VAR-TECHNOLOGY FOR ASSESSING THE BANK'S CURRENCY RISK
Abstract
The article substantiates the relevance of the problem of assessing market risks in banking. Market risk is the risk arising from changes in the value of on- and off-balance sheet positions resulting from changes in market factors (prices). The essence and types of market risks of a bank are studied. Generally, market risk can be classified into four categories, including interest rate risk, currency risk, equity risk and commodity risk. One of the main market risks of the bank is currency risk, which is associated with the possibility of losses due to fluctuations in foreign exchange rates. The content and tasks of managing the bank's currency risk are analyzed. Risk management is defined as the process by which the bank identifies measures, monitors and controls of currency risk. The main directions of identification of currency risk in banking activities are determined. The factors influencing the amount of currency risk of a bank and the stages of the process of its assessment are characterized. It is established that the assessment of currency risk for determining the capital adequacy of banks can be carried out using internal models. The internal models for assessing a bank's currency risk are based on VaR technology. The quantitative standards that should be met by internal models of currency risk assessment based on VaR technology are investigated. The main methods of determining the VaR indicator are analyzed and their advantages are determined. Algorithms for assessing the currency risk of a bank based on the determination of the VaR indicator by the parametric method and the method of historical modeling are developed. It is proposed to take into account seasonality and determine the weighted volatility of exchange rates when determining the VaR indicator. A formula for determining the aggregate currency risk of a bank based on its open currency positions is proposed. The advantages and disadvantages of VaR technology as a method for assessing the currency risk of a bank are researched. The necessity of improving the assessment of the bank's currency risk by using the VaR methodology in combination with stress testing based on the CVaR indicator is substantiated.
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