Summary

In recent years, the banking system has undergone rapid changes both within the country and outside the country, resulting in a rise in complex risks associated with banking operations, which differ from time to time, as well as quality and influence. Therefore, it is important to consider the risks as a whole, a change in risk, as a rule affects other risks. This makes it difficult to assess the specific risk, optimal decision often requires deeper analysis and consideration of additional risk factors.

Risk research should be distinguished by two main directions: 1. determining the risk level and assessment and 2. decision making in the risk area. To assess the risks it is recommended to use methods based on the concept of VaR analysis (deltanormal, historical modeling and stochastic modeling (Monte Carlo)) as well as various stress testing procedures.

Methods of risk assessment based on the concept of VaR analysis allow the maximum possible  loss of the banking portfolio with the probability established by the current market trends in the future.

Unlike the concept of VaR analysis, stress testing procedures allow you to estimate the maximum amount of expected losses for probable cases that are not directly related to the current economic trends and therefore are less likely to predict. The most common method of stress testing in banking practice is the analysis of scenarios in the modern stage.

Effectively managing risks, the management of the bank can improve the cost of the assets, receive information about possible bank damage in the future, improve access to information and processes for system solutions based on access to information, use a more accurate base of the bank's performance assessment, as well as assess the risks that are characteristic of the bank's relatively complex tools or business activities and create a healthy infrastructure that will strengthen the bank's competitiveness.