The implementation of international standards for the bank risk assessment and market risk, in particular, in Ukrainian banking practice is aimed at achieving common standards for regulating banking activities in different countries. This should help to increase the banking sector stability in Ukraine and, accordingly, increase the interest of foreign investors.The article deals with the methodological approaches to assessing the bank market risk (in particular, SA, IMA and R-SbM approaches) recommended by the Basel Committee on Banking Supervision in terms of standardization and unification of the normative framework of capital requirements for Ukrainian banks. Considering the analysis results, it was determined that the choice and implementation of an optimal approach in the context of Ukrainian banking practice can be carried out in one of two alternative scenarios: 1) a simplified version of a sensitivity based method (R-SbM); and 2) a recalibrated version of the Basel II standardized approach. In this case, the Basel II recalibrated version is more acceptable for use by banks, since it is most relevant to volume and complexity of transactions carried out by Ukrainian banks.The obtained results are aimed at improving the existing methodology for calculating the adequacy ratio of banks' regulatory capital (N2), which currently considers only the needs for credit risk coverage, and at refining the methodology in terms of considering banks' market-risk coverage needs.
ВПЛИВ БАНКІВСЬКИХ РИЗИКІВ НА ФІНАНСОВУ БЕЗПЕКУ БАНКІВ У статті проаналізовано вплив банківських ризиків на фінансову безпеку банків. Розглянуто сукупність ризиків із точки зору суттєвості їх впли ву на фінансову безпеку банку, вбудовування процесу оцінки ризиків в систему управління ризиками, механізми/інструменти управління ризиками, які спрямовані на забезпечення ефективності функціонування, упередження/ недопущення загрози стабільності банку в разі реалізації ризиків. Ключові слова: фінансова безпека; банківські ризики; система управління ризиками; механізми/ інструменти управління ризиками; зовнішні/внутрішні загрози.
Due implementation of debtors’ financial solvency assessment models by Ukrainian banks with the aim of calculating the probability of their default (PD) is the next step towards the integration of Ukrainian banking system into global banking community, convergence of methodical approaches to assessing the credit risk with standards of international practice, possibility of using IRB-approach (an approach based on internal ratings) for calculating the regulatory requirements to capital adequacy.The analysis of approaches to bank credit portfolio segmentation according to types of debtors and debtors’ financial solvency assessment models, depending on the performed segmentation and accumulated bank statistical data, from the point of view of its suitability for Ukrainian banks, will enable the banks to choose the most suitable ones for implementation taking into account nature and complexity of operations performed.Such approaches will be more adapted to minimum capital requirements, simultaneously agreeing with national supervisory priorities.
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