STANDARDS AND RISK IN THE BANKING SPHERE. OPPORTUNITIES TO MEASURE MARKET RISK

Maria Vidolova ()
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Maria Vidolova: Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski

Yearbook of the Faculty of Economics and Business Administration, Sofia University, 2019, vol. 17, issue 1, 73-106

Abstract: The methodology presented in detail applied by some commercial banks methods and assumptions for measuring market risk and specific interest. The methodology applied for the calculation of the meter 'Value at Risk' (VaR). The methodology is based on the experience of a particular commercial bank for use of Monte Carlo simulation on the basis of specific data on bank's trading book. The Bank measures market risk by the indicator 'Value at Risk' (VaR). This is a quantitative measure of the overall risk of a portfolio that shows the maximum potential loss on a financial portfolio within a specific period of time at a certain confidence level and normal market conditions. The Bank applies the Monte Carlo simulation for the assessment of exchange rate risk in relation to the overall activity of the Bank, the risk of changes in the prices of shares in the trading book and the general interest rate risk in the trading book of the Bank.

Keywords: Risk management standards; Trading portfolio; Models for measuring market risk. (search for similar items in EconPapers)
Date: 2019
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