MEASURING THE QUANTITY OF BANK RISKS UNDER THE NORMATIVES FOR THE REGULATION OF THE ACTIVITIES OF BANKS

Abstract

According to the new requirements of the Basel Committee on Banking Supervision on the Bank's Capital Adequacy, the minimum amount of capital to cover credit risks can be determined using two methods: according to the standardized approach and according to the official data of the National Bank of Ukraine, a method based on internal ratings, the latter has two versions - a stock and progressive approach.

For quantitative assessment of bank risks, statistical and analytical methods, as well as methods of expert assessments are used.

Such a system of risk assessment in banking practices in Ukraine does not provide a clear idea of ​​the numerical parameters of cash losses from banking risks, and therefore is ineffective.

The purpose of the work is to determine the theoretical aspects of risk management of the bank's loan portfolio in accordance with the regulatory norms of the NBU.

As one of the characteristics of the credit risk of banks can be considered the proportion of problem debt in the loan portfolio of banks. There is a need to improve the existing practice of credit risk assessment and management of banking institutions of Ukraine.

The standardized method assumes that the minimum size of the regulatory capital of the bank required to cover credit risk is determined by multiplying the size of the risk position of the bank at the time of default (EAD, Exposure at Default), which is the value of the asset exposed to credit risk by the risk factor and on the solvency ratio. The article presents the algorithm for calculating the risk position of the bank at the time of default (EAD, Exposure at Default).

The complexity of using the standardized method for determining the minimum size of regulatory capital required to cover credit risks in Ukraine is conditioned by the practical absence of nationally recognized rating agencies recognized by the banking supervisory authorities and rather high costs for ordering ratings from foreign rating agencies recognized by the National Bank of Ukraine.

As a promising method for analyzing and assessing credit risk in Ukraine, an approach based on a monetary assessment of credit risk is proposed, according to which it is possible to determine the size of the required reserves to cover the expected credit risks, as well as the amount of necessary economic capital that will cover the bank's credit risks.