typical risk of a bank, the methods of working with it require constant improvement, which is reflected in the ever-growing interest in this problem on the part of banks.
3. The directions for improving the work with credit risk, outlined by us, will help to more objectively assess the credit risk during the initial consideration. loan application, which in the future will have a beneficial effect on the quality of the loan portfolio, as well as increase the payment discipline of clients.

Thus, the purpose of the work - to study the credit risk of an enterprise using the example of OJSC “Alfa-Bank” - has been achieved.

Thank you for your attention! The report is over.

In the course of its activity, commercial banks are exposed to many risks. In general, banking risks are divided into four categories: financial, operational, business and emergency.

Financial risks, in turn, they include two types of risks: pure and speculative. Net risks, incl. credit risk, liquidity and solvency risks, if not properly managed, can lead to a loss for the bank. Speculative risks based on financial arbitration can result in a profit if the arbitration is done correctly, or a loss otherwise.
It should be noted that the main types of speculative risk: interest rate, currency and market (or positional)

The different types of financial risks are also closely related to each other, which can significantly increase the overall banking risk profile. For example, a bank carrying out foreign exchange transactions is traditionally exposed to foreign exchange risk, but it will also be exposed to additional liquidity and interest rate risk if it has open positions or discrepancies in the terms of claims and liabilities in the net position on derivatives transactions.

Operational risks depend on: the general business strategy of the bank; its organization; functioning of internal systems, including computer and other technologies; the consistency of the bank's policies and procedures; measures aimed at preventing errors in management and against fraud. Business risks are associated with the external environment of the banking business, incl. macroeconomic and political factors, legal and regulatory conditions, and the overall financial sector infrastructure and payment system. Extraordinary risks include all types of exogenous risks that, in the event of an event, can endanger the bank's activities or undermine it. financial condition and capital adequacy.

Let us characterize the financial risks that lead to pure risks, that is, in the case of a risky event, only lead to negative consequences.

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

Credit risk- risk associated with the risk of non-payment by the borrower of the principal debt and interest due to the lender. The causes of credit risk can be the borrower's dishonesty, the deterioration of the competitive position of a particular firm, and an unfavorable economic situation.