Banking risks. Speech for the defense of the diploma "Improving methods for assessing credit risk": an example, sample, free, download Financial risks in banking

Banking risks are divided into four categories: financial, operational, business and extraordinary.

Financial risks include two types of risks: pure and speculative.

Pure risks (credit risk, liquidity and solvency risks) can, if not properly managed, lead to a loss for the bank.

Speculative risks (interest, currency and market (or position) risks) based on financial arbitrage can result in a profit if the arbitrage is done correctly, or a loss otherwise.

Like any organization operating in market conditions, the bank is exposed to the risk of losses and bankruptcy. Bank management, seeking to maximize profits, at the same time wants to minimize the possibility of losses. Maintaining an optimal ratio between profitability and risk is one of the main and most difficult problems of bank management.

Risk is associated with uncertainty associated with events that are difficult or impossible to foresee. The loan portfolio of a commercial bank is subject to all the main types of risk that accompany financial activities: liquidity risk, interest rate risk, loan default risk. The latter type of risk is especially important, since the failure to repay loans by borrowers brings large losses to banks and is one of the most frequent causes of bankruptcy of credit institutions.

Credit risk depends on exogenous factors associated with the state, economic environment, market conditions, and endogenous factors caused by the erroneous actions of the bank itself. The ability to manage external factors is limited, although the bank can mitigate their impact to a certain extent and prevent losses by timely actions. However, the main levers of credit risk management lie in the sphere of the bank's internal policy.

The credit risks of banks can be minimized by diversifying the loan portfolio, the quality of which can be determined on the basis of assessing the degree of risk of each individual loan and the risk of the entire portfolio as a whole.

The degree of diversification of the loan portfolio - the presence of negative correlations between loans or their independence from each other.

The degree of diversification is difficult to quantify, so diversification rather refers to a set of rules that a lender must adhere to, such as: not lending to several enterprises in the same industry; non-provision of credit to enterprises of different industries interconnected with each other by the technological process, etc.

The desire for maximum diversification, which is the process of collecting a wide variety of loans, is an attempt to form a portfolio of loans with the most diverse types of risks so that changes in the external economic environment where borrowing enterprises operate do not have a negative impact on all loans. The ongoing changes in the economic environment should affect the situation of borrowing enterprises in different ways. This means that under the most differentiated types of risks, lenders understand the most diverse response of loans to events in the economy. In this case, we can expect that the amount of income will not depend on the state of the market and will be preserved.

Different types of financial risks, in addition, are closely interrelated, which can significantly increase the overall risk profile of banks. For example, a foreign exchange bank is generally exposed to foreign exchange risk, but it will also be exposed to additional liquidity and interest rate risk if it has open positions or maturities of claims and liabilities in a net futures position.

Deposit risk - the risk associated with the possibility of non-return of deposits (non-redemption of certificates of deposit). This risk is quite rare and is associated with an unsuccessful choice of a commercial bank for the organization's deposit operations.

45. International financial and credit institutions.

INTERNATIONAL FINANCIAL INSTITUTIONS

In order to develop cooperation and ensure the integrity and stabilization of the world economy, mainly after the Second World War, international monetary and financial organizations were created. Among them, the leading place is occupied by the International Monetary Fund (IMF) and the World Bank Group (WB).

The IMF and the WB group have common features. They are organized by analogy with a joint-stock company. Therefore, the share of the contribution to the capital determines the possibility of the country's influence on their activities. The headquarters of the IMF and the WB group is located in Washington. The WB Group includes the International Bank for Reconstruction and Development (IBRD) and three of its branches.

The main tasks of the IMF are as follows:

– promoting a balanced growth of international trade;

- providing loans to member countries to overcome currency difficulties associated with the deficit of their balance of payments;

– abolition of currency restrictions;

– interstate currency regulation by monitoring compliance with the structural principles of the world monetary system, fixed in the charter of the fund.

The IBRD, like the IMF, provides not only stabilization, but also structural loans. Their activities are interconnected.

The specifics of the IBRD is that it has three branches:

1) International Development Association (IDA, established in 1960), provides preferential interest-free loans;

2) International Finance Corporation (IFC, established in 1956), stimulates the direction of private investment in the industry of developing countries;

The Multilateral Investment Guarantee Agency (MIA, established in 1988) provides insurance.

International financial institutions - the IMF and the WB group - play an important role in regulating international credit relations.

The European Bank for Reconstruction and Development (EBRD) was established in 1990 and is based in London. The main goal of the EBRD is to facilitate the transition to a market economy in the countries of the former USSR, countries of Central and Eastern Europe. The EBRD lends to projects only within certain limits.

The EBRD specializes in lending to production, providing technical assistance for the reconstruction and development of infrastructure, and equity investments, especially for privatized enterprises. The EBRD's primary areas of activity, including in Russia, are the financial and banking sectors, energy, telecommunications infrastructure, transport, and agriculture.

Regional monetary and financial organizations of Western European integration are an integral part of its institutional structure. They aim to strengthen integration and create an economic, monetary and political union (EU). The main regional organizations of the EU are: European Investment Bank (EIB, Luxembourg), European Development Fund (EDF, 1958), European Fund for Guidance and Guarantee for Agriculture (1969), European Regional Development Fund (ERDF, 1975). ), European Monetary Institute (EMI, Frankfurt am Main, 1994).

A special place among international monetary organizations is occupied by the Bank for International Settlements (BIS, Basel, 1930). Essentially it is a bank of central banks. The BIS facilitates their cooperation, accepts their deposits and provides loans.

International financial and credit institutions were created and operate on the basis of interstate agreements to regulate international economic relations. These include: Bank for International Settlements (BIS), IMF, World Bank Group, European Bank for Reconstruction and Development (EBRD), European Central Bank (ECB).

Bank for International Settlements (BIS) is the world's oldest financial institution. It was created in 1930 on the basis of the Hague Agreement of Central Banks of six countries (Belgium, Great Britain, Germany, Italy, France, Japan) and the Convention of these states with Switzerland, where the BIS (Basel) is located. The founders of the BIS and the initial subscribers to its shares were, along with the central banks of these countries, US commercial banks headed by the Morgan banking house. The US Federal Reserve Banks have a correspondent relationship with the BIS. US representatives participate in forums organized by the BIS. Unlike the IMF and the World Bank, the leading position in the BIS belongs to the countries of Western Europe.

BIS is an international bank of central banks. Currently, the BIS includes 34 countries, including Russia (since 1996).

The main activities of the BMR:

1) promoting cooperation between central banks in the field of monetary and foreign exchange policy in order to stabilize international monetary and credit relations (performs joint foreign exchange interventions of central banks in order to support the rates of leading currencies, organizes meetings of central bank governors in order to coordinate world monetary and credit policy);

2) an agent and manager in various international currency, settlement and financial transactions, a trustee or a depository bank for international loans;

3) provision of an interim loan guaranteed by the central bank to countries awaiting an IMF loan;

4) leading information and research center. BIS Annual Reports is one of the most respected economic publications in the world.

Created under the BIS Basel Committee on Banking Supervision published a periodically updated Basel Concordat on the problem of improving banking supervision (especially for the international operations of banks), developed the Basel Agreement (1988) on the international unification of capital calculation and on capital standards (Basel-1). Leading banks, including Russian ones, are required to comply with these requirements. In the early 2000s new requirements (Basel-2) were developed to determine risk-based capital adequacy, banking supervision and compliance with market discipline (transparency and reliability of information).

International Monetary Fund (IMF) recognized as the main interstate body for regulating world monetary and credit relations. The IMF has the status of a specialized agency of the United Nations. It was established at the UN International Monetary and Financial Conference (1944) in Bretton Woods (USA) and began to function in 1946. The seat of the governing bodies is Washington (USA). 184 countries are members of the IMF (2004). Russia became a member of the IMF in 1992.

The capital of the IMF consists of contributions from member countries. Each country has a quota, expressed in special drawing rights (SDRs), that determines the amount of subscription (contribution) to the capital of the IMF. The size of the quota is set on the basis of the share of the country in the world economy. The number of votes that a member country has in the governing bodies of the IMF depends on the size of the quota.

The main activities of the IMF:

1) regulates international monetary relations, a) creating international liquid assets in the form of SDRs to increase the reserves of member countries, b) regulating the exchange rate regime of member countries, c) seeking them to eliminate currency restrictions on current international transactions;

2) regulates international credit relations a) by providing loans to member countries, b) by providing intermediary services to creditors and borrowers, and also c) as a guarantor of the solvency of debtor countries (reaching an agreement on the provision of a loan by the IMF is regarded as an indicator of international confidence in the country - borrower);

3) carries out constant supervision of a) the macroeconomic and monetary policies of the member countries and b) the state of the world economy. States are required to regularly provide the Fund with a wide range of information about the state of their economy.

The World Bank, or world bank group is a specialized agency of the United Nations. The group includes: International Bank for Reconstruction and Development (IBRD) and four of its branches(International Development Association (MAR), International Finance Corporation (IFC), Multilateral Investment Guarantee Agency (MAGI) and the International Center for Settlement of Investment Disputes ( ICSID). Place of stay – Washington.

The head structure of the WB group is the IBRD. It was established simultaneously with the IMF on the basis of the Bretton Woods agreements in 1944, began to function in 1946. An indispensable condition for membership in the IBRD is joining the IMF. The activities of the IBRD and the IMF are mutually linked, they complement each other.

The purpose of creating IBRD was the accumulation of capital from the world market to finance the economy of Western European countries, undermined as a result of the 2nd World War. Since the mid 1950s. IBRD switches to lending to the economies of developing countries. In the 1990s the object of its activity are countries with economies in transition. Russia has been a member of the IBRD since 1992.

The main activities of the IBRD:

1) investment activities in developing countries in a wide range of areas (health, education and the environment, infrastructure, structural economic reforms);

2) analytical and advisory activities on economic issues;

3) mediation in the redistribution of resources between rich and poor countries.

IBRD provides long-term loans (15-20 years), both stabilization and structural (for the implementation of programs aimed at structural reforms in the economy).

First regional development banks were created in the 60s. in Latin America (Inter-American Development Bank - IDB), Africa (African Development Bank - AfDB), Asia (Asian Development Bank - ADB). Main purpose of their creation long-term lending for development projects of the respective regions (infrastructure projects, projects for the development of enterprises in the extractive and manufacturing industries).

Established in 1990 European Bank for Reconstruction and Development (EBRD). Location - London. the main objective The EBRD is to promote the transition of the countries of Central and Eastern Europe, including the CIS, to a market economy, the development of private entrepreneurial initiative and the promotion of investment in the region.

The main objects of EBRD lending are private firms or state-owned enterprises being privatized, newly created companies, including joint ventures with foreign capital. The EBRD works with other investors and lenders to provide loans and guarantees and to invest in equity.

The main activities of the EBRD:

1) financial, banking sectors, energy, telecommunications infrastructure, transport, agriculture;

2) support for small businesses;

3) advisory services in the development of development programs;

4) assistance in the privatization of enterprises, their structural

restructuring and modernization.

The European Central Bank (ECB) is a supranational central bank. It occupies a leading position in the structure of institutions responsible for maintaining the stability of the euro and the overall macroeconomic balance in the European Union (EU).

The ECB and the 12 central banks of the Eurozone countries form Eurosystem. Eurosystem led by the ECB:

1) issues a single European currency;

2) develops and bears responsibility for the implementation of a unified monetary (monetary and credit and exchange rate) policy (defining targets for growth in prices and money supply, setting the refinancing rate);

3) determines the limit of the budget deficit and imposes sanctions on the participating countries that exceed it.

In accordance with the Maastricht Treaty, it was created and began to operate on January 1, 1999. European System of Central Banks (ESCB), which consists of the ECB and the central banks of the EU member states.

the main goal creation of the ESCB – promotion of the common economic policy of the EU. This goal defines tasks ESCB:

storage and management of the official foreign exchange reserves of the Member States;

facilitating the functioning of a unified payment system for mutual wholesale settlements in real time (TARGET);

promotion of effective supervision over the activities of financial and credit institutions.

In the course of its activities, commercial banks are exposed to many risks. In general, banking risks are divided into four categories: financial, operational, business and emergency.

financial risks, in turn, include two types of risks: pure and speculative. pure risks, including credit risk, liquidity and solvency risks, if not properly managed, can lead to a loss for the bank. Speculative risks Financial arbitrage based strategies can result in a profit if the arbitrage is done correctly, or a loss otherwise. It should be noted that the main types of speculative risk are: interest rate, currency and market (or positional).

Different types of financial risks are also closely related to each other, which can significantly increase the overall risk profile of banks. For example, a bank engaged in currency transactions is traditionally exposed to currency risk, but it will also be exposed to additional liquidity and interest rate risk if it has open positions in a net position on futures transactions or discrepancies in the terms of claims and liabilities.

Operational risks depend on: the overall business strategy of the bank; his organization; functioning of internal systems, including computer and other technologies; the consistency of the bank's policies and procedures; measures aimed at preventing errors in management and against fraud. Business risks are associated with the external environment of the banking business, incl. with macroeconomic and political factors, legal and regulatory conditions, as well as with the general infrastructure of the financial sector and the payment system. Extraordinary risks include all types of exogenous risks that, if an event occurs, could endanger the bank's operations or undermine its financial condition and capital adequacy.

Let's characterize the financial risks that tend to pure risks, i.e., leading in the event of a risk event only to negative consequences.

Deposit risk– the risk associated with the possibility of non-return of deposits (non-redemption of certificates of deposit). This risk is quite rare and is associated with an unsuccessful choice of a commercial bank for the enterprise's deposit operations. It is important to note that, however, with all this, cases of the implementation of the deposit risk are found not only in our country, but also in countries with developed market economies. Abroad, the insurer of this type of risk is the bank, and insurance is carried out in a mandatory form.

Credit risk- the risk associated with the danger of non-payment by the borrower of the principal and interest due to the creditor. The reasons for the emergence of credit risk may be the bad faith of the borrower, the deterioration of the competitive position of a particular company, the unfavorable economic situation.

57. Investment banks, their functions and operations

Investment banks are special lending institutions that provide financing and lending to investments. These banks are non-identical banking institutions, which is associated with the peculiarities of the loan capital market and the differences in banking legislation in individual industrialized countries. Thus, the classic type of US investment bank was approved by the Banking Act of 1935 (Gloss-Steagall Act). In accordance with this act, commercial banks are prohibited from engaging in investment activities, with the exception of operations with state and municipal bonds. Such operations consist in acquiring a part of state and municipal bonds, organizing the placement of a certain share of them among the population, conducting operations to subscribe for bonds and pay coupons (cut-off coupons for bonds, giving the right to receive a certain amount of interest after a certain period of time).

The main function of an investment bank in the United States is the issuing function - negotiating with commercial and industrial companies on the issuance of new shares and bonds and the technical preparation of such issues with the assumption of obligations to place securities on the market and acquire that part of them that will not be placed on subscription.

A characteristic feature of the accumulation of money capital by US investment banks is the attraction of savings not only from the richest segments of the population, but also from small investors with low incomes - the petty bourgeoisie, farmers and relatively well-paid workers and employees.

In the European industrialized countries, such a clear distinction between commercial and investment banks does not exist. Thus, in the UK, investment operations are traditionally handled by merchant banks. The most influential of them (about 60) are members of the Association of Investment Banks. Since 1970, commercial banks have been actively invading this area.

In France, the financing and lending of capital investments is carried out by special credit institutions, among which the leading place belongs to the National Credit (Creditational). This bank distributes government subsidies, provides loans for a period of 7-15 years and provides loan guarantees.

In Germany, investment banks as independent institutions have not received distribution. Here, banks combine both short-term and long-term investment operations. At the same time, the leading place in the country's loan capital market is occupied by gross banks (German, Dresden and Commercial).

The functions of investment banks and long-term investment banks in Eastern Europe are performed by people's, national, and state banks (Bulgaria, Hungary) or specialized banks (Romania). The structure and functions of these banks are systematically changing. Thus, the Prague investment bank was approved in 1948. Until 1950, it provided financing and long-term lending for capital construction included in the state plan. In 1959, its functions were transferred to the State Bank.

The Investment Bank of Romania is a specialized bank for financing and long-term lending to industry, construction, communications, trade, with the exception of agriculture, the food industry and water management.

In Japan, long-term loans are issued by both public and private banks. For example, the Japanese Development Bank is engaged in lending to industry, construction, energy, and transport, which ranks second among the state credit institutions of the country in terms of the volume of loans provided. This bank is entrusted with concessional lending (at low interest rates and for a period of at least a year) to sectors of the economy in which private banks have little interest in lending (development risk, high capital intensity, duration of capital turnover, unprofitable production, etc.). A significant difference between interest rates on bank loans and more favorable rates on the loan capital market is covered from the state budget.

Only a few developing countries with a relatively developed capitalist sector of the economy have investment banks: in Latin America - Argentina, Bolivia, Brazil, Mexico; in Southeast Asia - Malaysia, Singapore, Hong Kong (now part of China), South Korea; in Africa - Ghana, Nigeria, and also in some countries of the French franc. Investment banks exist alongside regional development banks in developing countries: the Asian Development Bank, which provides long-term lending to development projects in Asia and the Pacific; the Inter-American Development Bank, which promotes the development of the economies of Latin America; African Development Bank, which promotes the economic development of African and a number of non-African states. International credit institutions also play a significant role in making investments in developing countries: the International Bank for Reconstruction and Development, Arab Investment Companies and other international organizations.

Since the main task of investment banks is the financing and lending of investments, consider the concept and types of investments.

[Investments - long-term capital investments in industry, agriculture, transport, construction and other industries. The purpose of investment activity is to obtain entrepreneurial income or interest.

Investments are divided into financial and real.

Financial investments - investments in securities (stocks, bonds, etc.) issued by private companies and the state, as well as bank deposits and hoarding objects (treasures, i.e. keeping money at home).

Real investments - investments in fixed assets and for the growth of inventories. In the conditions of the modern scientific and technological revolution, along with an increase in the material elements of fixed capital, investments are growing.

development of spiritual productive forces, the intellectual potential becomes the most active element of production, increasing the role of scientific research, qualifications, knowledge and experience of workers. Accumulation becomes complex, and spending on science, education, training and retraining of personnel, etc. become productive investments.

A distinction is also made between expansion investments and renewal investments of consumed fixed capital.

The source of expansion investment is part of the newly created value directed to accumulation. Entrepreneurs mobilize it at the expense of their own profits (self-financing) and in the loan capital market (borrowed funds). The source of investment in the renewal of fixed capital are depreciation charges.

Real investments in fixed capital are characterized by sectoral and technological structures, the proportions of which largely determine the efficiency of savings.

Shifts in the sectoral structure of investments in all developed capitalist countries in the 50-70s. expressed in the outstripping growth of their share in the manufacturing industries, primarily in engineering, construction, transport, and communications. The backlog at that time of investments in the mining industry and the fuel and energy complex was one of the reasons for the energy and raw material crisis of the 1970s.

The technological structure of investments is determined by the ratio of the costs of active elements of fixed capital (machinery, equipment) and its passive elements (buildings, structures). The efficiency of investments usually increases with an increase in the share of the active part.

Investments in the reproduction of fixed assets, along with the sectoral and technological structures of capital investments, are also characterized by territorial and reproduction structures.

The territorial structure of capital investments means their distribution over individual regions of the country with an increase in the share of investments in areas that give the greatest return, have sufficient raw materials and energy resources and the necessary labor force.

The reproductive structure of capital investments involves directing them to new construction, to technical

technical re-equipment and reconstruction of existing industries, since such costs provide an acceleration in the renewal of existing fixed assets.

Reconstruction and technical re-equipment of enterprises make it possible to increase production volumes, improve product quality and other technical and economic indicators at a lower cost than in the construction of new enterprises. At the same time, the terms for commissioning new capacities are reduced by one and a half to two times. Taking this into account, the scale of technical re-equipment and reconstruction of the existing production apparatus has been systematically increasing in recent years. So, if in 1985 the share of capital investments for these purposes in industrial construction was 36%, in 1993 it was 51%.

The bulk of real investment in the developed capitalist countries is private investment. However, the state also takes part in the investment process by investing capital in the public sector, both directly and indirectly through the provision of loans, subsidies, and by implementing a policy of economic regulation. The main part of state investments is directed to the infrastructure sectors, the development of which is necessary to ensure the normal course of social reproduction (science, education, health care, environmental protection, transport and communications).

In developing countries, increased investment is a sine qua non for overcoming economic backwardness. The state plays an important role in expanding the productive potential of these countries, as evidenced by a significant increase in public investment, the main areas of investment of which are the industrial and social infrastructure and manufacturing industry.

To carry out investment financing operations, investment banks mobilize long-term loan capital and provide it to borrowers (entrepreneurs and the state) through the issuance and placement of bonds or other types of debt obligations. In addition, investment banks buy and sell blocks of shares and bonds at their own expense, as well as provide loans to buyers of securities.

Financial risk is a probabilistic characteristic of an event that in the long term may lead to losses, loss of income, shortfall or receipt of additional income as a result of deliberate actions of a credit institution under the influence of external and internal development factors in an uncertain economic environment. To determine banking risks, it seems appropriate to build such a logical chain that will show where financial risks are, what they are and how general economic risks in particular can be transformed into financial risks of banks. To do this and to refine the classification of risks, we have developed a number of our own criteria that the risk system must satisfy:

Relevance to the purpose of a particular organization. Like any commercial structure, banks aim to make a profit, at the same time, to the goals of banking

organizations, the goal of ensuring the safety of funds and valuables placed on current accounts of clients received for management or storage is added.

Attitude towards regulation, i.e. division into external and internal. External risks can only be taken into account in activities, while internal risks can be influenced by studying and minimizing them, and in some cases their elimination is also possible.

Compliance with the conditions of the banking operation (term, collateral, currency of payment, ratio of lending to large and small borrowers, shareholders and insiders).

Acceptability of the risk system for subsequent management and control.

By belonging to active and passive operations and to a specific structural unit. So, in banks, risks arise in three large divisions: Credit, Treasury and Operational. The credit division primarily faces credit risks. When conducting active operations, the Treasury assumes currency risk, interest rate risk, portfolio risk, liquidity risk, credit risk and others. Operational management is mainly concerned with operational and transfer risks.

The system of financial risks in banks is inextricably linked with the development and improvement of the banking system and banking legislation. In the West, the system of studying banking risks has received a fairly wide development, which is inextricably linked with the processes taking place in the banking world system, in which risk is an inevitable part of banking.

The Western financial system of the late 1970s and early 1980s was characterized by a steady growth in the profitability of banks, which was facilitated by a number of extremely favorable circumstances: the ability to raise funds at low interest rates, low competition, vertical integration and a wide range of services. Contributed to this and the upper limit of the interest rate paid on deposits, set by the authorities regulating banking activities. The attraction of funds at low interest rates also served to create banking cartels. The banks that were part of the cartel, as a rule, had an agreement among themselves on the rate of interest paid to depositors. In addition, a significant volume of checks passing through banking structures in the process of collection provided banks with practically free liabilities.

It should be noted that due to excessively rigid licensing practices in Western Europe and the United States, which artificially restrained the emergence of new banks, and, in some cases, the creation of banking cartels, external competition, that is, competition emanating from a different banking jurisdiction for each of the domestic banks, was significantly limited. markets. The number of institutions authorized to perform certain banking functions also played a role in mitigating interbank competition. For example, in Finland, which had a population of 4.8 million by 1984, there were 7 commercial banks, 272 savings banks, 371 cooperative banks, and a Post Bank with 3,500 branches. This entire complex banking system remained stable only thanks to a series of agreements between banks regarding the rate of interest on deposits (to control the costs of raising funds), as well as compliance with the market segments divided by the Central Bank among various types of Banks, limiting their competition (for example, cooperative banks served agricultural industries, savings banks - consumers, and large commercial banks - industry). A "gentlemen's agreement" on mutual non-penetration of each other's domestic financial markets existed between Swiss and West German banks for decades, until 1985. There are many such examples in banking practice. In addition, various barriers prevented banks "external" in relation to this market from attracting funds at low costs, sometimes these barriers took the form of a ban on issuing loans in national currency (for foreign banks) or on opening a branch.

The expansion of the range of services provided by banks has led to the fact that banks have become universal, meeting the financial needs of most of society; traditional banks have grown into "supermarkets" of financial services. "Ancillary" services, such as stock brokerage, insurance brokerage, and the like, also contribute to the expansion of banking services and increase the profitability of banking activities. International banking operations have emerged, which include:

export lending,

lending to international transactions of residents and providing them with money transfers and investment services,

opening access to international capital and money markets to find new sources of raising funds.

The modern banking system of Russia began to take shape in 1989, with the creation of 5 specialized banks, then commercial banks began to actively form. In total, more than 2,500 were created, and as of February 1, 2005, 145,511 remained, the rest could not stand the competition and were abolished. Commercial banks and the credit and banking system as a whole in the conditions of Russia are the determining and one of the main factors in the preservation and development of the economy, the implementation and promotion of investment programs, including state ones, and the increasing merger of industrial and production and banking capital in the form of financial and industrial groups .

Being a dependent element of the economy, Russian banks are also affected by global financial crises. Financial crises of 1997-98 in emerging markets in Southeast Asia, South America and Russia have clearly demonstrated the complexity of the problem of financial risk management in banks. Successful overcoming of such crises provides financial and credit institutions with a strengthening of market positions, therefore, the maximum mitigation of the consequences of crisis phenomena in international financial markets is a task of exceptional importance for such structures; at the same time, bank customers also need to have information about risk management methods in their institution in order to improve the efficiency of financial management.

In a situation "when the conditions for the functioning of commercial banks have changed, achieving their goals becomes possible only by changing the quality of management. However, many theoretical issues of banking risk management remain insufficiently developed to date. This is especially true for such issues as: the concept of cash flow, the price of capital, the efficiency of the capital market, portfolio management of assets, a compromise between profitability and risk, etc. In the economic literature there is no unity in the interpretation of individual terms and concepts (reliability, sustainability, stability, etc.), far from being sufficient for applying the development of a methodological nature.

Thus, their classification becomes the basis for the functioning of an effective financial risk management system.

In our opinion, the most meaningful is the classification of banking risks proposed by Peter S. Rose12, who distinguishes the following six main types of commercial bank risk and four additional types. The main types of risk P. Rose considers the following:

Credit risk

Liquidity risk

Market risk

Interest risk

Profit loss risk

Insolvency risk

Other important types of risk Rose P. refers to four more types, which he defines as follows:

inflation risk

Currency risk

Political risk

Risk of abuse

The advantage of this classification is that this system includes both risks arising within the bank and risks arising outside the bank and affecting its activities. At the same time, at present, such a classification cannot be used by commercial banks for practical application due to its enlargement, which means that a more detailed classification is needed with the allocation of risk groups and subgroups, depending on the specifics of the bank's operations.

More demonstrative and practical in application is the classification of Sheremet A.D., Shcherbakov G.N. This allows you to separate the risks that arise outside the bank and affect the bank's operations and the risks that arise within the bank in the course of the bank's "production" activities. This fundamental difference between the two classes of risks determines the attitude of banks towards them, methods of control and management capabilities.

In the proposed scheme, risks according to the type of relationship to the internal and external environment of the bank are classified as follows:

risks associated with the instability of economic legislation and the current economic situation, the conditions for investing and using profits.

foreign economic risks (the possibility of introducing restrictions on trade and supplies, closing borders, etc.).

the possibility of deterioration of the political situation, the risk of adverse socio-political changes in the country or region.

the possibility of changing natural and climatic conditions, natural disasters.

fluctuations in market conditions, exchange rates, etc.

Internal:

associated with active operations (credit, currency, market, settlement, leasing, factoring, cash, correspondent account risk, financing and investment, etc.)

associated with the obligations of the bank (risks on deposit and deposit operations, on attracted interbank loans)

related to the quality of the bank's management of its assets and liabilities (interest rate risk, risk of unbalanced liquidity, insolvency, risks of the capital structure, leverage, insufficient capital of the bank)

associated with the risk of financial services (operational, technological, innovation, strategic, accounting, administrative, abuse, security risks).

Unlike Western risk management practices, Russia has only recently issued instructions from the Central Bank of the Russian Federation in the form of a letter dated June 23, 2004 No. 70-T "On Typical Banking Risks", which identifies 10 risk groups: credit, country, market, stock, currency , interest rate, liquidity, legal, reputational risk and strategic.

In addition, the Central Bank offered commercial banks to control risks at three main levels: individual (employee level), micro and macro levels.

The risks of the individual level include risks caused by the consequences of illegal or incompetent decisions of individual employees.

The micro-level risks include liquidity risks and capital decline, formed by the decisions of the management apparatus.

Macro-level risks include risks predetermined by external macroeconomic and legal conditions of activity in relation to the bank.

The main documents that guide the risk managers of Western companies in their practical activities are developed by the Basel Committee on Banking Supervision14 and are called Principles of Banking Supervision. This document contains 25 principles, the implementation of which is called upon as a minimum necessary condition for ensuring effective banking supervision, as well as comments on them, based on the recommendations of the Basel Committee and the best international practice in the field of banking and banking supervision. Among the Basel principles, principles 6-15 related to the risks of banking can be distinguished. The integration of Russian banking financial statements with International Financial Reporting Standards (IFRS) will undoubtedly be developed in the application of these principles in Russian practice.

International audit companies operating in Russia, based on the recommendations of the Basel Committee, develop their own risk classifications, an example is the risk map 15>15 (a detailed structure of financial risks of a commercial bank), created by PricewaterhouseCoopers, called GARP.

Galiya Sharifullina (Salavat, Russia)

Risk is inherent in any form of human activity, which is associated with a variety of conditions and factors that affect the positive outcome of people's decisions. Historical experience shows that the risk of not getting the intended results is especially evident in the generality of commodity-money relations, the competition of participants in economic turnover. Therefore, with the emergence and development of capitalist relations, various theories of risk appear, and the classics of economic theory pay great attention to the study of risk problems in economic activity.

In the course of their activities, commercial banks are exposed to many risks. In general, banking risks are divided into 4 categories: financial, operational, business and extraordinary. Financial risks, in turn, include 2 types of risks: pure and speculative. Pure risks - incl. credit risk, liquidity and solvency risks - may, if not properly managed, lead to a loss for the bank. Speculative risks based on financial arbitrage can result in a profit if the arbitrage is done correctly, or a loss if it is not. The main types of speculative risk are interest rate, currency and market (or positional) risks.

It should be noted that commercial banks deal with financial assets and liabilities (loans and deposits) that cannot be sold on the market as easily as stocks, bonds and other securities. As a result, credit institutions face higher risk than non-bank institutions. This is manifested in the fact that, along with the funds of its shareholders, the bank also bears increased risks for attracted funds, but which, in the event of a risk event, will meet with its own funds, which is an objective factor that needs to be taken into account. On the other hand, banks in their activities also take into account subjective factors, among which the expert opinion of analysts is of decisive importance, the purpose of which is to use the available information, taking into account risk factors, to determine the economic effect of a particular banking operation.

The basis for the functioning of an effective financial risk management system is their classification.

Credit risk

· Liquidity imbalance risk

Market risk

interest rate risk

The risk of shortfall in profits

The risk of insolvency

Other important types of risk Rose P. refers to four more types, which he defines as follows:

Inflationary risk

currency risk

political risk

The risk of abuse

The main documents that guide the risk managers of Western companies in their practical activities are developed by the Basel Committee on Banking Supervision and are called Principles of Banking Supervision. This document contains 25 principles, the implementation of which is designed to be the minimum necessary condition for ensuring effective banking supervision. Comments on these principles are based on the recommendations of the Basel Committee and the best international practice in the field of banking and banking supervision. The integration of Russian banking financial statements with International Financial Reporting Standards (IFRS) will undoubtedly be developed in the application of these principles in Russian practice.

International audit companies operating in Russia, based on the recommendations of the Basel Committee, develop their own risk classifications, an example is the risk map (a detailed structure of the financial risks of a commercial bank) created by PricewaterhouseCoopers, called GARP:

1. Credit risk is the risk of possible losses associated with the deterioration of creditworthiness caused by the inability or unwillingness to fulfill its obligations in accordance with the terms of the agreement. For a bank, credit activity is the main one in the structure of active operations, therefore, the failure of the creditor to fulfill its obligations leads to financial losses and, ultimately, leads to a decrease in capital adequacy and liquidity.

2. Market risk - a possible adverse deviation of the bank's financial results from the planned ones, caused by changes in market quotations (market prices).

3. Portfolio concentration risk - a class of risks associated with the bank's increased dependence on individual counterparties or groups of related counterparties, individual industries, regions, products or service providers.

4. Liquidity risk - the risk associated with a decrease in the ability to finance the positions taken on transactions when the deadlines for their liquidation come, the inability to cover the requirements of counterparties with cash resources, as well as collateral requirements, and, finally, the risk associated with the inability to liquidate assets in various segments of the financial market. Maintaining a certain level of liquidity is carried out by managing assets and liabilities. The main task is to maintain an optimal ratio between liquidity and profitability, as well as a balance between the terms of investments in assets and liabilities. To ensure current liquidity, the bank must have a sufficient supply of liquid assets, which imposes restrictions on investments in low-liquid assets (credits).

5. Operational risk is the risk of losses associated with human actions (both intentional and unintentional), equipment failures or external influences.

6. Business event risk - a class of risks faced by the bank as an economic entity. These risks are not specific to banks, they are faced by any other business entity.

The main task facing banking structures is to minimize credit risks. To achieve this goal, a large arsenal of methods is used, including formal, semi-formal and informal procedures for assessing credit risks. The credit risks of banks can be minimized by diversifying the loan portfolio, the quality of which can be determined on the basis of assessing the degree of risk of each individual loan and the risk of the entire portfolio as a whole. One of the criteria that determine the quality of the loan portfolio as a whole is the degree of portfolio diversification, which is understood as the presence of negative correlations between loans, or at least their independence from each other. The degree of diversification is difficult to quantify, so diversification rather refers to a set of rules that a lender must adhere to. The most famous of them are the following: do not provide credit to several enterprises of the same industry; do not provide credit to enterprises of different industries, but interconnected with each other by the technological process, etc. In fact, the desire for maximum diversification, which is the process of collecting the most diverse loans, is nothing more than an attempt to form a portfolio of loans with the most diverse types of risks, so that changes in the external economic environment where borrowing enterprises operate do not have negative impact on all loans.

The bank, according to its purpose, should be one of the most reliable institutions of society, represent the basis for the stability of the economic system. In today's unstable legal and economic environment, banks must not only save, but also increase the funds of their clients almost independently. Under these conditions, professional banking risk management, prompt identification and accounting of risk factors in daily activities are of paramount importance.

Literature:

1. Arseniev Yu. N., Davydova T. Yu., Davydov I. N., Shlapakov I M. Fundamentals of the theory of safety and riskology. - M.: Higher school, 2009. - 350 p.

2. Balabanov I.T. Risk management. M.: Finance and statistics, 2008. - 200 p.

3. Belyakov A.V. Banking risks: problems of accounting, management and regulation. - M.: BDC-press Publishing Group, 2009. - 256p.

4. Kabushkin S.N. Management of banking credit risk: textbook. allowance / S.N. Kabushkin. - 3rd ed., erased. - M.: New knowledge, 2010. - 336s.

Scientific adviser:

Candidate of Economics, Assoc. Alekseeva N.G.

Banks are the main participants in the financial market: the overall development of the Russian economy depends on their stable functioning. In the conditions of increased instability of national and world financial markets, the problem of maintaining the financial stability of the Russian banking system is becoming extremely important.

The devastating consequences of the current economic crisis have called into question the effectiveness of many basic principles of modern financial management, including the issues of the effectiveness of financial risk management in banks.

In the current economic situation, the main condition for maintaining financial stability is the formation and implementation of a financial risk management system, which should be effective both in a relatively stable external environment and during a crisis. The effectiveness of financial risk management tools for banks depends on the improvement of the scientific and methodological foundations of bank risk management.

The category “banking risk” in the paper refers to the probability of deviation from the planned performance of the bank due to the active-passive operations of a credit institution, the state of corporate governance and the influence of environmental factors.

Banking risk should not be viewed only as a negative phenomenon. On the contrary, the presence of risk to some extent can be considered as a factor in the dynamic development of the banking sector of the economy. Note that it makes sense to make risky financial decisions only if a positive economic result is expected from the risky operation. If, even under favorable conditions, the operation does not give any income, then it is necessary to eliminate the risk altogether. At the same time, it should be borne in mind that a bank that always refuses risky operations loses the opportunity to further increase profits and further development.

In the process of grouping banking risks, various classification components can be distinguished, namely: financial; temporary; place of formation; the degree of influence on the main operations of the bank; the ability to predict and manage.

Examples of the classification of banking risks according to the above criteria are shown in Table 1.

Table 1

Examples of classification of banking risks

Types of banking risks

H. Van Gruning, S.

Braionovich - Bratanovich

financial: net (credit, liquidity risk and

solvency) and speculative (interest, currency and market); operating rooms; business; emergency

risks on balance sheet and off-balance sheet operations; risks

passive operations (deposit); risks of active operations (credit, currency, portfolio, investment, liquidity risk)

S. Kozmenko,

F. Shpyg, I. Voloshko

risks associated with the characteristics of customers; banking risks

operations: risks of active operations (credit, portfolio, liquidity risk) and risks of passive operations (issue, deposit, risks due to the type of bank)

T. Osipenko

credit; market; liquidity risk; operational risks;

legal; management risks

Y. Potiyko

credit; percentage; currency; risk of the securities market;

risk of early return of deposits

L. Primostka

liquidity risk; credit; the risk of insolvency; risk

variability

We offer the following classification of banking risks:

1. Financial risks - a high probability of determining the quantitative value of the risk. Financial risks refer to internal risks that arise in the process of carrying out active and passive operations of the bank.

2. Operational risks - low probability of determining the quantitative value of the risk. Operational risks refer to internal risks and are related to the effectiveness of corporate governance and the organization of banking operations.

3. Functional risks are related to the external environment of the bank and are almost impossible to quantify.

In a crisis, the size of financial risks increases most strongly, which include:

1. Credit risk - the probability of deviation from the planned indicators due to the borrower's failure to fulfill obligations to the bank. It is advisable to divide credit risk into individual (a specific counterparty of the bank) and portfolio (total debt to the bank).

2. Liquidity risk - the probability of deviation from planned indicators due to loss of balance between the bank's assets and liabilities (balance sheet risk) and inability to raise financial resources for the implementation of strategic development goals (market liquidity risk).

3. Currency risk - the probability of deviation from the planned indicators due to changes in the exchange rate. With a long open foreign exchange position, the devaluation of the national currency improves the level of profitability of the bank; revaluation worsens. With a short currency position, the devaluation of the national currency worsens the level of profitability; revaluation - improves.

4. Interest risk - the probability of deviation from planned indicators due to changes in interest rates.

5. Stock risk - the probability of deviation from the planned indicators due to changes in the value of securities or other financial instruments in the market.

The main methods for determining the quantitative assessment of the above financial risks of the bank are shown in table 2

table 2

Bank financial risk assessment methods

	financial risk	Advantages of the method	Disadvantages of the method
1. Statistical:	credit	high definition size of losses and probability realization of risk in ordinary conditions	need processing a large amount of statistical information. Low efficiency assessments in times of crisis
1.1 "Monte" method
1.2 Z-model Altman
1.3 Cheser model
1.4 Duran model
1.5 VaR - method	credit, currency, stock
2. Expert 2.1 Delphi method	credit, currency, percentage,	effective in conditions of lack or absence	subjective character

2.2 decision tree method	stock	reliable information.
	credit	effective crisis	conditions
3. Analytical: 3.1 duration	stock	Includes the possibility of factor analysis of parameters. High Evaluation Efficiency in a Crisis		labour intensive
3.2 stress testing	currency, stock
3.3 GAP analysis	percentage
4. Method of analogies	credit, liquidity, currency, stock, interest	evaluation efficiency in ordinary conditions		hard to create similar conditions
5. Combined		synergistic the effect. High efficiency in ordinary conditions and in crisis conditions		a lot of time, requires the processing of statistical, financial and management information

Most statistical methods - in order to determine the likelihood of risk realization and determine its magnitude - use the statistics of profits and losses of banks. These methods are based on the theory of probability distribution of random variables.

Some methods of expert assessments are similar to statistical ones. The fundamental difference lies in the fact that expert methods involve the analysis of assessments made by various specialists (internal or external experts). An expert assessment can be obtained both after carrying out relevant studies, and using the accumulated experience of leading experts.

In turn, analytical methods are based on game theory and include the following steps: 1) selection of a key indicator (for example, the rate of return); 2) determination of factors of the external and internal environment that affect the selected indicator;

3) calculation of the values of the indicator when the factors of the external or internal environment change.

The analogy method is used when analyzing new banking products or business lines of a credit institution. The essence of this method is to transfer a similar situation to the object of study. The main disadvantage of this method is that it is very difficult to create conditions in which the past experience would be repeated.

As can be seen from Table 2, the advantage of the combined method is that it uses the advantages of all the methods discussed above (for example, the statistical method, as a result of assessing the past, can be supplemented with an analytical method). In addition, the combined method is effective both in ordinary conditions and in crisis conditions.

It should be noted that the formation of a financial risk management system in banks occurs in three stages:

1. The preparatory stage includes the formalization of the bank's business process system; description of control and decision-making procedures; development of risk assessment and forecasting methods; determination of collegial bodies and departments that will be directly involved in financial risk management; compilation of financial risk maps by the bank's responsibility centers (Table 3).

Table 3 Definition of financial risks by the main centers of responsibility of the bank

responsibility

Business areas

financial risks

Treasury Department

Optimization and regulation of cash flows

bank, purchase and sale of currency for clients and own needs in the interbank market of Russia, attraction and placement of funds in the interbank market of Russia and international markets

liquidity,

percentage, currency

Control

corporate business

Providing clients with a wide range of services

lending, transactions with promissory notes, attraction of funds from legal entities

credit,

currency, percentage

Control

individual business

Sale of banking products to individuals

bank customers, optimization of the cost of services for individuals

credit,

currency, percentage

Control

investment business

Issue of own securities, organization

purchase and sale of securities on behalf of clients, carrying out transactions in the securities market on its own behalf, underwriting, investing in authorized funds and securities of legal entities, trust management of funds and securities under agreements with legal entities and individuals

stock

2. The procedural stage of the bank's financial risk management system includes the development of procedures for setting limits; the concept of minimizing financial risks; procedures for reviewing the main parameters of the bank's limit policy; insurance procedures, hedging, etc.

3. The integration stage includes an analysis of the requirements for the quantity and quality of information entering the automated financial risk management system; development of recommendations for the introduction of a mechanism for managing financial risks in the corporate system of the bank; development of a phased plan for the implementation of a financial risk management system.

Consider the main financial risk management tools of the bank:

1. Insurance (bankashurance) - one of the elements of the transfer of financial risks of the bank. When using this tool, it should be remembered that, firstly, not all financial risks are subject to insurance, and secondly, the more risk is transferred to the insurance company, the higher the cost of paying for the corresponding insurance policy. Therefore, one of the main problems in the implementation of bankassurance is to determine which risks make sense to leave in the bank, making additional expenses to reduce them, and which ones to transfer to the insurer, making additional expenses to pay for the BBB policy.

2. Hedging - reducing the bank's financial risks with the help of financial market derivatives: futures, forwards, swaps and options (the advantages and disadvantages of derivatives are shown in Table 4).

3. Diversification is a tool to reduce financial risks by allocating bank resources to various assets or activities (for example, lending to corporate clients belonging to various sectors of the economy).

Table 4

Advantages and disadvantages of financial risk hedging derivatives

Derivative

tool

Advantages

disadvantages

individual character

making a deal; no commission; does not require daily revaluation at the current exchange rate or rates

Low liquidity

tool; the difficulty of finding a counterparty

High liquidity of the instrument;

ensuring the timeliness and completeness of payments from the exchange

Standard Conditions

agreements; limited flexibility regarding terms and other terms of the contract

4. Limits are a tool to reduce the financial risks of the bank by limiting the values of open positions at risk (examples of limits are shown in table 5)

Table 5 Limits on financial risks of the bank

Financial
Credit	Limits for individual counterparties
	Geographic concentration limits
	Industry concentration limits
liquidity	Limits on cumulative gaps
Stock	Limits on changes in the value of the bank's investment portfolio
Percentage	Limit on overall sensitivity to interest rate fluctuations
Percentage	Interest Gap Limits
Currency	Limits on open currency positions for each currency
Currency	Limit on the total open currency position of the bank

5. Securitization of assets is a tool for transforming a bank's portfolio credit risk into financial instruments of the stock market. In securitization, a bank "sells" all or part of its loan portfolio, debiting it from its balance sheet before maturity, and transfers the right to receive principal and interest on it to a new lender, not necessarily a bank.

6. The formation of reserves consists in the accumulation of part of the bank's resources, which are subsequently directed to the "repayment" of unreturned assets. The main problem in the formation of reserves is the assessment of the potential consequences of risk.

Conclusions. Modern crisis phenomena raise the problem of forming qualitatively new methodological foundations of banking management. This is naturally accompanied by the actualization of the issue of increasing the efficiency of managing the financial risks of a credit institution. The variety of financial risks, methods of their assessment and management indicates the need for constant modernization of the bank's risk management system.

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