The current financial and economic situation, as well as requirements of consumers changes very quickly. For this reason, banks have to update their portfolio of the services all the time. Nevertheless, lending remains one of the most important and most profitgenerating activities for the banks. Providing loans, banks are exposed with many risks: credit risk, liquidity risk, market risk, operational risk and others. Usually, the most important risk is credit risk. Often it comes from undue concentration of loan portfolios. Concentration risk in loan portfolios arises from uneven distribution of credit across sectors or providing large loans to individual borrowers. In this context, this article analyses definition and importance of concentration risk in the loan portfolio. Causes of concentration risk and methods that are used to measure concentration risk are also examined in this article. The third part of this article analyses how the loan portfolio changed in Lithuanian bank's during 2004-2010 years. Concentration risk in the loan portfolio, depending on the loans given for different sectors of economic activity, is measured in this article as well.
Šalies finansinio stabilumo analizės ir vertinimo reikšmė ypač išaugo paskutinės pasaulinės finansų krizės kontekste. Šalies finansinis stabilumas -ganėtinai naujas ir įvairialypis tyrimo objektas, todėl svarbi jo tyrimų sritis yra finansinio stabilumo matavimo metodai. Šiame straipsnyje siekiama identifikuoti svarbiausius ir plačiausiai pripažįstamus finansinio stabilumo matavimo metodus. Iš pradžių pristatoma finansinio stabilumo samprata. Tada apžvelgiami svarbiausių organizacijų finansinio stabilumo tyrimų srityje išvystyti finansinio stabilumo matavimo metodai. Pirma aptariami Tarptautinio valiutos fondo finansinio patikimumo rodikliai, tada pereinama prie Europos centrinio banko makroprudencinių rodiklių, abu rinkiniai tarpusavyje palyginami. Siekiant išsamios finansinio stabilumo analizės rekomenduojama derinti abu rodiklių rinkinius. Paskutinėje dalyje aptariami bandymai sukonstruoti agreguotą finansinio stabilumo indeksą. Tačiau galima teigti, kad dėl finansinio stabilumo kompleksiškumo sudėtinga suformuluoti vieną indeksą, todėl apžvelgti bandymai yra lokalūs ir neturi tarptautinio pripažinimo. PAGRINDINIAI ŽODŽIAI: finansinis stabilumas, bankininkystės sektorius, matavimo metodai.
The aim of this paper is to provide a structural review by analysing aspects of the relationship between prudential policy and systemic risk. It addresses the current research challenges associated with a lack of macro-prudential policy formalisation, guidance regarding its implementation and effectiveness measurement. Given the rising levels of interconnectedness between financial markets, the paper addresses the potential contagion or spill-over effects that foster change in systemic risk, especially in the case of market size differences. Finally, the paper discusses challenges associated with macro versus micro-prudential policy implementation, addressing difficulties in the measurement of systemic risk.
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