Introduction .. ……………………………………………………………… .....… 3

Chapter I. Theoretical basis financial risks of the bank ……. ………….… 5

1.1. The concept and essence of banking financial risks ……… .... …… ...… 5

1.2. Types of banking financial risks …………………………… ..….… .8

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

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

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

Chapter III. Bank financial risk management by example

Transcapitalbank CJSC…. …………………………………… .... ……. …… 19

3.1. Banking Risk Management Policy at CJSC "TKB" ....... ..... ... ..19

3.2. Control credit risk in the bank "Transcapitalbank" ... .. ... ... 22

3.3. Analysis of assets and liabilities of CJSC "Transcapitalbank" …………. …… ..24

Conclusion ………………………………………………………….… ....… 29

References …………………………………………………… .... …… 30

Introduction

Commercial banks are an integral part of financial system, one of the most important functions of which is to provide financial resources for the reproduction process. The banking system is a kind of intermediary between the owners of temporarily free financial resources and economic entities experiencing a shortage of them, and therefore a feature banking is work mainly with attracted funds of clients, which include funds of legal entities and individuals, as well as borrowing from interbank financial markets. This activity is associated both with the possibility of their loss, and with an increase, ultimately, with risks. The risks accompanying the financial activities of the organization are allocated to a special group of risks, which are called financial risks. Financial risks play the most significant role in the overall portfolio of 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 financial performance of a credit institution is associated with the rapid volatility of the economic situation and the conjuncture of the financial market, the expansion of the sphere of financial relations of organizations, the emergence of new financial technologies and instruments for Russian companies, and other factors.

The practice and methodology of control and management of banking risks is the most critical for banking. Successful risk management is the most important condition for the competitiveness and reliability of any financial institution. As numerous examples show, the most significant types of risk (credit, investment, foreign exchange) can lead not only to a serious deterioration in the financial condition of a credit institution, but in the extreme case - to loss of capital and bankruptcy. Correct assessment and management can significantly minimize losses. The main task of the bank's risk management is to identify and prevent possible adverse events, find ways to minimize their consequences, and create management methodologies.

This topic of work was chosen by me due to the great relevance of the issue of assessing, identifying and managing financial risks for commercial banks at the moment, since in order to successfully overcome the global financial crisis, most Russian banks must first of all review, tighten and make significant changes to their existing risk management system.

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

The issues of banking risk management strategy are beyond the scope of this work.

ChapterI... The theoretical foundations of the financial risks of the bank

1.1. The concept and essence of banking financial risks

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

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

At any economic activity there is always a danger of monetary losses arising from the specifics of certain business operations. The dangers of such losses are financial risks. Financial risks are commercial risks... All risks are classified as pure and speculative. Net risks mean the possibility of getting a loss or zero result. Speculative risks are expressed in the possibility of obtaining both positive and negative results. Therefore, financial risks are classified as speculative risks.

Various sources provide the following definitions, which are similar in nature: "financial risk is the risk arising in the implementation of financial entrepreneurship or financial transactions, based on the fact that in financial entrepreneurship, either currency, or securities, or cash acts as a commodity" ...

Balabanov I.T. gives the following interpretation of this concept: “Financial risk is a speculative risk in the financial, credit and exchange spheres. Financial risks include credit risk, interest rate, foreign exchange risks, and the risk of missed financial gain. "

In other sources, you can find the following definition: “Financial risk - the risk that the cash flows of the issuer will be insufficient to meet its financial obligations. Also called additional risk, which the shareholders of the company using borrowed funds and equity capital are exposed to ”.

In general terms, financial risks should be understood on the one hand, the danger of a potentially possible, probable loss of resources, a decrease in income, a decrease in profits due to any internal and external factors (including wrong actions or lack of actions) that affect the conditions and results of activities economic entity, on the other hand, is the likelihood of receiving an additional amount of profit associated with risk.

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

In the course of their activities, commercial banks are exposed to many risks. Control over banking risks is central to the organization of internal control in a commercial bank.

Lavrushin O.I. gives the following interpretation of risks in the activities of credit institutions: “Risks in banking are understood as the possibility of loss of liquidity, as well as financial losses (losses). The main goal of internal risk control is to limit the risks assumed by credit institutions by implementing specific procedures for monitoring compliance with the requirements of legislation, Bank of Russia regulations, professional standards and business practices. "

In accordance with the above in relation to the activities of commercial banks, financial risk – This is a probabilistic characteristic of an event that, in the long term, can lead to the occurrence of losses, non-receipt of income, shortfall 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 an uncertain economic environment. The main thing in the risk management of banks is not the issue of admitting risk in its negative form, but the development and application of such methods of financial risk management that will lead to additional income. Risk management uses the latest developments in other sciences, thereby accelerating social progress and influencing all aspects of socio-economic life.

1.2. Types of banking financial risks

Financial risks arise in connection with the movement of financial flows and are characterized by a great variety. The classification of risks is quite broad. The reasons for the financial risk are inflation factors, an increase in the bank's interest rates, a decrease in value valuable papers and 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 capital investment (investment risks).

The risks associated with the purchasing power of money include the following types of risks: inflationary and deflationary risks, currency risks, liquidity risk.

Inflation risk - it is the risk that, as inflation rises, the received monetary incomes depreciate in terms of real purchasing power faster than they grow. In such conditions, a commercial bank suffers real losses.

Deflationary risk- this is the risk that with an increase in deflation there is a fall in the price level, a deterioration in the economic conditions of entrepreneurship in general, and credit institutions in particular, and a decrease.

Currency risks represent a danger of currency losses associated with a change in the exchange rate of one foreign currency in relation to another during foreign economic, credit and other currency transactions.

Liquidity risks - these are the risks associated with the possibility of loss in the sale of securities or other goods due to changes in the assessment of their quality and use value.

Investment risks include the following types of risks:

1) the risk of lost profits;

2) the risk of a decrease in profitability;

3) the risk of direct financial losses.

The risk of lost profits - it is the risk of the occurrence of indirect (side-by-side) financial damage (unearned profit) as a result of failure to implement any measure (for example, insurance, hedging, etc.).

Risk of decreased profitability may result from a decrease in the amount of interest and dividends on portfolio investments, deposits and loans.

Portfolio investments are associated with the formation of an investment portfolio and represent the acquisition of securities and other assets. The term "portfolio" comes from the Italian "Porte foglio" in the meaning of the collection of securities that are held by.

The risk of a decrease in profitability includes the following varieties:

· Interest rate risks;

· Credit risks.

TO interest rate risks there is a danger of losses by commercial banks, credit institutions, investment institutions as a result of the excess of interest rates paid by them on borrowed funds over the rates on loans provided.

An increase in the market interest rate leads to a decrease in the market value of securities, especially bonds with a fixed interest rate. With an increase in interest, a mass dumping of securities issued at lower fixed interest rates and, under the terms of the issue, early accepted back may also begin. The interest rate risk is borne by an investor who has invested in medium-term and long-term securities with a fixed interest rate at the current increase in the average market interest rate compared to the fixed level. In other words, the investor could get an increase in income due to an increase in interest, but he cannot release his funds invested on the conditions indicated above.

The interest rate risk is also borne by the issuer issuing medium-term and long-term securities with a fixed interest rate at the current decrease in the average market interest rate in comparison with the fixed level. In other words, the issuer could raise funds from the market at a lower interest rate, but he is already bound by the issue of securities he has made.

This type of risk, with a rapid rise in interest rates in the context of inflation, is also important for short-term securities.

The greatest weight in the total risks of the bank is credit risk(Fig. 1), which means the danger of non-payment by the borrower of the principal debt and interest due to the lender. Credit risk also includes the risk of an event in which the issuer who issued debt securities will be unable to pay interest on them or the principal amount of the debt.

Fig. 1. Specific gravity credit risk in the total amount of bank risks.

Credit risk can also be a form of direct financial loss risk.

Risks of direct financial losses include the following varieties:

· Exchange risk;

· Selective risk;

· The risk of bankruptcy;

· Credit risk.

Exchange risks represent the danger of losses from exchange transactions. These risks include: the risk of non-payment on commercial transactions, the risk of non-payment of the company's commission, etc.

Selective risks(from lat. selectio - choice, selection) - these are the risks of the wrong choice of the method of capital, the type of securities for investment in comparison with other types of securities when forming an investment portfolio.

Bankruptcy risk represents a danger as a result of the wrong choice of the method of capital investment, complete loss of equity capital by the credit institution and its inability to pay off its obligations. As a result, the commercial bank becomes bankrupt.

ChapterII... Analysis and assessment of the financial risks of the bank

2.1. Types of financial risk analysis

The risk management process begins with an analysis, the purpose of which is to obtain the necessary information about the structure, properties of the object and the existing risks. Financial risk analysis is divided into two mutually complementary types:

1) Qualitative analysis - identification of risk factors and circumstances leading to risk situations.

Qualitative analysis assumes:

· Identification (establishment) of all possible risks;

· Identification of sources and causes of risk;

· Identification of practical benefits and possible negative consequences that may occur in the implementation of a risk-containing solution.

In the process of qualitative analysis, it is important both to fully identify and identify all possible risks, and to identify possible losses resources that accompany the onset of risk events.

2) Quantitative analysis involves a numerical assessment of risks, which is carried out using linear programming methods, mathematical statistics and probability theory, which makes it possible to predict the occurrence of an unfavorable situation and, if possible, reduce its negative impact. A quantitative assessment of the likelihood of the occurrence of certain risks and what they can cost, allows us to identify the most likely risks in terms of occurrence and significant in terms of the amount of losses.

2.2. BaselII- a set of standards for assessing financial risks of banks

The idea of ​​changing the principles of banking regulation and supervision arose back in the 70s of the XX century, when it became clear that the instruments of banking supervision that were in force at that time - the deposit insurance system and direct intervention of supervisors in the interest rate and credit policies of banks - were not able to restrain threats to financial stability in the context of the changed rules of the game in the financial markets. Growth in financial innovation, rapid development the latest technologies, computerization of the banking business, forced liberalization of capital flows have led to an increase in the dependence of banking systems on "external shocks". The banking sector began to assume additional risks. At the same time, the supervisory authorities simply did not keep up with their identification and, accordingly, could not adequately assess and take the necessary neutralizing measures. Moreover, in the context of globalization, financial shocks in one country inevitably have a negative impact on other countries. In this regard, the idea arose of creating a global security system, i.e. uniform principles in the organization of banking regulation and supervision. To this end, the Basel Committee on Banking Supervision in 2004 adopted a set of standards for assessing the risks of financial institutions and organizing banking supervision, commonly known as the New Basel Capital Accord, or Basel II.

Basel II is a detailed document that formalizes requirements for three main "pillars" of regulation: the minimum amount of bank capital, the organization of banking supervision and market discipline. At the same time, three types of risk are considered for which capital is reserved: market, credit and operational, for the assessment of each of which a "menu" of alternative approaches is proposed. National supervisors are not limited in the choice and combination of approaches, as well as in setting deadlines, which in most cases are predetermined by the degree of readiness of the national banking system to apply the provisions of Basel II.

According to the Basel Committee itself, the Agreement is not a panacea for local and systemic banking crises, and its true significance will be realized only after the start of wide and uniform application. At the same time, the document changes the very role of supervision and its philosophy, shifts the focus of its activities: from the formal implementation of quantitative standards to understanding the essence of risks, knowledge of assessment methods and their management.

Control over the risks of commercial banks in accordance with Basel II should be carried out by the supervisor on the basis of an individual assessment of capital adequacy, taking into account the specific nature of the risks of each bank, the reliability and adequacy of the construction and functioning of intra-bank systems for assessment, monitoring, risk management, the nature and volume of risks assumed by the bank, as well as the quality of management. Based on the above factors, a meaningful (professional) judgment is made for each bank about the required minimum level of capital adequacy, taking into account all significant risks assumed by this bank, and not only credit and market risks, as was adopted in the previous concept of banking supervision reflected in Basel I ...

The main objectives of Basel II:

· Strengthening the orientation of banks when reserving equity capital for actual risks;

· Improvement of internal risk management of banks, in particular through the creation of incentives for the transition to further methods of measuring risks for control purposes;

· Improving the conditions of international competition through the introduction of unified world rules of banking control;

· Creation of rules that can be applied by banks of various levels of complexity and size.

Basel II is structurally divided into three parts - three components.

The first component- the most significant part of the document is devoted directly to the methods of calculating credit risk and offers two approaches to calculating credit risk.

The standardized approach is based on weighting the quantity credit requirements by the coefficient assigned to a particular borrower depending on the external credit rating, that is, the rating determined by one or another international rating agency(Standard & Poor's, etc.). Compared to Basel I, a novelty is the orientation in assessing risk to external ratings, as one of the most objective indicators of the activity of a bank (enterprise). Also new is a more flexible system for accounting for collateral when calculating credit risk.

As part of the standardized approach, Basel II also provides for a more flexible system for accounting for collateral in calculating credit risk. The so-called “mitigation technique” of credit risk involves not only assessing the quality of collateral, which is also provided for by the Basel I requirements, but also the possibility of adjusting credit requirements depending on the financial condition of the person who provided the relevant collateral.

The second approach, which is the most significant change in comparison with Basel I, consists in the fundamental admission of internal ratings to the determination of the creditworthiness of borrowers (Internal Rated Based Approach - IRB Approach). In terms of measuring credit risk, the IRB approach is a mathematical model that takes into account four factors: the probability of a counterparty default (PD); the share of losses in case of default of the counterparty (LGD); the absolute value of losses in case of default (EAD) and the residual term of the loan or circulation of the debt security (M). Using these indicators, the so-called expected (EL) and unexpected (UL) losses are determined, the value of which is included in the calculation of capital adequacy.

Second component Basel II defines the basic principles and recommendations for organizing the risk management system in credit institutions and requirements for the supervisory process. It addresses issues of transparency and reporting to the supervision of banks, including proposals regarding the treatment of interest rate risk in the banking portfolio, credit risk (stress testing, defaults, residual risk and credit concentration risk), operational risk, and securitization.

Third component Basel II is the so-called market discipline. This component complements the previous two by formulating a set of disclosure requirements that will allow market participants to assess data on the main areas of activity, the amount of capital, risk exposure, risk assessment processes and, therefore, on the capital adequacy of the borrowing entity.

The Basel Committee advocates active implementation of the method of risk assessment based on internal ratings (models), which is a more complex, but also more sensitive to risks method. At the same time, he admits that many banks will not be able to apply it to all areas of their activities, therefore, he gives the right to banks to combine approaches, i.e. provides for a transitional period. For example, lending institutions may apply an enhanced approach (IRB) to a specific asset class, and a standardized approach for other asset classes. Gradually, however, the IRB approach should be extended to all asset classes in line with the mandatory transition plan provided by banks to the supervisor.

The majority of Russian experts agree that the consequence of the implementation of Basel II in Russian organizations will lead to an increase in their competitiveness. Banks will be able to manage their risks more efficiently, receive more complete information, timeliness and quality information about risks, and will be able to more accurately assess the ratio of risk and reward. Improving the efficiency of risk management will lead to an increase in the efficiency of the information security system. In addition, the implementation of the Basel II requirements will lead to an increase in the company's attractiveness for investors and partners, as well as to an increase in the company's market price.

One of the unsolved problems so far is the procyclical nature of Basel II. Thus, during periods of economic recovery, capital will obviously decrease as the perceived credit risk decreases and the quality of the provider of protection and / or collateral increases. In this case, a decrease in regulatory capital entails an increase in the volume of offered lending, which provides a pro-cyclical impetus. With an economic downturn, credit risk increases, the quality of protection decreases, regulatory capital increases, as a result of which credit insufficiency can occur precisely when productive activity is already slowing down and it is necessary to inject financial resources into it.

However, despite the fact that the New Basel Accord is not a fully finished document and the work on improving and clarifying some of its aspects continues, the introduction of Basel II is in full swing and its positive impact on the quality of banking supervision is already evident. World experience has shown that increasing the efficiency of supervisory activities can significantly mitigate the effects of the global financial crisis on the country's economy.

As you know, the Bank of Russia also supported the Basel Principles of Organization of Banking Regulation and Supervision and modern international approaches to risk assessment, declaring its intentions to introduce them as soon as they were adopted - in June 2004. At the same time, an option was chosen and the deadlines for introducing standards were set - 2008-2009 However, despite the fact that the date of introduction has actually arrived, the problems of the readiness of supervision and the banking system of Russia for the practical application of modern international standards for risk assessment have not yet been resolved. Among them, the issues of organizing the use of standards in Russian banking practice are of particular importance.

ChapterIII... Bank financial risk management by example

CJSC "Transcapitalbank"

3.1. Banking risk management policy at CJSC "TKB"

The presence in the bank of a risk policy, regulations and risk management procedures is necessary condition its financial strength. Formation of the optimal structure of assets, the quality of the bank's capital and ensuring maximum safety of capital, on which the financial stability of the bank depends, is possible only on the basis of minimizing those risks that play a significant role in the bank's business.

I reviewed and analyzed the risk management policy adopted by the commercial bank Transcapitalbank (CJSC TKB).

In the course of the study, it was revealed that CJSC "TKB" developed a special "Declaration on risk management in" TKB "(CJSC)", containing the main provisions regarding the bank's risk policy. This declaration states that risk management and minimization (risk management) are traditionally a priority in the activities of TKB CJSC. The basic approach to minimization banking risks is the determination of their quantitative parameters and the development of risk management methods. The Bank's Board of Directors adopted the "Risk Management Strategy" and approved the "Banking Risk Management Policy".

The “Risk Management Strategy” is based on adherence to the principle of break-even activity and is aimed at ensuring an optimal balance between profitability and the level of risks assumed by TKB Bank. The following basic principles are used in the implementation of the Risk Management Strategy:

· The bank does not take risks, if there is such an opportunity;

· The bank does not risk more than its own capital can afford;

· The bank's management thinks about the consequences of risk and does not risk much for the sake of small;

· The Bank does not create risky situations for the sake of obtaining excess profits;

· The bank keeps risks under control;

· The Bank distributes risks among clients and participants and by type of activity (diversifies risks);

· The bank creates the necessary reserves to cover risks;

· The Bank establishes constant monitoring of changes in risks.

The Bank in its activities chooses from the possible options for risky capital investment that option in which:

1) will receive the highest efficiency of the result (gain, income, profit) with a minimum or acceptable level of risk (maximum gain rule);

2) the probability of the result is acceptable to the investor (the rule of the optimal probability of the result).

The strategic goal of TKB Bank is to manage the return / risk ratio. The traditional approach to risk management is based on compliance with the regulatory requirements of the Bank of Russia. To ensure high growth rates of the bank's development, it is necessary to consider risks in conjunction with profitability in accordance with the tasks set by the shareholders.

Risk management in the Bank is one of the areas of financial management.

The purpose of the bank's risk management policy is to organize a clear process for effective risk management by setting boundaries, limit parameters for each type of risk. In the context of a downward trend in the profitability of the majority financial instruments and, as a consequence, a decrease in profitability, risk control is one of the main sources of maintaining the Bank's profitability at the proper level. Effective way minimization of risks is their regulation by setting limits. In accordance with the “risk-appetite”, Transcapitalbank sets the main risk limits, and all major decisions on asset and liability management are analyzed for possible violations of the established limits. The main task of the system for setting limits is to ensure the formation of the structure of the bank's assets and liabilities, adequate to the nature and scale of its business.

Identification, analysis, assessment and development of methods for managing banking risks is carried out by an independent structural subdivision Bank "TKB" - a risk division. Risk management is not only a function of risk managers, it is also integrated into all business processes of the bank. Responsibility for the implementation of a specific risk event is borne by the division that initiates and implements transactions for the acquisition of assets. The task of the risk division is to limit the total potential losses of the bank and to implement procedures to mitigate emerging risks.

When managing banking risks, the bank takes into account the recommendations of the Bank of Russia, the Basel Committee on Banking Supervision and Regulation (Basel II), as well as the requirements of the European Bank for Reconstruction and Development (EBRD).

Transcapitalbank CJSC defines the following approaches applied to the assessment of various types of risks when calculating capital adequacy in accordance with the recommendations of the Basel Committee (Basel-2) (Fig. 2):

Risk type	Calculation method
Credit risk	A standardized approach
Market risk	A standardized approach
Operational risk	Basic indicative approach

Fig. 2. Approaches used by CJSC "TKB" to assess various types of risks.

3.2. Credit risk management in the bank "Transcapitalbank"

The "Declaration on Risk Management at TKB" states that the bank seeks to minimize credit risk in its activities, which implies taking measures to maintain risk at a level that does not threaten the interests of creditors and depositors, and the bank's stability. The most important issue for the bank is the assessment and regulation of the riskiness of the loan portfolio, as one of the main areas of effective management of the credit activities of Transcapitalbank, and the main goal of the loan portfolio management process is to ensure maximum profitability at a certain level of risk.

Credit operations, becoming a priority area of ​​the bank's activities, are also one of the most risky, therefore, the assessment of risks on credit operations is the most important part of the analysis of the bank's financial stability. CJSC "TKB" adheres to a conservative credit policy, trying to fully cover its risks. The bank provides borrowers credit products only after a detailed assessment of all possible risks associated with the activities of these borrowers. The Bank diversifies its loan portfolio by risk groups. The structure of the bank's loan portfolio by the terms of placement of funds is balanced with the terms of raising funds for passive operations.

The bank avoids lending to borrowers if:

· High level of risks of credit operations;

· Poor financial position of the borrower;

· Unreliability of the borrower;

· Lack of sources of return of credit funds;

An exception can be made for high-yield transactions, the risk of which is minimized by liquid collateral or the borrower's stable credit history... The decision on such loans is made by the Credit Committee on a case-by-case basis.

Practice shows that the creation of a system for assessing the financial condition of borrowers (counterparties) and setting limits for various banking operations is the most important condition for the competitiveness of Transcapitalbank in the market. The presence of such a system not only allows to protect CJSC "TKB" from losses, but also serves as the basis for the normal conduct of all active operations, contributes to the growth of the bank's income and the expansion of the number of reliable counterparties.

The main principles by which the bank's loan portfolio is formed are the principle of diversifying the loan portfolio by types of economic activity (segments of the economy) and regional diversification.

The main methods of credit risk management at Transcapitalbank are:

· Assessment of the financial condition of borrowers, issuers of securities and counterparty banks, further monitoring of their financial condition;

· Reservation;

· Limiting;

· Diversification of the bank's loan and investment portfolio;

· Control over loans issued earlier;

· Monitoring the state of collateral;

· Differentiation of powers of employees;

· Setting limit values ​​of mandatory ratios in accordance with the current legislation and internal regulations of the Bank.

To minimize credit risk in the interbank lending market (IBC) - counterparty risk and the securities market (SM), the risk division analyzes counterparty banks and issuers of securities in order to establish appropriate limits. These limits are approved by the Limit Committee.

3.3. Analysis of assets and liabilities of CJSC "Transcapitalbank"

In order to be convinced of the effectiveness of the risk management policy pursued by TKB CJSC, I analyzed the structure and dynamics of the bank's assets and liabilities for the period from 2009 to 2010.

As a result of studying the dynamics of assets of Transcapitalbank, it was found that for 2009. the bank increased both the total volume of active operations by 5.68% and an increase in almost every item of assets of "TKB" (Table 1). This dynamics is positive and testifies to the expansion of the bank's activities. Separately, it is worth noting the growth of cash by 32.85% in 2009 and by 0.5% of their share in total assets, since it is this category of assets that is the most important part of the bank's liquid assets, and an increase in this item indicates an improvement current liquidity jar.

Assets of CJSC "Transcapitalbank"
	01.01.2009	01.01.2010	Share in total assets,%
Cash
At the Central Bank of the Russian Federation
Mandatory reserves
Net loan debt
Other assets

For a more visual representation of the growth of TKB assets, their absolute change for 2009 was calculated. and the rate of growth of the bank's assets for the period from 01.01.2009. to 01.01.2010, which confirms the effective functioning of Transcapitalbank and the effectiveness of its policy on financial risk management (Table 2).

Dynamics of assets of "Transcapitalbank" in 2009
	Absolute change thousand roubles.	Rate of increase,
Cash
Mandatory reserves
Funds from credit institutions
Net investments in securities valued at fair value through profit or loss
Net loan debt
Net investments in securities and other financial assets available for sale
Investments in subsidiaries and affiliates
Fixed assets, intangible assets and inventories
Other assets

Since the largest share in the assets of Transcapitalbank is net loan debt (about 70%), the quality of the bank's assets can be assessed based on the quality of the loan portfolio of CJSC "TKB".

Determination of the risk level of the bank's loan portfolio, as well as the quality of the loan portfolio from the position of risk, is carried out using certain coefficients. The most clear definition of the quality of the loan portfolio from the standpoint of credit risk allows the risk ratio of the loan portfolio. It is defined as follows:

where, КВ - the aggregate of the bank's credit investments (all loaned and equated to it);

PrP - projected losses of the bank (projected losses of the bank at the reporting date are determined as the total amount of reserves for possible losses on loans, loan and equivalent debt.

The closer the value of the risk ratio of the loan portfolio to 1, the better the quality of the loan portfolio from the point of view of repayment (recovery) of issued loans. In practice, the acceptable value of the risk ratio of the loan portfolio for the bank is at least 0.6-0.7 (60-70%).

In our case, the risk ratio of the loan portfolio of Transcapitalbank is:

As of 01.01.2009: = 0.979

As of 01.01.2010: = 0.934

This allows us to say that the loan portfolio of TKB Bank was formed at the expense of “high quality” loans (standard and non-standard loans). However, for the period from 2009. to 2010 there is a decrease in Kr, which indicates a slight deterioration in the quality of the bank's loan portfolio and an increase in the risk of default on loans issued, which is a consequence of the global financial crisis.

It should be noted that the positive dynamics of the assets of Transcapitalbank contributed to the increase in the bank's position in the ranking “Banks of Russia. Key performance indicators ”published by the“ Interfax-100 ”agency. So, in the first quarter of 2009. the bank ranked 62nd in terms of assets among Russian banks, and on the same date in 2010. Transcapitalbank has already been awarded the 54th place, which confirms the effective work of the bank in the field of financial risk management.

To determine the efficiency of financial risk management at TKB, I analyzed the dynamics of liabilities for 2009-2010 (Table 3), calculated the rate of their growth. As a result, it was found that for 2009. total liabilities of "TKB" were increased by 3,663,328 thousand rubles. (5.53%). There was a decrease in funds of credit institutions, as well as loans, deposits and other funds of the Central Bank of the Russian Federation. Stable growth is observed on the rest of the liabilities, which is a positive trend in the activities of Transcapitalbank.

Liabilities of CJSC "Transcapitalbank"
	01.01.2009	01.01.2010	Share in total liabilities,%
Loans, deposits and other funds of the Central Bank of the Russian Federation
Funds of credit institutions
Individual deposits
Other liabilities
Equity

It should be noted that during the study period, there was a decrease in provisions for possible losses on contingent credit liabilities by 14.88%, which indicates a decrease in risk in the bank's activities (Table 4).

Dynamics of liabilities of "Transcapitalbank" in 2009
	Absolute change, thousand rubles	Growth rate,%
Loans, deposits and other funds of the Central Bank of the Russian Federation
Funds of credit institutions
Customer funds (non-credit institutions)
Individual deposits
Debt issued
Other liabilities
Provisions for possible losses on contingent credit commitments, other possible losses and transactions with residents of offshore zones
Equity

In our case, the growth own funds the bank is due to the increase in equity capital at a higher rate than the balance sheet currency. This circumstance indicates an increase in the financial stability of Transcapitalbank, since the bank increases the volume of attracted capital, but on the basis of an advance increase in equity capital.

The Expert RA rating agency has affirmed the credit rating of JSCB "Transcapitalbank" at A + "Very high level of creditworthiness". The rating assessment was positively affected by the increase in the authorized capital of Transcapitalbank at the end of 2009 by more than 20% and high rates of loan security (the ratio of security including guarantees to loans issued amounted to 395% as of 01.10.2009). The competent policy of "TKB" on risk management is confirmed by the net profit received by the bank in 2009 in the amount of 203,484 thousand rubles. even in the context of the global financial crisis.

Conclusion

In this paper, the main interpretations of the concept of "financial risks of a bank" were presented and compared, the features and forms of manifestation of this category of risks were considered.

When writing this work, it was revealed that banks in their activities are faced not with one specific risk, but with the whole set of different types of risk that differ from each other in the place and time of occurrence, their influence on the bank's activities, and they (risks) must be considered in the aggregate. Changes in one type of risk cause changes in almost all other types. All this, naturally, makes it difficult to choose a method for analyzing the level of a specific risk and making a decision on its optimization leads to an in-depth analysis of many other risk factors.

In the practical part of the work, the financial risk management system existing at CJSC Transcapital-Bank was analyzed and its effectiveness was confirmed based on an assessment of the bank's current position in the market, as well as an analysis of the structure and dynamics of its assets and liabilities.

Based on the above, we can conclude that the key to the success of a bank's sustainable development is a well-thought-out risk management system, which includes a policy that corresponds to it. organizational structure, information support, a system of measures to restrict, insure and control the risks inherent in banking.

A serious approach to the problem of banking risks and economic analysis of certain types of risk will reduce the bank's losses and constantly expand the scope of services provided.

Bibliography

1) Balabanov I.T. "Fundamentals of Financial Management" - M .: Finance and Statistics, 2002, p. 202

2) Lavrushin O.I. "Banking Management", 3rd ed., - M .: Knorus, 2010. page 148

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Final qualifying work

Finance Departmentthe risks of a commercial bank

INconducting

financial commercial bank risk

The ability to take reasonable risks is one of the elements of the culture of entrepreneurship in general, and banking in particular.

In market conditions, each of its participants accepts certain rules of the game and, to a certain extent, depends on the behavior of partners. One of these rules can be considered the willingness to take on risk and take into account the possibility of its implementation in their activities.

In the West, even in relatively stable economic conditions, business entities pay close attention to risk management issues. At the same time, in Russian economy, where the factors of economic instability already complicate the effective management of enterprises, the problems of analysis and management of the complex of risks arising in the process of their economic activity, clearly insufficient attention is paid.

Until recently, this approach dominated not only in enterprises of the real sector of the economy, but also in financial and credit institutions. Close attention to the issue of risk management began to be paid only after the onset of the financial crisis, which clearly indicated the severity of this problem in Russia.

In an effort to stabilize the socio-economic situation of enterprises, their financial independence, increase efficiency and ultimately maximize profits or, in extreme cases, avoid losses and bankruptcy, enterprise managers in modern conditions begin to pay more and more attention to financial planning. This is undoubtedly one of the factors in the normalization of economic turnover, ensuring it necessary resources, strengthening the financial position of enterprises in the face of uncertainty in the economic situation.

Consequently, in a market economy, the decision-making process at all levels of management occurs in conditions when the final result of the activity is unknown. This means that uncertainty and uncertainty arise, and, consequently, the risk increases, that is, the danger of failure, unforeseen losses. This is especially true in the initial stages of the development of entrepreneurship.

In modern economic theory such a category as risk is used as an indicator of uncertainty.

The problem of risk management exists in any sector of the economy - from Agriculture and industry to trade and financial institutions, which explains its relevance.

In this regard, it is relevant to determine the system of indicators for assessing risk when planning the activities of an enterprise, factors influencing it, developing practical recommendations to reduce and minimize risks, as well as develop a risk management strategy.

The financial activity of an enterprise in all its forms is associated with numerous risks, the degree of influence of which on the results of this activity increases significantly with the transition to a market economy. The risks accompanying this activity are allocated to a special group of financial risks that play the most significant role in the overall “risk portfolio” of the enterprise. The increase in the degree of influence of financial risks on the results of the financial activity of the enterprise is associated with the rapid volatility of the economic situation in the country and the conjuncture of the financial market, the expansion of the sphere financial relations and its "emancipation", the emergence of new financial technologies and tools for our economic practice, and a number of other factors.

Financial risk management of an enterprise is a specific area of ​​financial management, which in last years stood out in a special area of ​​expertise - "risk management". Specialists working in this area are subject to special qualification requirements, in particular, knowledge of the fundamentals of economics and finance of an enterprise, mathematical methods, foundations and applied apparatus of statistics, insurance, etc. The main function of such specialists ("risk managers") is to manage the financial risks of the enterprise.

Financial risk as an object of management implies its assessment and minimization using risk management methods. There are several ways to assess financial risk and a great variety of methods to manage it. The main goal of financial management is to achieve that, in the worst financial situation, we can only talk about a certain decrease in profits, but in no case there was a question of bankruptcy. Therefore, special attention is paid to the continuous improvement of risk management - risk management. This explains the practical significance of the final qualifying work.

The aim of the study is to analyze financial risks and reserves for their reduction.

In accordance with the goal, the tasks of the final qualifying work were formulated:

Consider the theoretical foundations of financial risk as a subject of management;

Assess and analyze financial risk using the example of CJSC VTB;

Determine the main directions of financial risk management in the enterprise.

The object of the study was the commercial bank CJSC VTB, which needs to develop measures to prevent financial losses.

The theoretical and methodological basis was the scientific works of domestic and foreign scientists, economists and financiers.

The practical significance of the work lies in the fact that the proposed measures to improve the efficiency of financial risk management can be used in its work to reduce the impact of financial risks and increase the efficiency of the enterprise.

1. Theoretical foundations of financial risks

1.1 The essence of financial risk, its types and causes

Considering the essence and content of risk, now there is no need to prove that the success of an entrepreneur, businessman, manager largely depends on an understanding of the attitude to risk. This problem is of particular interest and deserves a comprehensive study.

Risk is an economic category. As an economic category, it represents the possibility of an event occurring that can entail three economic results:

- negative (loss, damage, loss);

- zero;

- positive (gain, benefit, profit).

Analysis of the economic literature devoted to the problem of risk has shown that there is no consensus among researchers regarding the definition and unambiguous understanding of the essence of risk. This explains, in particular, the multidimensionality of this phenomenon, almost complete ignorance of it by our economic legislation in real economic practice and management activities. Moreover, risk is a complex phenomenon with many different and sometimes opposite real foundations. This leads to the possibility of the existence of several definitions of risk from different points of view.

Let us dwell on the following definition of risk, which most fully reflects the concept of "risk".

Risk is an activity associated with overcoming uncertainty in a situation of inevitable choice, in the process of which it is possible to quantitatively and qualitatively assess the likelihood of achieving the intended result, failure and deviation from the goal.

The analysis of numerous definitions of risk made it possible to identify the main points that are characteristic of a risk situation, such as:

- the random nature of events, which determines which of the possible outcomes is implemented in practice (the presence of uncertainty);

- availability of alternative solutions;

- the probabilities of outcomes and expected results are known or can be determined;

- the likelihood of losses or the likelihood of additional profit.

It should be noted that the difference between risk and uncertainty refers to the way information is specified and is determined by the presence (in the case of risk) or the absence (in the case of uncertainty) of the probabilistic characteristics of uncontrolled variables. In the noted sense, these terms are used in the mathematical theory of operations research, where they distinguish between decision-making problems under risk and, accordingly, under conditions of uncertainty.

If it is possible to qualitatively and quantitatively determine the degree of probability of a particular option, then this will be a risk situation.

The financial risk of an enterprise is understood as the likelihood of adverse financial consequences in the form of loss of income and capital in a situation of uncertainty in the conditions for carrying out its financial activities.

There are various definitions of “risk”. So, in the most general form, risk is understood as the likelihood of losses or loss of income in comparison with the predicted option, i.e. it is a situational characteristic of an activity, consisting of the uncertainty of its outcome and possible steps with which it can be optimized.

Another definition of risk is any event that could result in lower financial results than expected. When making a financial decision, it is necessary to analyze the financial risk.

In its most general form, financial risk is a course of action in an unclear, uncertain environment associated with the monetary and financial sphere.

In investment activities, financial risk is understood as the risk imposed on the shareholders (owners) of the enterprise, associated with the uncertainty of payments on their debt obligations.

Thus, financial risk is the degree of uncertainty associated with the combination of debt and equity used to finance a company or property; the greater the proportion of borrowed funds, the higher the financial risk.

A distinctive feature of the analysis of financial risk is that the objectivity of the management decisions taken largely depends on its results.

A number of features are inherent in risk, among which are:

- inconsistency,

- alternativeness,

- uncertainty.

The contradiction is manifested in the fact that, on the one hand, risk has important economic, political and spiritual and moral consequences, since it accelerates social and technical progress, has a positive impact on public opinion and the spiritual atmosphere of society. On the other hand, risk leads to adventurism, voluntarism, subjectivity, slows down social progress, generates certain socio-economic and moral costs, if, under conditions of incomplete initial information, a risk situation, an alternative is chosen without taking into account the objective laws of the development of the phenomenon, in relation to which a decision is made.

Alternativeity implies the need to choose from two or more possible solutions. The lack of choice takes away the risk conversation. Where there is no choice, there is no risk situation and therefore no risk.

The existence of risk is directly related to uncertainty. It is heterogeneous in form of manifestation and in content. Risk is one of the ways to remove uncertainty, which is ignorance of the reliable, lack of unambiguity. It is important to focus on this property of risk due to the fact that it is futile to optimize management and regulation in practice, ignoring objective and subjective sources of uncertainty.

Financial risk is a function of time. Typically, the degree of risk for a given financial asset or investment option increases over time.

Financial risk manifests itself in the field of economic activity of the enterprise. Financial risk is associated with the formation of resources, capital, income and financial results of the enterprise; it is characterized by possible monetary losses in the course of economic activity. Financial risk is defined as an economic category, occupying a certain place in the system of economic categories.

The expected level of performance of financial transactions varies depending on the type and level of risk in a fairly significant range. Thus, the financial risk can be accompanied by both significant financial losses for the enterprise and the formation of its additional income.

Financial risk is an integral part of all business operations and is inherent in all areas of the enterprise. The objective nature of the manifestation of financial risk remains unchanged.

Despite the fact that the manifestations of financial risk are objective in nature, the main indicator of financial risk - the level of risk - is subjective. The subjectivity of risk assessment is due to different levels of reliability of management information, professional experience and qualifications of financial managers and other factors.

The risk is not constant, the level of financial risk is variable. First of all, it changes over time. In addition, the indicator of the level of financial risk varies significantly under the influence of numerous objective and subjective factors affecting the risk.

During the period of preparation and adoption of an economic decision, it is impossible to assert with complete certainty what specific situation will develop on the market, what changes in the surrounding economic environment will entail the commissioning or new characteristics of functioning. industrial facility what unexpected technical obstacles or design problems may arise. Buyers may not like a new product, the situation in the market sector of this enterprise may change for reasons beyond the control of the entrepreneur, etc. However, having subjected the proposed idea to a comprehensive critical analysis, identifying potential dangers and analyzing the possible consequences, finally attracting Additional information, it is possible to envisage measures to neutralize or mitigate the undesirable consequences of the manifestation of certain financial risk factors.

Despite the fact that, theoretically, the consequences of the manifestation of financial risk can be both positive (profit) and negative (loss, losses) deviations, financial risk is characterized by the level of possible adverse consequences. This is due to the fact that the negative consequences of financial risk determine the loss of not only income, but also the capital of the enterprise and this leads to bankruptcy and termination of activities.

Blank I.A. financial risk means the likelihood of adverse financial consequences in the form of loss of income or capital in a situation of uncertainty in the conditions for carrying out its financial activities. Most risks fall under this definition of financial risk, since when most risks are realized, there is a loss of income, and uncertainty is a characteristic feature of any risk. In addition, the risk of losing liquidity (an element of financial risk) in an inflationary economy for an enterprise, as a rule, does not lead to monetary losses.

V.V. Kovalev defines financial risk as the risk associated with a possible lack of funds to pay interest on long-term loans and borrowings. However, this approach significantly narrows the content of the category. The above definition can be considered a special case of the characteristics of the risk of loss of liquidity of an enterprise.

Financial risk is not a fatal event, but a largely manageable process. Its parameters, its level, can and should be influenced. Since such an impact can only be exerted on the "perceived" risk, it must be treated rationally, ie. it must be studied, the manifestations of risk in economic situations must be analyzed, its characteristics must be identified and identified: the composition and significance of risk factors, the scale of the consequences of their manifestation, etc.

Determination of the acceptable value of the level of financial risk is an independent task of a special study. It is preceded by a lot of analytical work and special calculations, and the normative establishment of a certain level as acceptable is the prerogative of the top management of the enterprise. The border between an acceptable and unacceptable level of risk for an economic entity in different periods of entrepreneurial activity and in different sectors of the economy is different. For example, if we evaluate the risk on a probabilistic scale, then according to some data, for high-tech industries, the permissible probability of obtaining a negative result at the stage basic research is 5-10%, applied scientific developments about 80-90%, design and engineering developments 90-95%.

The economic and political development of the modern world generates new types of risks that are rather difficult to define and quantify. Business transnationalization is accompanied by the creation of complex financial and industrial relationships. Strengthening the computerization and automation of production and economic activities of entrepreneurial organizations leads to the possibility of losses due to failures in computer systems and in the operation of computer technology. In recent years, the risks associated with political factors have acquired particular importance, since they incur large losses for entrepreneurship.

In the field of financing, a project can be risky if it is primarily facilitated by:

- economic instability in the country;

- inflation;

- the current situation of non-payments in the industry;

- deficit of budgetary funds.

The reasons for the financial risk of the project include the following:

- political factors;

- fluctuations in exchange rates;

- state regulation of the discount bank rate;

- an increase in the cost of resources in the capital market;

- increase in production costs;

- lack of information resources;

- personal qualities of an entrepreneur.

Thus, the above reasons can lead to an increase in the interest rate, higher financing costs, as well as an increase in prices and services under contracts.

1. 2 Classification of financial risks and methods of their assessment

The concept of "risk" is inextricably linked with human life and has as many years as civilization has existed. Its existence is associated with the impossibility in many cases to reliably predict the onset of certain events that may not depend on the desires, preferences and actions of the subject.

Entrepreneurial activity, carried out in the harsh conditions of a market economy, is also no exception. When carrying out any type of economic activity, there is objectively a danger (risk) of losses, the volume of which is due to the specifics of a particular business. Risk is the likelihood of losses, losses, non-receipt of planned income, profit. Losses in business can be divided into material, labor, financial.

The risk of doing business is of a dual nature and includes not only unfavorable outcomes (losses), but also opportunities (for example, increased profitability). This combination of danger and opportunity clearly symbolizes the essence of risk and based trade-off in business decisions: the higher the risk posed by the danger, the greater the reward associated with the opportunity should be.

This view of risk is now common in many economic disciplines. In particular, it underlies one of the most common approaches in financial management, according to which risk is interpreted as the possibility of deviation of the actual results of the operations performed from the expected (predicted) ones. The wider the range of possible deviations, the higher the risk business transaction... In this case, the result of the operation is usually understood as its profitability, i.e. the amount of payments received, calculated as a percentage of the amount of costs incurred.

A classification is understood as a system of subordinate concepts of any area of ​​knowledge or human activity, used as a means of establishing links between these concepts. Thus, the classification of risks means the systematization of a set of risks based on any signs and criteria that allow combining subsets of risks into general concepts... Scientifically based risk classification contributes to a clear definition of the place of each risk in the overall system and creates the potential for the effective application of appropriate risk management methods and techniques. In my opinion, the most meaningful is the classification of banking risks proposed by Peter S. Rose, who identifies the following six main types of risk of a commercial bank and four additional types. P. Rose refers to the main types of risk as follows:

· Credit risk;

· The risk of imbalance in liquidity;

· Market risk;

· Interest rate risk;

· Risk of loss of profit;

· Risk of insolvency;

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

· Inflationary risk;

· Currency risk;

· Political risk;

· The risk of abuse.

The advantage of this classification is that this system includes both the risks arising within the bank and the risks arising outside the bank and affecting its activities.

At the same time, 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 risk groups and subgroups, 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., 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. 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 deterioration of 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:

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

Related to 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 the implementation of 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. In addition, the 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 risks of liquidity and decrease in capital, 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 Supervision and are called the Principles of Banking Supervision. This document contains 25 principles, the implementation of which is designed to be the minimum necessary condition for 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 (detailed structure of financial risks of a commercial bank), created by PricewaterhouseCoopers, called GARP (Table 1).

It is necessary to give brief description the risks listed in the table:

1. Credit risk is the risk of possible losses associated with deterioration of creditworthiness caused by the inability or unwillingness to fulfill their obligations in accordance with the terms of the agreement. For the bank, lending activity is the main one in the structure of active operations, therefore, the failure of the lender to fulfill its obligations leads to financial losses and, ultimately, leads to a decrease in capital adequacy and liquidity.

Table1.1. Commercial bank financial risk map

Risk class	Risk type	Kind of risk
Credit risk	Direct credit risk
	Estimated risk
	Credit Equivalent Risk
	Correlation risk
	Stock risk	Stock price volatility risk Risk of volatility volatility Basic risk Dividend risk
Market risk	Interest rate risk	Interest rate risk Yield curve risk Interest rate volatility risk Basis interest rate risk / interest rate spread risk Prepayment risk
	Currency risk	Risk of volatility in exchange rates Volatility of exchange rates Profit conversion risk
	Commodity risk	Commodity price risk Forward price risk Risk of volatility in commodity prices Basis commodity risk / downside risk
Portfolio concentration risk	Credit spread risk
	Tool risk
	Risk of material transaction
	Sector risk
Liquidity risk	Funding liquidity risk
	Asset liquidity risk
Operational risk	Transaction risk	Execution error Complexity of the product Accounting error Calculation error Delivery risk Risk of documentation / contract risk
	Operational control risk	Exceeding limits Unfair trading Fraud Laundering of money Security risk Key personnel risk Risk of processing the operation
	Systems risk	Programming errors Model error / methodology Market price error Management information Failure of computer systems Telecommunication systems error Emergency planning
Business event risk	Currency convertibility risk
	Reputation risk
	Tax risk
	Legal risk
	Contingency risk	Natural disasters. Hostilities. Crisis / Suspension of market operations
	Risk of legislation	Failure to comply with capital requirements. Changes in legislation

2. Market risk - a possible unfavorable deviation of the bank's financial results from the planned ones, caused by changes in market quotations (market prices).

3. Portfolio concentration risk - a class of risks associated with increased dependence of the bank on individual counterparties or groups of related counterparties, individual industries, regions, products or service providers.

4. Liquidity risk - the risk associated with a decrease in the ability to finance the accepted positions on transactions when the deadline for their liquidation comes, the inability to cover counterparties' claims, as well as collateral requirements, and, finally, the risk associated with the inability to liquidate assets in various segments of the financial market ... Maintaining a certain level of liquidity is carried out by managing assets and liabilities. The main task is to maintain an optimal balance between liquidity and profitability, as well as a balance between the terms of investments in terms of assets and liabilities. To ensure current liquidity, the bank must have a sufficient supply of liquid assets, which imposes restrictions on investment in low-liquid assets (loans).

5. Operational risk is the risk of losses associated with human actions (both deliberate and unintentional), technical failures or external influences.

6. Risk of a business event - a class of risks faced by a bank as an economic entity. These risks are not specific to banks; they are faced by any other business entity.

The presented classification covers all types of banking operations. The advantages of this classification include the allocation of the most problematic areas of financial risks in the bank's activities, taking into account fluctuations in market interest rates, specifying the risks of a business event. When considering various classifications of financial risks, one cannot fail to note the morphological table of risks of a commercial bank (Fig. 2) proposed by Savinskaya N.A., which can be used to create an information and analytical base for the systematic determination and study of banking risks.

Table 1.2. Morphological table of risks of a commercial bank

Morphological variable	Types of risk
Link logistics (flow type)	material	financial	informational
Process type	innovative	infrastructural	industrial
Place in the system	at the exit	in the process	at the exit
Subjective factor	individual	collective

This classification makes it possible to determine the sources and types of risk by tracing the links: flow - process - system characteristics - subjective factor, as well as to organize the structure and directions of a comprehensive analysis of emerging risks. Having analyzed various classifications of risks, we would like to note that each commercial bank has its own set of risks, depending on the specifics of banking activities. Although all banks have inherent balance sheet and off-balance sheet risks, risks of financial services and external risks, their combination, main areas, sizes and priority areas will evolve in different ways depending on the primary specialization of banks, which means that each type of banking activity will be characterized differently. ... So, for banks that are widely engaged in the accumulation of free funds and their placement among other credit institutions (JSCB Bank of Moscow, JSCB Evrofinance), the risks of deposit and deposit operations and the possible non-return of interbank loans will be decisive.

Banks specializing in innovation (OJSC Alfa-Bank, AKB RosBank, OJSC Investment bank"Trust"), the prevailing risks associated with long - and medium - term lending of new technologies, i.e. credit, market or portfolio risk. Banks specializing in servicing foreign trade operations (OJSC "Bank Foreign trade", ABGP" Gazprombank ") bear mainly risks associated with changes in the value of assets and liabilities due to changes in exchange rates, the risk of uncertainty in the value of the transaction in the future in national currency, the risk of transfer (differences in accounting for liabilities and active in foreign currencies). Thus, it seems that the classification of financial risks in banks should be based on the six fundamental risks identified by PricewaterhouseCoopers, which each credit institution further clarifies and supplements, depending on the profile of its activities.

The primary task of any commercial bank is to develop a risk map, which should, firstly, reflect the specifics of a particular credit institution; second, to display a holistic view of the entire set of risks (however, risks of different levels of consideration should not be directly combined into one group); and, thirdly, to highlight such characteristic signs risk as a source, an object that bears a risk and a subject that perceives a risk. The classification developed taking into account these requirements is intended for effective qualitative and quantitative risk assessment and is the basis for effective financial risk management of commercial banks.

1.3 Methods for assessing financial risks

Many financial operations(venture investment, purchase of shares, selling operations, credit operations, etc.) are associated with a rather significant risk. They require assessing the degree of risk and determining its magnitude.

The degree of risk is the likelihood of a loss event occurring, as well as the amount of possible damage from it.

The risk may be:

· Acceptable - there is a threat of complete loss of profit from the implementation of the planned project;

Critical - it is possible that not only profit will not be received, but also revenue and

coverage of losses at the expense of the entrepreneur;

· Catastrophic - loss of capital, property and bankruptcy of an entrepreneur are possible.

Quantitative analysis is the determination of the specific amount of monetary damage of individual subspecies of financial risk and financial risk in the aggregate. Sometimes a qualitative and quantitative analysis is carried out on the basis of an assessment of the influence of internal and external factors: an element-by-element assessment of the proportion of their influence on the operation of a given enterprise and its monetary value is carried out. This method of analysis is rather laborious from the point of view of quantitative analysis, but it bears its undoubted results in qualitative analysis. In this regard, more attention should be paid to describing the methods of quantitative analysis of financial risk, since there are many of them and some skill is required for their competent application.

In absolute terms, the risk can be determined by the amount of possible losses in material (physical) or value (monetary) terms. In relative terms, risk is defined as the amount of possible losses referred to a certain base, in the form of which it is most convenient to take either the property state of the enterprise, or total costs resources for this type of entrepreneurial activity, or the expected income (profit). Then we will consider a loss as a random deviation of profit, income, revenue downward. versus expected values. Entrepreneurial losses are primarily an accidental decrease in entrepreneurial income. It is the magnitude of such losses that characterizes the degree of risk. Hence, risk analysis is primarily associated with the study of losses.

Depending on the magnitude of the probable losses, it is advisable to divide them into three groups:

· Losses, the amount of which does not exceed the estimated profit, can be called acceptable;

· Losses, the amount of which is greater than the estimated profit, are classified as critical - such losses will have to be reimbursed from the pocket of the entrepreneur;

· Even more dangerous is the catastrophic risk in which the entrepreneur risks incurring losses in excess of all his property.

If it is possible to predict in one way or another, to estimate the possible losses for this operation, then a quantitative assessment of the risk that the entrepreneur is taking has been obtained. Dividing the absolute value of possible losses by the estimated cost or profit, we obtain a quantitative assessment of the risk in relative terms, as a percentage.

Speaking about the fact that risk is measured by the amount of possible probable losses, one should take into account the random nature of such losses. The probability of the occurrence of an event can be determined by an objective method and a subjective one. The objective method is used to determine the probability of an event occurring on the basis of calculating the frequency with which the event occurs. The subjective method is based on the use of subjective criteria that are based on various assumptions. Such assumptions may include the evaluator's judgment, his personal experience, the assessment of the rating expert, the opinion of the auditor-consultant, etc.

Thus, the assessment of financial risks is based on finding the relationship between certain amounts of enterprise losses and the likelihood of their occurrence. This dependence is expressed in the constructed curve of the probabilities of occurrence of a certain level of losses.

Plotting a curve is an extremely complex task that requires employees dealing with financial risk with ample knowledge of the experience. To plot the probability curve of a certain level of losses (risk curve), various methods are used: statistical; cost-benefit analysis; method of expert assessments; analytical method; method of analogies. Among them, three should be highlighted: the statistical method, the method of expert assessments, and the analytical method.

The essence of the statistical method is that the statistics of losses and profits that have taken place in a given or similar production are studied, the magnitude and frequency of obtaining one or another economic return is established, and the most probable forecast for the future is made. Undoubtedly, risk is a probabilistic category, and in this sense it is most scientifically justified to characterize and measure it as the probability of a certain level of losses occurring. Probability means the possibility of getting a certain result.

Financial risk, like any other, has a mathematically expressed probability of a loss, which is based on statistical data and can be calculated with a fairly high accuracy. To quantify the amount of financial risk, it is necessary to know all the possible consequences of any particular action and the likelihood of the consequences themselves. With regard to economic problems, the methods of probability theory are reduced to determining the values ​​of the probability of occurrence of events and to choosing from possible events the most preferable based on the largest value of the mathematical expectation, which is equal to the absolute value of this event, multiplied by the probability of its occurrence. The main tools of the statistical method for calculating financial risk are: variation, variance and standard (root-mean-square) deviation.

Variation is a change in quantitative indicators when moving from one outcome option to another.

Dispersion is a measure of the deviation of actual knowledge from its mean.

Thus, the magnitude of the risk, or the degree of risk, can be measured by two criteria: the average expected value, the variability (variability) of the possible result. The average expected value is that value of the magnitude of an event that is associated with an uncertain situation. It is a weighted average of all possible outcomes, where the probability of each outcome is used as the frequency, or weight, of the corresponding value. This calculates the expected result.

The cost-benefit analysis is focused on identifying potential risk areas, taking into account the indicators of the financial stability of the company. IN this case you can just get by with the standard methods of financial analysis of the results of the main enterprise and the activities of its counterparties (bank, investment fund, customer, issuer, investor, buyer, seller, etc.)

The peer review method is usually implemented by processing the opinions of experienced entrepreneurs and specialists. It differs from statistical only in the method of collecting information to construct a risk curve. This method involves the collection and study of estimates made by various specialists (the given enterprise or external experts) of the probabilities of occurrence of different levels of losses. These estimates are based on taking into account all financial risk factors, as well as statistical data. Implementation of the method of expert assessments is significantly complicated if the number of assessment indicators is small.

The analytical method of constructing the risk curve is the most difficult, since the underlying elements of game theory are available only to very narrow specialists. A subspecies of the analytical method is more often used - model sensitivity analysis.

Model sensitivity analysis consists of the following steps:

Selection of a key indicator, against which the sensitivity is assessed (internal rate of return, net present value, etc.);

Selection of factors (inflation rate, degree of state of the economy, etc.);

Calculation of the values ​​of the key indicator at various stages of the project (purchase of raw materials, production, sales, transportation, capital construction, etc.).

The sequences of costs and receipts of financial resources formed in this way make it possible to determine the flows of funds of funds for each moment (or period of time), i.e. define performance indicators. Diagrams are built, reflecting the dependence of the selected resulting indicators on the value of the initial parameters. Comparing the resulting diagrams with each other, it is possible to determine the so-called key indicators that most affect the assessment of the project's profitability.

Sensitivity analysis also has serious drawbacks: it is not comprehensive and does not specify the likelihood of alternative projects.

The method of analogies in analyzing the risk of a new project is very useful, since in this case the data on the consequences of the influence of unfavorable factors of financial risk on other similar projects of other competing enterprises are examined.

Indexation is a way to preserve the real value of monetary resources (capital) and profitability in the face of inflation. It is based on the use of various indices. For example, when analyzing and forecasting financial resources, it is necessary to take into account price changes, for which price indices are used. The price index is an indicator that characterizes the change in prices over a certain period of time.

Thus, existing ways Plotting the probability curve of a certain level of losses is not entirely equivalent, but one way or another allows you to make an approximate estimate of the total amount of financial risk.

2. Financial risk management of VTB24 CJSC

2.1 Characteristics of CJSC "VTB24"

VTB Bank 24 (closed Joint-Stock Company) (formerly - Closed Joint Stock Company "Commercial Bank for the Development of Entrepreneurial Activity" GUTA-BANK ") was established on the basis of the decision of the general meeting of the Participants of the Commercial Bank for the Development of Entrepreneurship Activity" GUTA-BANK "(limited liability company) (Minutes No. 77 dated March 31 2000 on the transformation of society).

The Bank is the legal successor of CB "GUTA-BANK" LLC for all its rights and obligations in accordance with the deed of transfer.

Until July 16, 2004, the Bank was part of a group of affiliated companies - GUTA Group, performing the functions of the main settlement center of the Group. In the summer of 2004, as a result of the "mini-crisis" on banking market, The bank faced a liquidity problem. The liquidity shortage negatively impacted the Bank's ability to meet all customer payment obligations in the specified period. Since the owners of the Bank, the Guta Group, were unable to consolidate funds in the required amount to promptly restore the Bank's liquidity, on July 16, 2004, they signed an agreement on the sale of a controlling stake in the Bank (85.81%) to Vneshtorgbank OJSC. Thus, the Guta Group lost control over the Bank on July 16, 2004.

Despite the liquidity crisis of 2004, as well as the associated outflow of clientele and a decrease in the volume of transactions, the Bank managed not only to recover its lost positions, but also to significantly increase its loan portfolio and resource base. On March 25, 2005, the Supervisory Board of OJSC Vneshtorgbank approved the development strategy of CJSC CB GUTA-BANK, according to which a specialized retail bank was created on the basis of the Bank, focusing on servicing and lending to individuals and small businesses within the VTB Group. Within the framework of the approved development strategy and in accordance with the decision of the general meeting of shareholders dated June 6, 2005, CJSC CB GUTA-BANK was renamed into CJSC Vneshtorgbank Retail Services. In the retail market, its activities were carried out using the Vneshtorgbank-24 trademark. On November 14, 2006 CJSC Vneshtorgbank Retail Services was renamed into VTB 24 (CJSC).

The Bank has a general license issued by the Central Bank of the Russian Federation to conduct banking operations in rubles and in foreign currency with legal entities and individuals, a license to carry out transactions with precious metals, a dealer's license in the securities market, a broker's license in the futures and options market, etc.

The bank is a member of the deposit insurance system.

In 2005-1st half of 2006. The bank underwent restructuring, received additional capital from parent bank, received a new name and a new management team.

VTB Bank 24 (closed joint stock company) - is a credit commercial organization, the main purpose of which is to make a profit.

Purposes of creation:

The bank was established with the aim of making a profit in the implementation of banking operations. CJSC “CB GUTA-BANK” specialized mainly in the provision of settlement services and lending to the “GUTA” group. VTB 24 (CJSC) specializes in providing banking services and lending to individuals and small businesses.

2.2 Analysis of financial risks of CJSC "VTB 24"

The formation of a financial risk management system is necessary, first of all, for such industrial enterprises, whose performance indicators indicate an unsatisfactory financial condition. This situation is reflected in the tables below.

Table 2.1. Profit change indicators

Analysis of the data in the table shows that sales revenue decreased in 2013 compared to 2012 by 2.11%, and in 2014 compared to 2013 - by 6.9%. Non-operating income increased in 2013 by 21%, and in 2014 compared to 2013 decreased by 113.3%. Operating income increased in 2013 by 39%, and in 2014 compared to 2013 decreased by 13.3%.

Investments of a credit institution - issuer in corporate debt obligations: promissory notes, bonds, etc. are subject to credit risk. In connection with the issue of mortgage-backed bonds, the credit organization - the issuer is exposed to credit risk on mortgages that are part of the mortgage coverage

Table 2.2. Formation of costs incurred by the organization

Index
		Specific gravity,%	Absolute value, thousand rubles	Specific gravity,%	Absolute value, thousand rubles	Specific gravity,%
Material costs
Labor costs
Deductions
Depreciation of fixed assets
Other costs

Analysis of the data in the table allows us to conclude that the costs incurred by the organization increased in 2013 compared to 2012 by 271%, in 2014 compared to 2013 - by 3%. The largest share in the composition of material costs was material costs (51% in 2012, 76.22% in 2013, 72.6% in 2014).

As for the formation of accounts receivable, the analysis of the data in the table allows us to conclude that in the period from 2012-2014. the enterprise increases the level of accounts receivable for a period of up to 12 months.

Compared to 2012, in 2013 the growth occurred by 15074802 thousand rubles. or 2838%. In 2008, compared to 2007, the level of accounts receivable increased by 23.5% and amounted to 19,272,833 thousand rubles. At the same time, the share of overdue accounts receivable increased from 12.7% in 2012 to 79% in 2014. Accounts receivable with a maturity of up to 12 months were repaid in 2014 by 384% more than in 2012, and in 2014 by 87.6% than in 2013.

Table 2.4. Formation of accounts receivable

Index
	Absolute value, thousand rubles		Absolute value, thousand rubles		Absolute value, thousand rubles
Emerged receivables(up to 12 months)
Incl. overdue
Accounts receivable (for more than 12 months)
Incl. overdue
Repaid in the reporting period (up to 12 months)
Incl. overdue
Repaid in the reporting period (with a maturity of more than 12 months)
Incl. overdue

The analysis of the movement of fixed assets led to the following conclusions:

1) for 2012 - 2014 there was an increase in the renewal period of fixed assets, which led to an increase in the fixed assets renewal ratio from 2.48 in 2012 to 5.77 in 2014.

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UDC 336.77

TO THE QUESTION OF MODERN APPROACHES TO THE MANAGEMENT OF FINANCIAL RISKS OF COMMERCIAL BANKS

Natalya Ivanovna Denisova, Cand. econom. sciences, head. Department of "Finance and Credit", e-mail: [email protected], Lyudmila Mikhailovna Chizhenko, Associate Professor of the Department of Economics and Finance

e-mail: [email protected], Ryazan branch of Moscow University named after S. Yu. Witte,

http://www.muiv.ru/ryazan

The article presents the risk-forming factors of banking. The modern approaches to the management of financial risks of commercial banks have been determined. The directions of reducing banking financial risks in modern conditions are revealed.

Key words: financial risks; commercial banks; control; credit risks; factors; risk; methods.

DOI: 10.21777 / 2307-6135-2017-1-80-83

One of the most important moments in the economic sphere of the Russian Federation during the formation of market relations is the development of effective mechanism business risk management. All kinds of risks are an integral attribute of entrepreneurship in all sectors of the economic and social sphere... But the banking sector is especially vulnerable in this aspect, represented by a network of credit institutions, most of which are commercial banks. The main source of profit for a commercial bank is the lending of its credit resources. In the context of the instability of the financial situation, the activities of commercial banks are associated with the presence of various kinds of risks, primarily associated with the possibility of non-return of the resources provided on a borrowed basis.

Borrowing activity is always accompanied by the presence of risks, granting loans is initially a risky type of business. Changes in financial markets in recent years, increased interaction between countries, and the internationalization of cash flows have contributed to the emergence of new development opportunities for banks, but at the same time, new risks are emerging. It is obvious that it is not possible to completely avoid risk in the conditions of market principles of management, and even more so in a crisis. Therefore, one of the priority tasks of banking is considered to ensure the minimization of financial risks, which would ensure maximum profit, reducing the possibility of losses in the process of conducting credit operations. Therefore, the most important component of the credit policy of a commercial bank is risk management in banking. The success of the bank's activities and the possibility of its further development largely depend on the effectiveness of the financial risk management of a commercial bank in the process of implementing its credit policy.

There is no single and clear definition of risk as an economic category. In the existing literature, the concept of risk, its properties and elements is interpreted ambiguously

but, there is no single approach to understanding its content, the ratio of objective and subjective sides. The variety of opinions about the essence of risk is explained, in particular, by the multidimensionality of this phenomenon, the almost complete absence of its interpretation in the existing legislation, as well as its insufficient consideration in real economic practice and management activities.

The possibility of deviating from the intended goal for the sake of which the chosen alternative was carried out;

The likelihood of achieving the desired result;

Lack of confidence in achieving the set goal;

The possibility of material, moral and other losses associated with the implementation of the alternative chosen in conditions of uncertainty.

These elements, in their interconnection and interaction, reflect the content of the risk. Let's pay attention to the following important element risk, as the presence of the probability of deviation from the chosen goal - such deviations can have both negative and positive consequences. It should be noted that there is a directly proportional relationship between the riskiness and profitability of transactions in market conditions in all areas of activity.

Credit organizations, playing an important role in the economic sphere of the modern world, are commercial structures whose activities pursue profit-making as their main goal.

Classification of risks depending on the degree of ensuring its sustainable development is essential to ensure an increase in the efficiency of the bank's activities.

To ensure effective management of banking risks, it is important to highlight the factors on which the risks depend. From these positions, groups of external and internal risks are traditionally distinguished. External risks include political, economic, sectoral, demographic, social, geographic and other risks.

Risk management involves developing strategy and tactics. The strategy involves the development of directions and ways to achieve the set goal, based on long-term forecasting and strategic planning. When developing a risk management strategy, it is necessary to proceed from the observance of the principle of break-even activity and a focus on ensuring the optimal balance of profitability and the level of risks assumed by the bank.

The strategy is predetermined by management tactics, including specific methods and techniques to achieve the set goal in specific conditions. The task of tactics is to choose from all the decisions that do not contradict the strategy, the most optimal option and the most acceptable in a particular situation management methods and techniques that help reduce the degree of risk.

The risk management system can be divided into three main stages, consisting in risk analysis (identification and assessment); risk control (monitoring) and risk minimization (leveling).

As the first stage, the analysis of risk is considered, which consists in the definition and assessment of risk. In the course of it, factors are identified that lead to an increase or decrease in a specific type of risk in the implementation of certain banking operations.

In the process of the next stage - risk control - measures are taken to identify the risk in a timely manner in order to reduce or eliminate it. There are three ways to control risk: by internal audit, external audit and internal control.

Risk aversion (represents the avoidance of activities related to

risk, that is, refusal from those operations that contain an unacceptable risk for the bank, which also means refusal to receive part of the profit);

Reducing risk (implemented mainly through self-insurance - reservation, diversification, limiting, minimization);

Transfer of risk to a third party (realized through insurance, hedging, distribution).

An important point in credit risk management is the analysis by the bank of the ability of existing and potential borrowers to repay the principal amount of the debt and make interest payments, as well as by obtaining collateral and guarantees. It is necessary to organize constant monitoring and subsequent control over overdue balances of loan debt.

Risk management occurs at three levels. For each level, different risk assessment and risk management methods are used.

1. Individual level: implies analysis, assessment and reasonable risk reduction for a specific transaction. Individual credit risk management is carried out, as a rule, for transactions that do not fall under the aggregate level.

2. Aggregated level: implies the development of programs and the development of criteria that must be met by the transaction, which allows you to limit the amount of risks taken by the bank. Credit risk management at the aggregate level is carried out, as a rule, for standard transactions with a credit risk volume not exceeding a specified value.

3. Portfolio level: implies an assessment of the aggregate credit risk, its concentration, dynamics, etc., as well as the development of proposals for setting limits and management decisions in order to reduce the risk.

The main factors that increase credit risk include:

Concentration of credit risk, manifested in the provision of large loans to individual borrowers or a group of related borrowers, as well as if the debtors of the credit institution belong to separate sectors of the economy, to the same geographic region, or in the case of other obligations that make them vulnerable to the effects of the same economic factors ;

A large share of loans and others banking contracts that fall on those experiencing certain financial difficulties clients;

Frequent or significant changes in the bank's lending policy;

A large proportion of new and recently attracted customers about which the bank does not have enough information;

Liberal credit policy of the bank (granting loans in the absence of the necessary information);

Concentration of the bank's activities in little-studied, new areas;

Availability of unsecured loans or pledging of low-liquid security.

An important role in ensuring protection against credit risks is played by the organization of banking control, in which the analysis of the quality of the loan portfolio takes the central place.

The loan portfolio acts as main source the bank's income and at the same time - as the main risk factor in the placement of assets. Its structure and quality predetermine the stability of the bank's activities, its reputation, and the magnitude of its financial results. The composition and structure of the portfolio is carefully analyzed by loan officers and senior officials in order to identify excessive concentration of loans in certain areas or among individual borrowers, as well as the presence of problem loans.

An extremely important role in this is played by the organization of bank monitoring

ring as the main method of banking control. Its purpose is to control the quality of the loan portfolio, conduct an independent examination, and timely identify deviations from the accepted standards and guidelines of the bank's credit policy.

The following can be named as its main directions:

1. Improvement in the field of organizational issues.

2. Improvement in the field of methodological issues.

The third area of ​​improving risk management is improving methods of credit risk management, one of the most important ways of which is to improve the quality of insurance protection against credit risks. Credit risk insurance is not common in Russia and is considered a new and underdeveloped area. But as the market is saturated with classic insurance products and under the pressure of increasing competition, insurers will need to turn to this type to meet the needs of policyholders and maintain their market positions. Through insurance, a person realizes one of his most important needs - the need for security.

Within the framework of cooperation between insurers and banks, the interest of banks in insurance protection against credit risks is gradually becoming evident in connection with the increase in lending volumes. At the same time, many Russian insurers are not yet ready to accept such risks for insurance.

Insurance is an area of ​​activity that is rather strictly regulated by the state.

Credit risk insurance for a commercial bank will vary depending on the types of active banking operations that are associated with credit risk, as well as the categories of borrowers.

Literature

1. On banks and banking activities: Federal Law of the Russian Federation dated 03.02.96 No. 17-FZ.

2. On auditing: Federal Law dated 30.12.2008 No. 307-F3.

3. On the organization of internal control in credit institutions and banking groups: Regulation of the Central Bank of the Russian Federation of December 16, 2003 No. 242-P.

4. Vdovina ON Insurance of credit risks of banks. http://www.ins-education.ru.

5. Glushchenko V. V. Risk management. Insurance. - M .: Infra-M, 2009.336 p.

6. Denisova NI, Chizhenko LM Liability insurance of car owners - new regional approaches // Potential of socio-economic development of the Russian Federation in new economic conditions: Materials of the II International scientific-practical conference. 2016.S. 177-186.

7. Denisova NI, Chizhenko LM, Chizhenko IP The insurance market of Russia: problems and development prospects // Bulletin of the Moscow University. S. Yu. Witte. Ser. 1: Economics and Management. 2016. No. 1 (16). S. 51-57.

8. Lavrushin OI, Afanasyeva ON, Kornienko SL Banking: modern lending system. - M .: KnoRus, 2012.264 p.

9. Lavrushin OI Banking risks. - M .: KnoRus, 2012.233 p.

10. Nikitina TV Banking management. - SPb .: Peter, 2012.160 p.

11. Tikhomirova A. V. Risks in anti-crisis management // Materials of the international scientific and practical conference. Issue 2. - M .: GUU, 2008.S. 132-141.

To the issue of modern approaches to financial risk management of commercial banks

Natalya Ivanovna Denisova, Candidate of Economics, head. the department of finance and credit, Ryazan branch of Moscow Witte University

Lyudmila Mihaylovna Chizhenko placed seconds, associate Professor of Economics and Finance, Ryazan branch of Moscow Witte University

The article presents the risk factors of banking. Identified modern approaches to financial risk management of commercial banks. Revealed reduce banking risks in modern conditions.

Keywords: financial risks, commercial banks management, credit risk, factors, risk, methods.

In the course of their activities, commercial banks are exposed to many risks. In general terms, banking risks are divided into 4 categories: financial, operational, business and emergency. Financial risks, in turn, include 2 types of risks: pure and speculative. Net risks - incl. credit risk, liquidity and solvency risks - if improperly managed, they can lead to a loss for the bank. Speculative risks based on financial arbitrage can result in gains if the arbitration is done correctly, or loss otherwise. The main types of speculative risk are interest rate, currency and market (or position) risks. Like any company operating in the market, the bank is subject to the risk of loss and bankruptcy. Naturally, while striving to maximize profits, the bank's management simultaneously strives to minimize the possibility of losses. These two goals contradict each other to a certain extent. Maintaining an optimal balance between profitability and risk is one of the main and most difficult problems of bank management. Risk is associated with uncertainty, while the latter is associated with events that are difficult or impossible to foresee. The credit portfolio of a commercial bank is exposed to all the main types of risks that accompany financial activities: liquidity risk, risk of changes in interest rates, risk of non-payment on a loan. The latter type of risk is especially important, since non-repayment of loans by borrowers brings large losses to banks and is one of the most common reasons for bankruptcy of credit institutions.

Credit risk depends on exogenous factors associated with the state of the economic environment, conjuncture, and endogenous, caused by erroneous actions of the bank itself. Opportunities to manage external factors are limited, although timely actions by the bank can to a certain extent mitigate their impact and prevent losses. However, the main levers of credit risk management lie in the internal policy of the bank.

The main task facing the banking sector is to minimize credit risks. To achieve this goal, a large arsenal of methods is used, including formal, semi-formal and informal procedures for assessing credit risks. Diversification allows minimizing credit risks of banks loan portfolio, the quality can be determined on the basis of an assessment of the degree of risk of each individual loan and the risk of the entire portfolio as a whole. One of the criteria that determine the quality of the loan portfolio as a whole is the degree of portfolio diversification, which is understood as the presence of negative correlations between loans, or at least their independence from each other. The degree of diversification is difficult to quantify, so diversification is rather a set of rules to be followed by a lender. The most famous of them are the following: do not provide loans to several enterprises of the same industry; do not provide loans to enterprises of different industries, but interconnected with each other technological process, etc. In fact, the desire for maximum diversification, representing the process of recruiting a wide variety of loans, is nothing more than an attempt to form a portfolio of loans with the most diverse types of risks in order to change the external economic environment where the borrowing enterprises operate did not have a negative impact on all loans. The ongoing changes in the economic environment should have a different impact on the position of borrowing enterprises. This means that under the most differentiated types of risks, lenders understand the most diverse response of loans to events in the economy. Ideally, it is desirable that the negative reaction of some loans, when the probability of their non-repayment increases, is compensated by the positive reaction of others, when the probability of their non-repayment decreases. In this case, it can be expected that the amount of income will not depend on the state of the market and will persist. It is important to note here that while it is rather difficult to define the concept of the diversity of risks by type, the diversity of the impact on the position of borrowers by changes in the economic environment is quite simple, since a natural measure of influence is the amount of lost income on a single loan in comparison with the planned one. In other words, the impact on credit is the difference between the planned and actual volumes of income on a single loan over a certain period of time.

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 performing foreign exchange operations is usually exposed to foreign exchange risk, then it will also be exposed to additional risk of liquidity and interest rate risk in the event that 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; from its organization: from the functioning of internal systems, including computer and other technologies; on the consistency of the bank's policies and procedures; from measures aimed at preventing management errors and against fraud (although these types of risk are extremely important and are covered by banking risk management systems, this work does not pay much attention to them, since it focuses on financial risks). 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.

Deposit risk is the risk associated with the possibility of non-return of deposits (non-repayment 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. Nevertheless, cases of realization of deposit risk occur not only in our country, but also in countries with developed market economy... Abroad, the insured of this type of risk is a bank, and insurance is carried out in a compulsory form.

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

Dear Chairman and members of the State Attestation Commission, we are offering your thesis on the topic - the monetary policy of the Central Bank of the Russian Federation. This topic is relevant at the present time, since today in Russia a rational monetary policy is designed to minimize inflation, promote sustainable economic growth, and maintain exchange rate ratios. exchange rate, at an economically justified level, stimulating the development of export-oriented and import-substituting industries, significantly replenish the country's foreign exchange reserves.
Analyze how the Central Bank coped with the tasks facing it at each stage economic reforms what steps need to be taken and what instruments of monetary policy to use in the future is the main goal of the study of this work.
As research methods, mainly statistical models and methods were used, such as the grouping method, comparative analysis, methods of classifications and graphic images.
The theoretical and methodological basis of the study were both general systematized courses on monetary circulation, and special editions and economic periodicals.
The information base of the research and practical material for the analysis, generalizations and conclusions formulated in this work were the reporting and forecast data of the Central Bank of the Russian Federation.

While researching the topic of my thesis, I came to the following conclusions:
As we all know, since the appearance of the first banks, the monetary and financial economy of many countries has been in a constant process of structural changes. The credit system is being rebuilt, new types of credit and financial institutions and operations are emerging, the system of relationships between banks and financial and credit institutions is being modified.
Significant changes are also taking place in the functioning of banks: the independence and role of banks in the national economy are increasing; the functions of the existing ones are expanding and new financial and credit institutions are being created; ways of increasing the efficiency of banking services for internal and external economic relations are being sought; there is a search for the optimal delineation of areas of activity and functions, specialized financial and credit and banking institutions; new banking legislation is being developed in accordance with the tasks of the current stage of economic development.
And in order to cope with these tasks, it is necessary to form a clear mechanism of monetary regulation, allowing the Central Bank to influence business activity, control the activities of commercial banks, and achieve stabilization of money circulation.
It is historically justified that monetary policy is a very effective instrument of influencing the country's economy, which does not violate the sovereignty of most of the subjects of the business system. Although at the same time there is a limitation of the scope of their economic freedom(without this, any regulation of economic activity is generally impossible), but the state influences the key decisions made by these entities only indirectly.
Ideally, monetary policy is designed to provide price stability, full employment, and economic growth — these are its ultimate and ultimate goals. However, in practice, with its help, it is necessary to solve more narrow tasks that meet the urgent needs of the country's economy.
The main objective of monetary policy today is to help the economy achieve a production volume characterized by full employment, no inflation, and growth. In our country, at this stage, a rational monetary policy should minimize inflation and decline in production, and prevent an increase in unemployment. The regulatory mechanism includes methods, instruments for regulating cash and non-cash banking operations and specific forms of control over dynamics money supply, bank interest rates, bank liquidity at the macro and micro levels.
In this regard, it seems to me correct to consider first such monetary policy instruments as central bank operations in the open market, changes in the norm required reserves and the discount rate, their role and application in the Russian economy, and then other monetary and credit instruments used by the Bank of Russia at the present stage, as well as proposed for use by economists.
We must not forget that monetary policy is an extremely powerful and therefore extremely dangerous tool. With its help it is possible to get out of the crisis, but the sad alternative is also not excluded - the aggravation of the negative trends in the economy. Only very balanced decisions taken at the highest level after a serious analysis of the situation, consideration of alternative ways of influencing the monetary policy on the economy of the state, will yield positive results. The central bank of issue of the state acts as a conductor of monetary policy. Without correct monetary policy pursued by the Central Bank, the economy cannot function effectively. The role of the Central Bank in the current conditions of economic development and stabilization is increasing day by day. central bank today is a key element of the financial and credit system of any developed state... He acts as a conductor of official monetary policy. In turn, monetary policy, along with the budgetary policy, forms the basis of all state regulation economy. The implementation of measures aimed at increasing the stability and competitiveness of the banking sector of the Russian Federation should be continued. In addition, the banking supervision system needs to be improved.
It seems that the gradual reduction in the participation of the Bank of Russia in the internal foreign exchange market will contribute to the transition to a free floating exchange rate regime, thereby the Central Bank will be able to focus its efforts on the most accurate achievement of inflation targets. It should not be forgotten that the support of the monetary policy of the Bank of Russia by the actions of the Government of the Russian Federation in the field of budgetary, tax, tariff, structural and social policy is an important part of the anti-inflationary policy in Russia.
The Central Bank of Russia is primarily concerned with the condition and stability of the country's banking system. It analyzes the degree to which banks comply with economic standards, the frequency of contributions to centralized funds, and determines the effectiveness of state regulation of banking activities.
The status, tasks, functions, powers and principles of the organization and activities of the Central Bank of the Russian Federation, the structure of the banking system of Russia and its functions, as well as the types of activities of commercial banks and methods of regulation and control of their work, allowing to ensure a balance of aggregate supply and demand, are determined by the laws "On the Central Bank of Russia ”and“ On Banks and Banking Activities ”. In these documents, direct integral and continuous control and supervision over the activities of commercial banks in Russia is the prerogative of the Central Bank of the Russian Federation. This axiom is necessary in order to ensure the stability of individual banks and the entire system as a whole. Thus, the Central Bank of Russia is the “weather vane” of the state, which indicates the direction of Russia's monetary and financial policy, and hence the level of well-being of Russians.
So, monetary policy is the activity of public authorities and administration aimed at regulating relations related to lending and monetary circulation, the purpose of which is the economic growth of the state, full employment of resources in the country's economy, price stability, stability of the national currency.
To achieve these goals, central banks of states use various instruments. The most famous of them are open market operations, changes in the required reserve ratio and the refinancing rate. IN Russian legislation their application is also envisaged, but these instruments do not have a proper impact on the country's economy. This is primarily due to the underdevelopment of the investment and stock market in Russia. Even though in recent years the credit investments of Russian banks in the non-financial sector have been increasing, their level is still very insignificant: 13-15% of the GDP, which is almost four times less than the global norm. The influence of the stock market also remains insignificant, since the total market value of enterprises' shares circulating on the market does not exceed 20% of GDP, which is 3-5 times less than in Western Europe.
Thus, the main goal of monetary policy in Russia at the present stage should be to create favorable conditions for investment, primarily in the real sector of the economy.
On November 25, 2005, the Bank of Russia Bulletin published the Main Directions of the Unified State Monetary Policy for 2006. The main goal of state monetary regulation, as before, is to limit the growth of consumer prices (within 7-8.5%), for which the Bank of Russia will use already known instruments: deposit auctions to attract funds from credit institutions (by period from two weeks to three months), auctions of exchange-traded repo for the sale of OFZs with an obligation to repurchase (for a period of 28 days to six months), direct sales by the Bank of Russia of government bonds from its portfolio without an obligation to repurchase, holding pawn credit auctions, overnight and intraday loans. In 2006, the Bank of Russia provided for the issue of its own bonds for up to one year. Such a policy, in the opinion of the Bank of Russia, will ultimately help to stimulate investment and increase the rate of economic growth in the processing industries.
As shown by the studies in this work, through the implementation of monetary policy over the past few years, conditions have been created for sustainable development of the economy and maintenance of financial stability (for this purpose, the Bank of Russia has made (and continues to do) the main emphasis on a steady reduction in inflation, in addition, The Central Bank of the Russian Federation exercised control over the formation of money supply and regulated the liquidity of the banking system, taking into account trends in the development of demand for money). Certain regulatory tendencies have emerged: increasing the attractiveness of the national currency as a means of saving and payment, the formation of the money supply in the required volumes, liberalization currency regulation and building confidence in the country's banking system. The implementation of the outlined trends, as well as further economic growth, will be facilitated by the most efficient use of monetary policy instruments.
As it was revealed in the course of the study, the main problems of monetary policy are the short-term effect of the measures taken, as well as the insufficient effectiveness of the instruments of the studied mechanism, mainly the refinancing system, deposit instruments, and interest rate policy. In particular, the interest rate policy, when the refinancing rate exceeds market rates, and the interbank market rates are formed regardless of the existing refinancing rate, leads to the fact that many credit institutions find themselves in a situation of practical impossibility of obtaining funds either from the market or from the Central Bank. Deposit operations are unattractive even in conditions of an excess of liquidity due to very low rates, and due to a poorly functioning refinancing system, the mechanism of monetary regulation is distorted even if all other instruments are effective.
All of the above indicates that it is necessary to find new ways to develop and improve the system of monetary regulation. First of all, in order to achieve goals in the long term, it is necessary to maintain monetary policy The Bank of Russia through the actions of the Government of the Russian Federation in the field of budgetary, tax, tariff, structural and social policy,
Secondly, you should pay Special attention elimination of the shortcomings of the used instruments of monetary regulation. In particular, to change the approach to setting the refinancing rate and market rates (setting them at the same level), which will contribute to more efficient maintenance of the banking sector's liquidity. In order to improve the efficiency of sterilization of funds, it is necessary to revise the rates on deposit operations. In addition, it is necessary to restructure the existing refinancing system by making changes taking into account national specifics, in particular, to change the existing Lombard list, expand the practice of using such an important refinancing instrument as the provision of medium-term loans secured by banks' credit requirements to clients, etc.
In fact, solving a number of problems will create a modern system of monetary regulation, which will contribute to stability in banking sector and will give a powerful impetus to further economic growth.

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