Banking Risks in the Asset and Liability Management System

Liubov Lysiak, Iuliia Masiuk, Anatolii Chynchyk, Olena Yudina, Oleksandr Olshanskiy and Valentyna Shevchenko
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Liubov Lysiak: Department of Finance, Banking and Insurance, University of Customs and Finance, Vladimir Vernadsky Street, 49000 Dnipro, Ukraine
Iuliia Masiuk: Department of Finance, Banking and Insurance, Dnipro State Agrarian and Economic University, Serhii Efremov Str., 25, 49600 Dnipro, Ukraine
Anatolii Chynchyk: Department of Construction Economics, Kyiv National University of Construction and Architecture, Povitroflotsky Avenue 31, 03037 Kyiv, Ukraine
Olena Yudina: Department of International Tourism, Hotel and Restaurant Business and Foreign Language Training, Alfred Nobel University, Sicheslavska Naberezhna, 18, 49000 Dnipro, Ukraine
Oleksandr Olshanskiy: Department of International Business Management and Tourism, Kharkiv State University Food Technology and Trade, 333 Klochkivska, 61051 Kharkiv, Ukraine
Valentyna Shevchenko: Department of International Marketing, Alfred Nobel University, Sicheslavska Naberezhna, 18, 49000 Dnipro, Ukraine

JRFM, 2022, vol. 15, issue 6, 1-18

Abstract: Banking risk management is considered weak compared to rapid changes in financial markets. In light of the recent global financial crisis, banking risk management has become a significant concern of banking regulators and government agencies. This work aims to build a model for assessing banking risks. The primary study method is economic–mathematical modeling based on the standardized model of the Basel Committee for Operational Risk Management, the modified CAPM model, and the model developed by Shapiro and Cornell for currency risk management. The information base was the financial statements of Bank Credit Agricole (Poland). As a result, an economic–mathematical model is built, which is the optimal combination of operational, currency, and credit risk management models. This model calculates the optimal values of bank balance sheet items, which allows for making the right management decisions. It allowed adjusting the value of the bank profit by 3.6 million US dollars. In conclusion, considering the results of banking risk modeling, the need to build a strategy for the bank’s development is determined.

Keywords: banking risk; management; asset; liability; model (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
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