DEVELOPMENT OF A TOOLKIT FOR MEASURING THE BANK'S RISK PROFILE

Abstract

The article is devoted to an overview of the significant risks of banks and existing approaches to their measurement. Attention is paid to credit, interest, market, operational and liquidity risks. To calculate liquidity risk, several variants of the VaR method for estimating the volatility of model parameters were considered. For interest rate risk, an estimate of the change in the economic value of the bank's capital and the value of the bank's net interest income were used. The article also presents approaches to modeling operational risks. Credit risk is the most formalized and can be used as the basis for forming an aggregated approach. Each bank develops its own models and methods of risk assessment, adapting them to the specifics of the business model. The calculation of a bank's risk profile depends on the nature and volume of its operations, the characteristics of its banking products and its customer base. Some approaches to assessing individual risk categories only examine the parameters that describe that risk. To calculate the risk profile of banks, it is necessary to aggregate data on possible losses from significant risks in monetary terms. Risk assessment is an important component of the bank's risk management system. For the coordinated interaction of all links, it is important for the bank to ensure a reasonable calculation of risk and risk appetite, which sets the maximum limit for possible losses. The system of control indicators and limits for risk management is based on risk profile calculations. Improving risk management methods and models is an important scientific and practical problem. To improve the tools for measuring a bank's overall risk profile, it is necessary to combine banks that are homogeneous in terms of the structure of assets, liabilities, income, expenses, and qualitative characteristics. The method of structural-functional groups of banks using Kohonen self-organizing maps is presented. This method allows you to assess the specifics of banking risks at a certain period of system development, identify market participants with similar characteristics, and compare your own risk management strategy with others.