Methodical Approaches to Risk Management in a Regional Commercial Bank
DOI:
https://doi.org/10.17059/2016-1-21Keywords:
regional commercial bank, integrated risk management, stress tests, banking market, financial instruments, business process, risk indicator, liquidity of assets, bank riskAbstract
The article presents the results of the research of the methodological and information infrastructure of the integrated risk management in a regional commercial bank. Within the study of the general development tendencies of the regional banking services market, the most significant risks for a regional bank are revealed. The analysis is carried out on the basis of the stress testing technique developed at the Plekhanov Russian University of Economics. It is based on a technique of dynamic economic and mathematical modeling with the application of information technologies. The created combination of the methodological and instrumental tools allows to carry out the dynamic scenario analysis of the activity of a commercial bank for the identification of potential risks and for the development of the strategy of financial management reducing the potential risks and leveling the consequences of their realization. The received tool allows during the computer test to watch the predicted dynamics of the condition of the key indicators of the activity of a regional commercial bank changing under the influence of the exogenous regulatory measures and instruments of bank management applied to decrease risk and at the same time to introduce adjustments in the perspective strategy of management. As the result of the analysis, the universal management model of the main bank risks in a regional commercial bank within three alternative scenarios is created. The software product allowing to develop and acquire the practical skills of the students in banking is developed. It also may help to develop the methodological support for the regulation of the organizational procedures of risk management in a regional commercial bank. The received software product may be used in a system of the improving the professional skills, and also for obtaining the expected data in a risk management system in a regional commercial bank.References
Sukharev, O. S. (2015). Regionalnaya ekonomicheskaya politika. Strukturnyy podkhod i instrumenty [Regional economic policy: a structural approach and tools]. Ekonomika regiona [Economy of region], 2, 9–23.
Costa, O., Khan, J., Levy, C. & Natale, A. (2014, September). Risk in Emerging Markets. USA: McKinsey & Company, 19.
Bessis, J. Risk Management in Banking: Third edition. N.Y.: Wiley Publishing, 840.
Pyle, D. H. (1997, May 17–19). Bank Risk Management: Theory. Conference of Risk Management and Regulation in Banking. Jerusalem: UC Berkeley, 16.
Vayn, S. (2013). Optimizatsiya resursov sovremennogo banka [Resource optimization of a modern bank]. Moscow: Alpina Publ., 194.
Markov, M. A. (2015). Mezhbankovskiy biznes. Tseli i printsipy osushchestvleniya, osnovnyye instrumenty i tsenoobrazovanie na nikh [Interbank business: the purposes and principles of implementation, basic tools and pricing on them]. Upravlenets [Manager], 2(54), 46–52.
Christopher, J. (1996). RAROC based capital budgeting and performance evaluation: a case study of bank capital allocation. Working Paper 96–40. Philadelphia: The Wharton Financial Institutions Center, University of Pennsylvania, 34.
Martynenko, N. N. & Lyalkova, E. Yu. (2013). Obespechenie likvidnosti bankov v usloviyakh stanovleniya banka Rossii v kachestve megaregulyatora [Provision of bank liquidity in the conditions of the formation of a Russian as the megaregulator]. Bankovskoye delo [Banking], 10, 70–75.
Isaev, R. A. (2013). Bankovskiy menedzhment i biznes-inzhiniring: v 2t. — T1. — 2-e izd. pererab. i dop [Bank management and business engineering: in 2 vol. — Vol.1. — 2nd revised and enlarged edition]. Moscow: Infra-M Publ., 286.
Maslenchenkov, Yu. S. (2003). Finansovyy menedzhment banka: ucheb. posobie dlya vuzov [Financial management of banks]. Moscow: YuNITI-DANA Publ., 399.
Meyer, A., Armstrong, J. & Zelmer, M. (2006). An Overview of Risk Management at Canadian Banks. Financial system Review, 39–47.
Abdyukova, E. I. (2014). Operatsionno-stoimostnoy analiz finansovykh instrumentov v sisteme operativnogo upravleniya bankovskim riskom [The operation cost analysis of financial instruments in the operational management of banking risks]. Vestnik RGTEU [Bulletin of the Russian State University of Trade and Economics], 6(86), 21–22.
Avagyan, G. L. & Saitova, M. Yu. (2012). Regionalnyy bankovskiy klaster [Regional bank cluster]. Moscow: Magistr Publ.; Infra-M Publ., 224.
Valentey, S. D., Bakhtizin, A. R., Bukhvald, E. M. & Kolchugina, N. V. (2014). Trendy razvitiya rossiyskikh regionov [Trends of the development of the Russian regions]. Ekonomika regiona [Economy of region], 3, 9–21.
Altukhova, E. V. & Zotov, V. A. (2015). Tekhnologicheskaya osnova risk-menedzhmenta v kommercheskom banke [The technological basis of risk management in commercial bank]. Sistemnyy administrator [System administrator], 7–8(152–153), 138–139.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2016 E.V. Altukhova, V.A. Zotov, M.A. Markov
This work is licensed under a Creative Commons Attribution 4.0 International License.
