Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach

Ihor Voloshyn and Mykyta Voloshyn

MPRA Paper from University Library of Munich, Germany

Abstract: In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks and thus allows the fullest protection of the interests of depositors, creditors and shareholders of the bank providing its sustainable development.

Keywords: integrated risk management; cash flow at risk; economical capital; pricing; interest rate; spread; credit risk; market risk; operational risk; liquidity risk (search for similar items in EconPapers)
JEL-codes: D01 G12 G21 (search for similar items in EconPapers)
Date: 2013-01-23
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Published in RiskArticles.com 1 (2015): pp. 1-18

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