MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS
The article analyzes the model of market risk management with the help of a system of interrelated limits on debt securities, which take into account the risk of standards and statistical data of risk. The work proves the urgency of the problem of market risk management in credit institutions. The a...
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| Format: | Article |
| Language: | English |
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Publishing House of the State University of Management
2017-11-01
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| Series: | Вестник университета |
| Subjects: | |
| Online Access: | https://vestnik.guu.ru/jour/article/view/866 |
| _version_ | 1797244077051215872 |
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| author | E. Samokhina |
| author_facet | E. Samokhina |
| author_sort | E. Samokhina |
| collection | DOAJ |
| description | The article analyzes the model of market risk management with the help of a system of interrelated limits on debt securities, which take into account the risk of standards and statistical data of risk. The work proves the urgency of the problem of market risk management in credit institutions. The author, using the analysis of market risk factors, builds the structure of the securities portfolio of a credit institution for effective management. The conducted research allows the author to conduct an inseparable connection between all banking standards and a portfolio of securities. |
| first_indexed | 2024-03-08T04:23:34Z |
| format | Article |
| id | doaj.art-ab79f165104e4133a9490be69b0ffd8e |
| institution | Directory Open Access Journal |
| issn | 1816-4277 2686-8415 |
| language | English |
| last_indexed | 2024-04-24T19:05:16Z |
| publishDate | 2017-11-01 |
| publisher | Publishing House of the State University of Management |
| record_format | Article |
| series | Вестник университета |
| spelling | doaj.art-ab79f165104e4133a9490be69b0ffd8e2024-03-26T14:22:53ZengPublishing House of the State University of ManagementВестник университета1816-42772686-84152017-11-0101115115710.26425/1816-4277-2017-11-151-157866MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITSE. Samokhina0ФГБОУ ВО "Государственный университет управления"The article analyzes the model of market risk management with the help of a system of interrelated limits on debt securities, which take into account the risk of standards and statistical data of risk. The work proves the urgency of the problem of market risk management in credit institutions. The author, using the analysis of market risk factors, builds the structure of the securities portfolio of a credit institution for effective management. The conducted research allows the author to conduct an inseparable connection between all banking standards and a portfolio of securities.https://vestnik.guu.ru/jour/article/view/866var-оценкаdebt securitiesmarket riskvar-scoremodified durationlimitsbanking standardscredit organization |
| spellingShingle | E. Samokhina MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS Вестник университета var-оценка debt securities market risk var-score modified duration limits banking standards credit organization |
| title | MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS |
| title_full | MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS |
| title_fullStr | MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS |
| title_full_unstemmed | MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS |
| title_short | MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS |
| title_sort | management of market risk in the bank with the system of interdep endent limits |
| topic | var-оценка debt securities market risk var-score modified duration limits banking standards credit organization |
| url | https://vestnik.guu.ru/jour/article/view/866 |
| work_keys_str_mv | AT esamokhina managementofmarketriskinthebankwiththesystemofinterdependentlimits |