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

Voloshyn, Ihor and Voloshyn, Mykyta (2013): Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach. Published in: RiskArticles.com No. 1 (23 January 2015): pp. 1-18.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: integrated risk management, cash flow at risk, economical capital, pricing, interest rate, spread, credit risk, market risk, operational risk, liquidity risk
• Subjects: D - Microeconomics > D0 - General > D01 - Microeconomic Behavior: Underlying Principles; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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