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The state of the risk management system in modern commercial banks. Risk management in the banking sector

The risk management system is a vital element of business, a guarantee of the bank's competitiveness. That is how it is perceived in the West for a long time. Gradually, the understanding of the importance of integrated risk management comes to domestic banks. What should be outsourced, and what risks should be managed independently - the choice remains with the bank, each option has strong and weak sides. However, the fact that without systematic risk management the bank will not only not be able to successfully develop, but is also unlikely to exist for a long time, is becoming more and more obvious.

The key words here are system, complex. Risk management should be moved to a separate division. After all, each bank faces many interrelated risks that require constant assessment, control and management. The task of the risk management department is strategic risk management and operational management or coordination of the activities of specialized departments. This allows you to get a synergistic effect, quickly make the right decisions. Unfortunately, we have to state that in most Russian banks there is no systematic approach to risk management. Risk management often comes down to meeting oversight standards, writing a huge amount of internal documents (which are mostly not followed), and creating a security service that tries to control employees and counterparties. All this is quite far from a full-fledged risk management system. In addition, the exchange of information between the relevant departments is not established.

Another weak link is IT. Almost the entire technological infrastructure of banks is geared towards solving certain accounting problems, or business planning and budgeting. Because of this, specialists and risk managers have to spend a huge amount of time searching for and structuring information. Even a good ERP system does not always allow you to solve this problem. It must contain a block responsible for assessing and analyzing risks.

Data integration is difficult, among other reasons, due to the lack of an adequate methodology. As noted Mikhail Bukhtin, Head of the Resource Planning and Risk Control Department, Investsberbank OJSC, risk assessment is probabilistic in nature and should be based on statistical assessments of one's own or generalized national industry experience, which have not yet been accumulated. This experience is replaced by modeling or mechanical transfer of foreign results, which naturally causes quite reasonable skepticism on the part of top managers. It turns out a vicious circle: risk managers are required to make objective assessments and recommendations, for the formation of which companies and banks do not have a supporting infrastructure. In this vein, a positive example is the recently announced decision of Vneshtorgbank to create an information data warehouse.

A bit of theory

Let's make a short digression into the theory. There are many classifications of banking risks. Each of them is correct in its own way. Let's take one of the most universal ones, which correlates to a large extent with the provisions of Basel II.

Direct banking risks

Credit
Market (interest, currency and other)
Risk of unbalanced liquidity
Operating

General risks

Industry risks
Regional or country risks

Credit risk reflects the likelihood that the debtor will not be able to make interest payments or repay the principal amount of the loan in accordance with the terms specified in the loan agreement. Credit risk means that payments may be delayed or not made at all, which in turn could lead to cash flow problems and adversely affect the bank's liquidity. Despite innovations in the financial services sector, credit risk is still the main cause of banking problems.

Credit risk is closely related to liquidity risk. Depending on the urgency of the loan portfolio and the structure of liabilities that formed the portfolio, it is possible to assess the balance of liabilities and assets of banks and assess the liquidity risk inherent in the bank and the entire banking system as a whole. Liquidity risk management involves matching the structure of the bank's liabilities and claims by maturity. Liquidity risk arises when a bank is unable to meet its obligations at a certain point in time due to insufficient funds. This situation may arise due to the imbalance of assets and liabilities by maturity. The bank needs to always have some liquidity reserve in case of unexpected changes in the balance sheet.

Market risk is associated with price fluctuations in four major economic markets: the debt market, the stock market, currency and commodity markets, that is, markets that are sensitive to changes in interest rates. Market risk is the risk that a credit institution will incur financial losses (losses) due to changes in the market value of financial instruments in the trading portfolio, as well as foreign exchange rates. It belongs to the category of speculative risk, which consists in the fact that price movements can lead to profit or loss. In order to manage market risk, the bank forms a policy where it prescribes goals and methods aimed at protecting capital from the negative impacts of price changes. In most banks, as part of market risk management, portfolios are revalued, reflecting the change in the value of assets depending on the movement of market prices. Portfolio revaluation valuable papers is an important measure to protect bank capital. It is recommended to reassess investment portfolios at least once a month, and trading portfolios - every day.

Operational risks— the possibility of losses due to errors in internal systems, processes, personnel actions, or due to external factors such as natural disasters or fraud. The Basel II Accord defines operational risk as the risk of loss resulting from inadequacy or non-compliance with internal procedures, actions of people and systems, or external events. This definition includes legal risk but excludes strategic and reputational risk.

Assess, manage, control

Credit risk can be considered in two directions: in terms of quantitative and qualitative assessment. This approach allows you to determine the place of credit risk both for each loan individually, and to calculate the total credit risk of the portfolio as a whole. Graphically, this can be represented as a risk map, along the vertical axis of which one can plot the quantitative reflection of risk, that is, the amount of loss that each loan individually bears, and along the horizontal axis, the probability of occurrence. This example is a simplified model of a credit risk card. Each point is a two-dimensional definition of the risk for each loan individually. The aggregate value may reflect the credit risk of the portfolio as a whole.

The main way to reduce credit risk is the requirement of the bank to secure the loan, i.e. availability of guarantees or collateral. A mortgage on some movable or immovable property of the client or other assets can serve as collateral. By accepting good collateral, the bank has the right not to create a provision for possible losses on this loan. Another way to reduce credit risk is to use credit scoring. The use of scoring systems is designed to help the bank create a consistent and logical basis for making decisions by providing credit officers with a clearer, more intuitive measure of credit risk. As a rule, models are developed on the basis of accumulated empirical data. The scoring model for individuals can be based on personal data of borrowers, expert knowledge of the bank's management, numerical assessments obtained from the statistics of bad and good loans, numerical assessments based on objective regional and industry information. As a result of the work of the model for evaluating a particular borrower, a credit portrait of a potential borrower is formed, which makes it possible to perform: the procedure for dividing potential borrowers into bad ones who cannot be given a loan and good ones who can be given a loan, calculating the individual parameters of a credit transaction for a particular borrower (limit , interest, term, loan repayment schedule), risk calculation and loan portfolio management for all loans to individuals.

Credit bureaus are the key link in building scoring models. Attempts to introduce this institution in our country have not yet been very successful. The development of the institution of credit bureaus is hampered by the reluctance of large banks to disclose information about their borrowers. Banks with a significant consumer lending client base, such as Sberbank or Russian Standard, set up their own credit bureaus. The reason is the so-called free-rider problem: small banks that do not have a large customer base will benefit from the introduction of a credit bureau, and they will receive information about customers at minimal cost. Of course, segment leaders do not like this, and they prefer not to cooperate in the exchange of information with their competitors. As a result, the market loses, as the overall losses from fraud increase, and the average rate on loans rises. The issue of confidentiality of information provided by banks to credit bureaus remains open. Until banks can vouch for their customers that this information will not fall into third hands.

Unlike methods for assessing and minimizing credit and market risks, methods for managing operational risk have been developed relatively recently. In the 1988 Basel Accord, operational risk was considered a by-product of credit and market risk and was categorized as others in the risk family. The Basel-2 Accord considers operational risk separately, provides a definition, methods for assessing it, and the causes of its occurrence. The Basel Committee believes that operational risk is an important risk faced by banks and that banks need to hold a certain amount of capital against losses associated with it.

In developed markets, it is considered correct to centralize the risk management function, concentrating it in a single, dedicated unit for the bank as a whole. The target function in terms of operational risk management, namely minimizing the level of operational risk or the bank's losses from its implementation, obviously, should also be concentrated in this division and considered in the general context of the bank's risk management. However, it is a common practice in banks to assign responsibility for operational risk (or what a particular bank understands by operational risk) to IT departments. Approaches to assessing operational risks have been developing rapidly in recent years, but still lag behind in terms of accuracy from methods for measuring credit and market risks (even in advanced markets). Operational risk assessment involves assessing the likelihood of events or circumstances leading to operating losses and assessing the amount of potential losses. Methods based on the use of statistical analysis of actual loss distributions make it possible to make a forecast of potential operating losses based on the size of operating losses that have occurred in a given credit institution in the past. Statistical methods and models are actively used if the probability of occurrence of a particular type of operational risk is sufficiently high, and its occurrence is massive in the market. In this case, correlation models can be used, in which the function will be the probability of the occurrence of operational risk, and the variables will be factors that form operational risk (for example, the number of operations that directly determines the frequency of personnel errors).

The essence of the weighted method is to assess the operational risk in comparison with measures to minimize it. On the basis of expert analysis, indicators that are informative for the purposes of managing operational risk are selected and their relative importance (weight coefficients) is determined. Then the selected indicators are summarized in tables (scorecards) and evaluated using various scales. The results obtained are processed taking into account weight coefficients and compared in the context of the activities of the credit institution, certain types of banking operations and other transactions. The use of the weighted method (scorecard method) along with the assessment of operational risk makes it possible to identify weaknesses and strengths in operational risk management.

As part of the modeling method (scenario analysis), based on expert analysis for the lines of business of a credit institution, certain types of banking operations and other transactions, possible scenarios for the occurrence of an event or circumstances leading to operating losses are determined, and a model for the distribution of the frequency of occurrence and size of losses is developed, which then used to assess operational risk.

Monitoring of losses from the occurrence of an operational risk includes an analysis of each case, a description of the nature and reasons that led to the realization of an operational risk in a particular situation. In order to identify the areas that are most exposed to operational risk, it is recommended to conduct a step-by-step decomposition of processes and technologies into their elementary components (operational unit), for each of which the degree of influence of one or another risk source on it is determined empirically or statistically. The specified decomposition of operational risk objects into elementary operations is called operational risk decomposition by operations that make up the catalog of operational risks. The catalog allows you to identify the most vulnerable division of the bank. Compiling a catalog of operational risks is the main task in building an adequate system for managing this risk. It can be compiled either independently by the bank's departments in the form of a so-called technological map of ongoing operations, or it can be entrusted to an external consulting firm. After compiling the catalog, those processes and individual operations are identified on which specific risk factors are most concentrated. Then measures are developed to reduce and limit the identified risks.

Basel 2 - The risk manager's bible?

The banking market has long been talking about whether to join the Basel II agreement. Someone believes that the accession is necessary and will improve the domestic banking system. Others believe that such a measure, on the contrary, could seriously undermine its stability and competitiveness. Both of them make quite weighty arguments. Nevertheless, it is impossible to dispute the fact that the Basel II agreement is the most important document that determines the risk management strategy in the banking system. It contains the main options for calculating credit, market and operational risk, methods for managing these risks and calculating capital adequacy. Regardless of how and when these principles are implemented in Russia (transition of banks through the echelons, the use of a reduced version and relaxed requirements, or a radical version of a complete transition), sooner or later this will happen. In the end, banks will independently come to a risk management system similar to the principles defined in the agreement.

The agreement provides for three mutually supportive areas of capital adequacy regulation:

Minimum capital is determined using coefficients that take into account the borrower's credit risk, bank market and operational risks.
Capital Adequacy Supervision involves effective control over the adequacy and functioning of the bank's internal methods. This component includes the ability of regulators to require the ratio to be maintained at a higher level than the minimum set, an independent assessment of the capital adequacy of a particular bank when reviewing a bank, analysis own system risk assessment of the bank and the ability to intervene in the affairs of the bank in order to prevent a dangerous fall in capital.
Market discipline, i.e. disclosure by the bank of full information on the composition of capital and risks taken, on the basis of which clients, banks and experts could make their own judgment on capital adequacy.

All these areas are extremely important in the context of building a risk management system. The central part of the innovations is the modification of the methodology for calculating the capital adequacy ratio: the rules for calculating assets taking into account risks are changing. In the current agreement, only credit and market risks were covered in the definition of risk-weighted assets. The new agreement takes into account operational risk when calculating capital adequacy. For both credit and operational risk, three methods of increasing risk sensitivity are offered, allowing banks and supervisors to choose for themselves which methods, in their opinion, are most suitable for this stage of development of the bank's activity and market infrastructure.

Operating in an unstable environment and not having full information about counterparties, commercial banks are forced to take risks in their daily activities. At the same time, banks have the opportunity to minimize a significant part of non-systemic risk, but they do not always do this, since the risk is directly proportional to income and is quite acceptable if there are sufficient compensations.

In the study of risk, it is advisable to distinguish between two key areas - risk recognition and assessment And decision making in the area of risk.

The concept of "risk" occurs in the everyday life of many social and natural sciences, while each of them has its own goals and methods for studying risk. The specificity of the economic aspect of the risk is due to the fact that the risk, despite the expected financial gain, is identified with the possible material damage caused by the implementation of the chosen economic, organizational or technical solution, and/or the adverse impact environment, including changes in market conditions, force majeure, etc. Such an interpretation of risk in the banking sector is fully justified, since, acting as financial intermediaries in the economic system, commercial banks cover the lion's share of their needs for financial resources at the expense of borrowed funds. Therefore, in order to form liabilities through borrowing, banks must have a high degree of reliability and public confidence. Society, in turn, tends to trust its temporarily free funds to those financial intermediaries that demonstrate stable profits and minimal losses. Thus, for a bank, risk is the probability of loss and is closely related to the instability of bank income.

As you know, modern commercial banks face many types of risks in the course of their activities, but not all risks are amenable to bank control. The stability of commercial banks is influenced by exogenous and endogenous factors, but only a part of them is in the sphere of direct or indirect influence of a financial intermediary. This provision can be used as the basis for the classification of banking risks (Table 1).

Table 1

Classification of banking risks

	RISK CLASS
External risks	Operating environment risks	Regulatory risks Competition risks Economic risks Country risk
Internal risks	Management risks	Fraud risk Risk of inefficient organization; The risk of bank management's inability to make firm sound decisions The risk that the banking reward system does not provide an appropriate incentive
	Financial Services Delivery Risks	Technology risk Operational risk Risk of introducing new financial instruments Strategic risk
	Financial risks	Interest rate risk Credit risk Liquidity risk Off-balance sheet risk Currency risk Risk of using borrowed capital

Thus, in the presented classification, the key criterion for dividing risks is the ability of the bank to control the factors of their occurrence (risk groups and classes are arranged in the table as such ability increases). Accordingly, at the first stage, systemic (external) and individual risks for each financial intermediary (internal) were divided into different groups, then, depending on the area of occurrence, four classes of risks were identified.

The bank assumes the risks of the operating environment as a regulated firm, which is a key link in the payment system. They combine the risks that guard the interests of the bank, but through which the bank is controlled, as well as those that are generated by the environment of the commercial bank. Legislative risk arises in connection with changes in legislation relating to the activities of commercial banks. Legal and regulatory risks lie in the fact that certain rules may put the bank at a disadvantage relative to competitors, as well as in the constant threat of new rules that are unfavorable for the bank. Competition risks are due to the fact that banking products and services are provided by financial and non-financial firms that are both residents and non-residents, forming three layers of competition (between banks, banks and non-banking financial institutions, residents and non-residents). Economic risks are associated with national and regional economic factors that can significantly affect the bank's activities. Country risk is a greater credit risk than that assumed by a financial intermediary when it invests in domestic assets. This is due to the fact that, firstly, the government of the country may prohibit the payment of debt or limit payments due to a shortage of foreign exchange or political reasons, and, secondly, holders of claims on foreign borrowers are at greater risk of default in the event of bankruptcy of the counterparty, than investors of domestic debtors having the opportunity to apply to the bankruptcy court.

Governance risks include the risk of fraud by bank staff, the risk of poor organization, the risk of the bank's management failing to make firm sound decisions, and the risk that the bank's reward system does not provide appropriate incentives.

Risks associated with the supply of financial services arise in the process of providing banking services and products and are divided into technological, operational, strategic risks and the risk of introducing new products. Technological risk arises in every case when the existing system of service delivery becomes less effective than the newly created one. Technology risk occurs when investment in technology does not lead to the expected cost savings from economies of scale or boundaries. Negative economies of scale, for example, are the result of excess (unused) capacity, excess technology, and/or inefficient bureaucratic organization of an enterprise, leading to a slowdown in its growth. Technological risk for the bank is fraught with loss of competitiveness and, in the long term, bankruptcy. Conversely, the benefits of investing in technology can provide significant competitive advantages as well as opportunities to create and introduce new banking products and services. Operational risk, sometimes referred to as burden risk, is the bank's ability to provide financial services in a profitable manner. That is, both the ability to provide services and the ability to control the costs associated with providing those services are equally important elements. Operational risk relates in part to technology risk and may be the result of technology malfunctioning or failure of the bank's back office support systems. The risk of introducing new financial instruments is associated with the offer of new types of banking products and services. Similar problems arise when demand for new services is less than expected, costs are higher than expected, and bank management's actions in the new market are not well thought out. Strategic risk reflects the bank's ability to select geographic and product segments that are expected to be profitable for the bank in the future, taking into account a comprehensive analysis of the future operating environment.

The risks that are directly related to the formation of the bank balance sheet are subject to banking control to the greatest extent. Financial risks are divided into six categories: interest rate risk, credit risk, liquidity risk, off-balance sheet and currency risk, as well as the risk of using borrowed capital (Table 2). The first three types of risks are key to banking and form the basis effective management bank assets and liabilities. The risks of off-balance sheet activities are due to the fact that off-balance sheet instruments are transferred to the active or passive part of the bank balance sheet with a probability of less than one, and are expressed in the fact that off-balance sheet instruments, creating positive and negative future cash flows, may lead the financial intermediary to economic insolvency and / or lead to the imbalance of assets and liabilities. Currency risk is associated with the uncertainty of the future movement of exchange rates, that is, the price of the national currency in relation to foreign ones, and is expressed in the fact that there may be an unfavorable change in the net banking profit and/or net worth of the financial intermediary. The risk of using borrowed capital is determined by the fact that the bank's equity capital can be used as a "cushion" to mitigate the consequences of a decrease in the value of assets for depositors and creditors of the bank, and is expressed in the fact that bank capital may not be enough to complete operations.

table 2

	The traditional way of estimating	Leading valuation method	Risk Management Technique
Interest risk	RSA/RSL RSA-RSL	GAP by maturity groups duration	GAP control in dynamics Duration analysis hedging
Credit risk	loans/assets non-performing loans/loans doubtful loans/loans loan loss reserves/loans	concentration of loans growth in loan debt interest rates on loans reserves to cover non-performing loans	formation and implementation of a credit policy, segmentation credit analysis loan portfolio diversification monitoring creation of reserves securitization insurance
Liquidity risk	loans/deposits liquid assets/ deposits	estimate of net liquidity position	liquidity planning tracking the payment and liquidity position of the bank
Currency risk	open currency position	assessment of the bank's foreign exchange portfolio	diversification hedging insurance creation of reserves
The risk of using borrowed capital	capital/deposits capital/performing assets	risk-weighted assets/equity alignment of asset growth and capital growth	capital planning growth sustainability analysis dividend policy risk-based capital adequacy control
Off-balance sheet risk	volume of off-balance sheet activities / capital	delta N principal amount of the option	risk conversion creation of reserves capital adequacy

In the process of studying, and even more so in the process of managing banking risks, it must be remembered that in reality all types of risks are closely interconnected. In addition to identifying and assessing the individual or "pure" risks of its activities (such as interest rate, credit and liquidity risks), the bank needs to understand the overall level of risk it takes. This stage requires a quantitative and qualitative analysis of potential losses, as well as information about the losses incurred by the bank in the past.

Qualitative analysis involves the calculation of the following indicators:

The maximum foreseeable loss (MFL) is the maximum amount of losses that the bank will incur if events develop according to the worst-case scenario and the bank's "security" system does not work.
The maximum probable loss (MPL) is the maximum amount of loss that a bank can incur, given that losses are controlled to some extent by an effective system of protection and coverage.

Quantitative analysis consists in the collection and processing of statistical data:

compiling a database of losses with a description of the causes that caused them;
compiling a 5-year (or more) history of bank losses with their full description;
classification of losses (for example, according to the reasons that caused them);
calculation and determination of losses that are not reported;
determination of the main trends based on the collected statistics;
forecasting bank losses for the future.

A useful tool for making management decisions in the field of banking risks is the retrospective Matrix of examples of assessment and used risk minimization techniques used by many foreign credit institutions. Such a matrix is compiled on the basis of banking practice in dealing with crisis situations and can take the following form (see Table 3):

Table 3

Matrix of examples of assessment and used risk minimization techniques

Identification and classification of potential losses helps the bank solve several problems at once. In particular, the collection of information on a systematic basis allows: a) creating a database for future forecasts of bank losses, b) identifying the weakest points in the organization of a financial intermediary and highlighting key areas for reorganizing its activities, and, finally, c) determining the most effective methods for minimizing risks . The following are considered to be the key ways to limit banking risks:

Union

risk

risk distribution

limitation

diversification

hedging

microhedging

natural

Synthetic hedging methods involve the use of off-balance sheet activities: forward agreements on a future interest rate, financial futures, options and swaps. New approaches to limiting banking risks open up innovations such as:

asset securitization

segmentation and sale of loans

However, having the opportunity to almost completely immunize itself from most endogenous risks, the financial intermediary seeks only to reduce it to an acceptable level, thereby increasing its profitability. A combination of factors such as a bank's profitability, the size of equity capital and the level of bank debt, as well as average annual loss statistics and the degree of risk appetite of bank managers, determine the level of maximum aggregate risk (or amount of losses) that the bank is able to finance on its own. It is defined (a) for each level of losses and (b) as an average annual level, revised annually depending on changing conditions, and is called the “pain threshold”.

The main purpose of risk financing is to create reserves to cover losses in case of their occurrence. To protect the bank from losses, an extremely wide range of financial instruments and resources available to the bank is used. It is customary to divide the sources of risk financing into internal ones, which allow covering bank losses within the “pain threshold”, and external sources for financing losses above this level. The key internal source is the creation of reserves. External sources mainly imply insurance, however, the bank has other tools at its disposal - credit lines, additional borrowings, and the like.

Determine sufficiency financial protection This can be done by comparing the maximum foreseeable loss (MFL) with the amount of resources that internal and external sources of risk financing can provide. To improve the effectiveness of financial protection, the bank should regularly monitor the offers of the insurance market and the cost of the proposed options, as well as compare the level of risk taken (foreign information can usually be obtained from banking supervisors) and the cost of insuring it with the practice of comparable banks (e.g. Risk and Insurance Management Society and Tillinghast publish “Cost-of-Risk Survey”).

The bank's risk financing program should be designed in such a way as to ensure both the stability of risk coverage and the minimization of the direct costs of banking risk. In accordance with this goal, the bank faces the following tasks:

keeping the risk within the financial capabilities of the bank, determined by the current financial resources and the degree of inclination of the bank's managers to accept risk;
using external sources of risk financing (such as insurance) at the lowest cost to protect the bank from “catastrophes”;
ensuring maximum stability of long-term costs

banking risks.

An effective bank risk control program should include the following provisions:

protection of the bank and ensuring the safety of people - protection against accidents, kidnapping and hostage-taking, development of procedures for various cases of force majeure;
preservation of property - measures to protect the property of a financial intermediary from physical damage;
control of the information processing process and the operations center - ensuring confidentiality, speed and error-free work;
prevention and detection of potential losses from internal and external crimes;
control of obligations under contracts and agreements - legal advice on the terms of the contract (taking into account changing conditions), systematic monitoring of contracts;
control of financial risks;
planning of disasters and probable events, the occurrence of which cannot be predicted - the development of procedures for overcoming all kinds of crisis situations, including the sphere of information processing.

Interestingly, in the context of a conflicting regulatory framework and inadequate taxation, many financial intermediaries develop rules for the conduct of their own personnel at the time of inspections of the activities of a credit institution by banking supervisory authorities - the central bank and the tax inspectorate - considering this area one of the most important areas of risk control .

Risk management provides for the creation of incentives to reduce risk and costs based on the collection of information on all potential and real costs to cover losses and the formation of a system of fines and rewards. The implementation of systematic monitoring of the effectiveness of various risk control programs, in addition to developing standards for these programs, should also include the collection and analysis of information on cases of unsatisfactory effectiveness.

In order to coordinate the goals of the financial intermediary and control the level of risk, it is advisable to prepare a written memorandum on the risk control policy and establish a committee consisting of senior managers and senior officials of the departments concerned.

As a rule, the bank already has internal divisions that control and regulate banking risks to one degree or another - security, internal audit and internal control services, however, after a comparative analysis of the role and place of these divisions in ensuring the life of a financial intermediary, it becomes clear that it is necessary to create a fundamentally another "quick response" service, which will provide the bank with greater stability and significant competitive advantages.

The Risk Control Committee, which is entrusted with the following tasks:

development of a written memorandum on the risk control policy;
monitoring the level of accepted risk, establishing a compromise “riskness - profitability”;
definition of “pain threshold”;
establishing ways to finance the risk and constantly monitoring the associated costs;
development of options and decision-making for overcoming crisis situations;
analysis of situations and determination of sanctions against “guilty” employees.

The Committee can be organized on the principle of a "round table" of the heads of banking departments, while the Committee itself is accountable and directly subordinate to the Chairman of the Board of the bank. The Committee may delegate some control and management functions to interested departments, for example:

information and analytical department:

internal control service:

internal audit department:

Current meetings of the Committee should be held once a week (or, if necessary, based on established banking practice), during which they discuss the results of the working week and economic forecasts and trends for the next week. Emergency meetings are aimed at developing and coordinating measures to overcome a crisis situation and involve the participation of experts, narrow specialists, and direct executors.

The exchange of information at all levels (board of directors - risk control committee - personnel) can be carried out in the form of annual reports, joint meetings, seminars, conferences, interviews, bulletins, and so on, and serves to test the effectiveness and improve the banking risk management system.

Establishment of the Risk Control Committee and adequate distribution of functions among the departments concerned will solve the following tasks:

a) improve the quality of banking risk management;

b) provide comprehensive control over commercial activities;

c) will allow optimal management of banking assets and liabilities, within a more clearly defined compromise between the riskiness and profitability of banking operations.

For effective management, a financial intermediary needs to clearly articulate the job responsibilities of senior managers. As a rule, long-term goals and objectives of the organization are first set, ways to achieve them are determined, then a memorandum on banking risk management is developed, which must be approved by the board of directors of the bank. The memorandum shall be communicated to all personnel and contain, as a minimum, the following provisions:

b) banking understanding of the banking risk management process;

c) the desired value of the “pain threshold” and other indicators of the level of risk containment;

d) responsibility of personnel for the implementation of the program;

e) accountability to the Board of Directors.

However, despite the fact that the responsibility for the implementation of the bank risk management program extends to all employees of the bank, senior managers should be financially responsible for the decisions they make. This provision should be fixed in their contract, and the decision on sanctions should be made by the board of directors after a thorough examination of the specific circumstances and the degree of guilt of an individual employee in a financial “catastrophe”.

Determination of clear individual annual goals based on the overall risk management program allows to achieve the best effect of limiting banking risks. Usually, Starting point serves as an indicator of the annual cost of risk (COR, cost of risk), calculated over the past few years. Given changing conditions, this indicator can be used as a “barometer” of risk management costs. At the same time, the bank may set itself non-financial objectives, such as, for example, the development and implementation of a new specific risk control program, and so on. In addition, for the most successful risk management, periodic monitoring of the effectiveness of the risk management program, such as an audit, is necessary.

Introduction

Banking business around the world is one of the most important sectors of the economy. Being high-tech, it is most receptive to ongoing changes both at the macro and micro levels. As practice shows, such changes are associated with the increasing internationalization of credit institutions and markets, the improvement of banking legislation and modern computer technologies, an increase in the level of competition, and the emergence of new banking products and services in the financial markets. Stable, progressive development of the banking sector involves the competent management of banking risks in order to optimize them and ensure, on this basis, safe conditions for the functioning of banks, this can be achieved through the use of advanced risk management and forecasting methods, subject to the functioning of an effective regulatory and legal framework in the country for their application.

The relevance of the topic is due to the fact that the problem of risks exists for all enterprises without exception.

The purpose of this work is to consider the actual state of the risk management system in modern commercial banks, as well as ways to improve its efficiency.

The object of the study is the system for assessing and managing risks that affect the financial position of commercial banks in Russia on the example of OJSC Promsvyazbank.

The subject, respectively, is the features of the existing risk management system, its problems, as well as the development of recommendations aimed at improving its effectiveness.

Methodology and methodology of the research - the research is based on the general theory of knowledge, the abstract-analytical method, system-functional, statistical-economic and comparative analysis, as well as the monographic method of economic research are used. The theoretical and methodological basis of the study was the theoretical provisions and conclusions set out in the works of domestic and foreign scientists-economists, publications in periodicals and the press on the issues under study.

Based on the goal, it is necessary to solve a number of tasks in the work:

) Studying the history of risk management system development in different countries;

) Describe the types of risks in the banking sector;

) Determine the main features of the functioning of the risk management system in domestic banks;

) Analyze the organization of work in commercial banks on risk management;

) Consider ways to reduce banking risks;

) Make a forecast on the further development of risk management in commercial banks, including considering the main directions for improving the effectiveness of risk management policies.

The scientific novelty of the study lies in the identification of a new and important problem of risk management in a commercial bank. The study of this problem is of significant practical and theoretical importance for the development and more efficient management of a commercial bank.

1. Development of the risk management system

.1 Goals and objectives of risk management

Risk is a financial category. Therefore, the degree and magnitude of risk can be influenced through the financial mechanism. Such an impact is carried out with the help of financial management techniques and a special strategy. Together, the strategy and techniques form a kind of risk management mechanism, i.e. Risk management is a system for managing risk and financial relations that arise in the process of this management. The task of risk management is strategic risk management and operational management or coordination of the activities of specialized departments. The goal of risk management is not to minimize risk, but to use risk to maximize competitive advantage. The object of management in risk management is risk, risky capital investments and economic relations between business entities in the process of risk realization. The subject of management in risk management is a special group of people who, through various methods and methods of management influence, carry out the purposeful functioning of the management object. The subjects of bank risk management depend on the size and structure of the bank. But the common thing for all banks is that they include:

the bank's management responsible for the strategy and tactics of the bank, aimed at increasing profits with an acceptable level of risks;

committees that decide on the degree of certain types of fundamental risks that the bank can take on;

the division of the bank involved in the planning of its activities;

functional divisions responsible for commercial risks associated with the activities of these divisions;

analytical divisions that provide information for decision-making on banking risks;

internal audit and control services that help minimize operational risks and identify critical indicators that signal the possibility of a risk situation;

a legal department that controls legal risks.

The process of the influence of the subject on the object of control, i.e. the process of control itself can be carried out only if certain information is circulated between the control and controlled subsystems. The management process, regardless of its specific content, always involves the receipt, transmission, processing and use of information. In risk management, obtaining reliable and sufficient information under given conditions plays leading role, as it allows you to make a specific decision on actions in a risk environment. Information support for the functioning of risk management consists of various kinds and types of information: statistical, economic, commercial, financial, etc.

This information includes awareness of the likelihood of an insured event, an insured event, the presence and magnitude of demand for goods, capital, financial stability and solvency of its customers, partners, competitors, prices, rates and tariffs, including for the services of insurers, about insurance conditions, dividends and interest, etc.

Risk management performs certain functions.

There are two types of risk management functions:

functions of the control object;

functions of the subject of management.

The functions of the control object in risk management include the organization:

risk resolution;

risk capital investments;

work to reduce the magnitude of the risk;

risk insurance process;

economic relations and connections between the subjects of the economic process.

The functions of the subject of management in risk management include:

forecasting;

organization;

regulation;

coordination;

stimulation;

control.

The main rules of risk management are.

You can't risk more than your own capital can afford.

We need to think about the consequences of the risk.

You can't risk a lot for a little.

A positive decision is made only when there is no doubt.

When there is doubt, negative decisions are made.

You cannot think that there is always only one solution. Perhaps there are others.

Risk management strategy is the art of risk management in an uncertain economic situation, based on risk prediction and risk reduction techniques. The risk management strategy includes the rules on the basis of which a risk decision is made and methods for choosing a solution option.

The following rules apply in the risk management strategy.

Maximum win.

The optimal probability of the result.

Optimum fluctuation of the result.

The optimal combination of gain and risk. The essence of the rule of maximum gain is that from the possible options for risky investments of capital, the option is chosen that gives the greatest efficiency of the result (win, income, profit) with a minimum or acceptable risk for the investor.

Modern commercial banks face many types of risks in the course of their activities. The stability of commercial banks is influenced by exogenous and endogenous factors, but only a part of them is in the sphere of direct or indirect influence of a financial intermediary. This provision can be used as the basis for the classification of banking risks (Table 1).

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Table 1 - Classification of banking risks

RISK GROUPSRISK CATEGORYExternal risksOperating environment risksRegulatory risks Competition risks Economic risks Country riskInternal risksManagement risksFraud risk Risk of inefficient organization; The risk that the bank's management will not be able to make firm sound decisions The risk that the bank's remuneration system does not provide an appropriate incentiveFinancial service delivery risksTechnological risk Operational risk The risk of introducing new financial instruments Strategic riskFinancial risksInterest rate risk Credit risk Liquidity risk Off-balance sheet risk Foreign exchange risk Leverage risk

1.2 Regulation of the risk management system

Regulation is a set of methods aimed at protecting the bank from risk. These methods can be conditionally divided into four groups:

) risk prevention methods;

) risk transfer methods;

) risk allocation methods;

) risk absorption methods.

Risk management methods include:

creation of reserves to cover losses in accordance with the types of bank operations, the procedure for using these reserves;

the procedure for covering losses with the bank's own capital;

determination of the scale of different types of margin (interest, collateral, etc.) based on the degree of risk;

control over the quality of the loan portfolio;

monitoring of critical indicators by types of risk;

diversification of operations taking into account risk factors;

operations with derivative financial instruments;

motivation of business units and personnel associated with risky operations

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pricing (interest rates, commissions) taking into account risk;

setting limits on risky operations;

sale of assets;

hedging of individual risks.

The risks that are directly related to the formation of the bank balance sheet are subject to banking control to the greatest extent. Financial risks are divided into six categories: interest rate risk, credit risk, liquidity risk, off-balance sheet and currency risk, as well as the risk of using borrowed capital (Table 2). The first three types of risks are key for banking activities and form the basis for effective management of the bank's assets and liabilities. The risks of off-balance sheet activities are due to the fact that off-balance sheet instruments are transferred to the active or passive part of the bank balance sheet with a probability of less than one, and are expressed in the fact that off-balance sheet instruments, creating positive and negative future cash flows, may lead the financial intermediary to economic insolvency and / or lead to the imbalance of assets and liabilities. Currency risk is associated with the uncertainty of the future movement of exchange rates, that is, the price of the national currency in relation to foreign ones, and is expressed in the fact that there may be an unfavorable change in the net banking profit and/or net worth of the financial intermediary. The risk of using borrowed capital is determined by the fact that the bank's equity capital can be used as a "cushion" to mitigate the consequences of a decrease in the value of assets for depositors and creditors of the bank, and is expressed in the fact that bank capital may not be enough to complete operations.

An obligatory component of control is risk monitoring. Risk monitoring is the process of regularly analyzing risk indicators in relation to its types and making decisions aimed at minimizing risk while maintaining the required level of profitability. The risk monitoring process includes: distribution of responsibilities for risk monitoring, determination of a system of control indicators (basic and additional), risk management methods. Responsibilities for monitoring risks are distributed among the functional divisions of the bank, its specialized committees, divisions of internal control, audit and analysis, the treasury or other consolidated department of the bank, its managers. At the same time, the functional divisions of the bank are responsible for managing commercial risks, while the committees and consolidated divisions are responsible for fundamental risks.

Benchmarks include financial ratios, limits on operations, the structure of the portfolio of assets and liabilities, their segments, standards for the bank's counterparties (for example, for borrowers, issuers of securities, partner banks).

An effective bank risk control program should include the following provisions:

protection of the bank and ensuring the safety of people - protection against accidents, kidnapping and hostage-taking, development of procedures for various cases of force majeure;

preservation of property - measures to protect the property of a financial intermediary from physical damage;

control of the information processing process and the operations center - ensuring confidentiality, speed and error-free work;

prevention and detection of potential losses from internal and external crimes;

control of obligations under contracts and agreements - legal advice on the terms of the contract (taking into account changing conditions), systematic monitoring of contracts;

control of financial risks;

planning of disasters and probable events, the occurrence of which cannot be predicted - the development of procedures for overcoming all kinds of crisis situations, including the sphere of information processing.

1.3 Principles and methodologies of risk management

The principles of risk management include:

The principle of dependence of the subject of the economy on the ability to effectively manage risk at all levels.

The principle of matching the level of acceptable investment risks and the level of profitability of investment operations.

The principle of the mandatory presence of a range of acceptable values between the level of risk, profitability and financial and production stability.

The principle is the perceived need to accept risk.

The principle of manageability of accepted risks.

The principle of compliance of the level of accepted risks with the resource capabilities of the subject of the economy.

The principle of taking into account the time factor in risk management.

The principle of ensuring the conditions for coordinated management in the risk management process to stimulate an increase in the efficiency of the use of investments.

The principle of taking into account the possibility of risk transfer. Table 1

In the system of banking risk management methods, the main role belongs to internal mechanisms for their minimization.

Internal mechanisms for minimizing banking risks are a system of methods for neutralizing their negative consequences, chosen and implemented within the bank itself.

The system of internal mechanisms for minimizing banking risks provides for the use of the following main methods:

Risk avoidance. In other words, the development of internal measures that exclude a specific type of banking risk, which deprives the bank of additional sources of profit generation. Therefore, in the system of internal mechanisms for neutralizing risks, their avoidance should be carried out very carefully.

Risk limiting. The mechanism for limiting banking risks is usually used for those types that go beyond their acceptable level. In the course of the bank's current activities, individual limits are developed for the bank's counterparties (both for active and passive operations), as well as current limits for all types of bank positions, and operational limits that determine the powers of the bank's managers and employees in carrying out specific operations.

Operations subject to limitation can be grouped as follows:

operations for the conversion of one currency into another;

transactions with securities, included promissory notes;

credit and deposit operations in the interbank financial market;

operations with derivative financial instruments.

Hedging. This mechanism is a balancing transaction aimed at minimizing risk. In cases where the selection of hedging instruments is carried out within the balance sheet position (for example, the selection of assets and liabilities by duration), the hedging method is considered natural. Synthetic hedging methods involve the use of off-balance sheet activities.

Diversification. The principle of operation of the diversification mechanism is based on the division of risks that prevent their concentration. Diversification is the distribution of assets and liabilities by various components both at the level of financial instruments and their components in order to reduce banking risk. However, it cannot reduce the risk to zero. Diversification is the most reasonable and relatively less costly way to reduce the degree of banking risk.

The main forms of diversification are as follows:

diversification of the securities portfolio;

diversification of the loan portfolio;

diversification of the bank's currency basket;

diversification of sources of raising funds.

Risk distribution. This mechanism is based on their partial transfer to partners in individual banking operations in such a way that the possible losses of each participant are relatively small. The degree of distribution of risks, and consequently, the level of neutralization of their negative banking consequences is the subject of contract negotiations between the bank and partners, which are expected by the terms of the relevant contracts agreed with them.

Self-insurance. This mechanism is based on the bank reserving a part of banking resources, which allows to overcome the negative consequences of certain banking operations. The main forms of this direction is the formation of reserve, insurance and other funds. The main task of self-insurance is to promptly overcome temporary difficulties in banking activities. It must be borne in mind that insurance reserves in all their forms, although they allow you to quickly compensate for the financial losses incurred by the enterprise, "freeze" the use of a fairly tangible amount of bank funds.

The allowable amount of risks of various types should be fixed through standards (limits and normative indicators) reflected in the document on the bank's policy for the forthcoming period. These standards are determined based on the business plan. These include:

the share of individual segments in the bank's asset portfolio, loan portfolio, trading and investment portfolios;

ratio of loans and deposits; the level of indicators of the quality of the loan portfolio; share of overdue and extended loans; the share of interbank loans in the bank's resources;

the level of balance sheet liquidity and capital base adequacy indicators;

standard requirements for bank borrowers (in terms of duration of participation in this business area, compliance with industry average economic indicators, balance sheet liquidity, etc.).

1.4 Risk management

The risk management process in banks includes the following steps:

Identification (identification) of risk, which involves the discovery of the main sources (factors) of risk that caused (may cause) losses and (or) additional costs. At the same time, banks develop local methods for identifying types of risks that are significant (insignificant) for the bank, allowing them to take into account the mutual influence of risks and their concentration, to identify new risks arising in its activities, including in connection with the start of new types of operations (implementation of new products), entering new markets.

Measurement (assessment) of the level of risk. Methods for measuring the amount of risks included in the calculation of capital adequacy ratios are determined by the National Bank of the Republic of Belarus. The choice of methods for measuring (estimating) the magnitude of risks not included in the calculation of capital adequacy ratios, but recognized as significant, is carried out by banks independently. Methods for calculating the magnitude of risks are reflected in the local regulatory legal acts of banks, periodically reviewed and updated by banks in order to improve their efficiency, as well as ensure compliance with the law and changes in market conditions.

Internal monitoring, which is a system for collecting (accumulating), processing and analyzing information, on the basis of which risk assessment, risk control and preparation of prudential and management reporting are carried out. Monitoring is carried out on a regular basis and allows you to fine-tune the interaction of various structural divisions of the bank, work out technologies for collecting information, calculating the magnitude of the risk and analyzing its dynamics, as well as developing report forms.

Control, which involves the formation of a system of key indicators of each risk associated with its level and showing potential sources of risk, as well as allowing them to be analyzed on a regular basis. Banks also set limits (limitation) on the magnitude of risks and subsequent control over their implementation. Limits are reviewed on a regular basis (as well as in special cases) and are set by the bank's management bodies.

Risk mitigation methods:

risk avoidance, which implies the development of strategic and tactical decisions that exclude the occurrence of risky situations, or the refusal to implement operations and projects with a high level of risk. This method is usually used by banks at the stage of decision-making on the launch of new activities, products, services or technological chains, when the project has not yet begun and there is an opportunity to revise previously made decisions;

development and implementation of a plan to ensure business continuity, which allows to ensure the continuity of the bank's operation in the event of a system failure and failures in the operation of technical equipment, as well as under the influence of external adverse factors. The development of such effective plans requires quite large investments, including financial, temporary, and personnel. The presence of such plans makes it possible to follow a pre-thought-out and tested instruction that ensures the achievement of the best result with minimal losses in the shortest possible time;

risk transfer (insurance, outsourcing), used in cases where the bank cannot cover individual risks on its own or when it is cheaper to insure risks than to implement measures to reduce them;

hedging - a form of risk neutralization (insurance) based on the use of various types of financial instruments;

diversification, which implies a risk minimization mechanism based on the principle of risk sharing, which prevents their concentration; allows you to reduce the maximum possible losses per event, but at the same time, the number of other types of risks that need to be controlled increases.

The banks of the country have developed and enshrined in local regulatory legal acts the procedure for internal risk control, including taking measures in case of its violation, which has the following classification:

Preliminary control, characterized by the selection of qualified personnel; development of clear job descriptions; preliminary analysis of the riskiness and effectiveness of ongoing operations; providing the bank with the necessary technical means, equipment, information technologies;

Current control, implemented by checking compliance with the requirements of the legislation of the Republic of Belarus, local regulatory legal acts of the bank on risk management, established decision-making procedures, limits and other restrictions, the procedure for signing, making payments, the reliability of reflecting banking operations in accounting;

Follow-up control, implemented by checking the validity and correctness of transactions, compliance of documents with established forms, compliance of functions performed by employees job descriptions;

Comparison of incurred and planned losses, comparison of planned and actual performance indicators, the magnitude of inherent and residual risks;

Evaluation by the internal audit service of the effectiveness of risk management in the bank.

Qualitative analysis involves the calculation of the following indicators:

The maximum foreseeable loss (MFL) is the maximum amount of losses that the bank will incur if events develop according to the worst-case scenario and the bank's "security" system does not work.

The maximum probable loss (MPL) is the maximum amount of loss that a bank can incur, given that losses are controlled to some extent by an effective system of protection and coverage.

Quantitative analysis consists in the collection and processing of statistical data:

compiling a database of losses with a description of the causes that caused them;

compiling a 5-year (or more) history of bank losses with their full description;

classification of losses (for example, according to the reasons that caused them);

calculation and determination of losses that are not reported;

determination of the main trends based on the collected statistics;

forecasting bank losses for the future.

Business strategy in a risky environment always carries the highest risk premiums. If risk-return and risk-adjusted performance profiles are comparable across lines of business and measurable for the business as a whole, a company can identify two key objectives:

Set a risk profile for your creditors;

Form the value of the company for shareholders.

table 2

RiskTraditional valuation methodLeading valuation methodRisk management techniqueInterest rate riskRSA/RSL RSA-RSLGAR by maturity groups Duration VARmanagement of GAP in dynamics Duration analysis hedgingCredit riskloans/assets non-performing loans/loans doubtful loans/loans loan loss reserves/loansconcentration of loans loan growth interest rates on loans reserves to cover non-performing loansformation and implementation of credit policy, segmentation credit analysis diversification of the loan portfolio monitoring the creation of reserves securitization insuranceLiquidity riskloans/deposits liquid assets/depositsassessment of net liquidity positionliquidity planningmonitoring of the bank's payment and liquidity positionCurrency riskopen currency positionassessment of the bank's currency portfolio VARdiversification hedging insurance provisioningLeverage riskcapital/deposits capital/performing assetsassets, weighted risk-based/equity match asset growth with capital growthcapital planning growth sustainability analysis dividend policy risk-based capital adequacy controloff-balance sheet riskoff-balance sheet volume/capital delta P principal option risk conversion reserve capital adequacy

There are discussions about what measures to use to account for risks in performance management, which of them are “good” and which are not. But, as in any other field, the answer is: it depends on what they are used for. The following are the currently most popular measures and their application: at-risk (VaR)

The idea of VaR grew out of the question “How much can we lose if everything goes against us?” - You can answer this question in the form “we are X% sure that we will not lose more than V rubles. over the next N days. Value V rub. known as VaR. Regulators usually want to see the value of V at X=99% and N=10 days, but for internal control purposes, a financial institution can choose any values of X and N that are convenient for it. at-risk has become a very popular measure of risk with the introduction of new regulatory standards (Basel , CAD2). It is accepted by regulators to calculate minimum capital requirements. Also, in this context, the Return on VaR (RoVaR) measure can be used, defined as:

Expected return / VaR

For assets where the normal distribution does not apply, RoVaR has the advantage of focusing on the size of the lower bound on risk.

Risk-adjusted Profitability (RAP) = Profit / Risk Capital

This measure can be used to measure individual performance.
In the example above, each trader made the same profit, but the bond trader used the invested capital (Risk Capital) more efficiently. -rate). EVA = profit - (capital x hurdle-rate)adjusted return on capital (RAROC). Defined as EVA / capital Of course, there are many other measures of risk-adjusted performance in financial services, but they are not so clear in our view, for example:

ROA: Return on assets.: Return on Capital.: Return on risk adjusted assets.: Risk adjusted return on assets.: Return on risk adjusted capital.

The information needed to derive risk-based performance measures and KRIs (Key Risk Indicators) is already available in many banks. The task is to bring together data from various sources and bases to calculate them. Moreover, this data needs to be processed and effectively visualized. Those. it is necessary to have a "dashboard" to monitor and manage risk and performance metrics in order to maximize the value of the entire business, while focusing on the individual requirements of management, users of this panel. Much attention should be paid to the ergonomics of presenting information about KRI. Most financial organizations are already familiar with the presentation of KPIs using balanced scorecards and processes. Lessons learned need to be applied to risk management as well, aiming for a seamless integration of risk and business performance data.

b) banking understanding of the banking risk management process;

c) desired value pain threshold and other indicators of the level of risk containment;

d) responsibility of personnel for the implementation of the program;

e) accountability to the Board of Directors.

2. Organization of the risk management system in modern commercial banks

.1 Experience of foreign commercial banks

The world experience of commercial credit organizations allows us to formulate the principles of building an intrabank risk management system.

To build an effective banking risk management system, it is necessary to:

) formulate the management strategy and objectives in internal banking documents;

) establish the principles for determining, assessing and diagnosing risk as the basis for setting priority strategies and objectives and ensure a balanced protection of the interests of all persons related to the bank;

) define accountability procedures. self-assessment and evaluation of performance in accordance with the principles of risk management and control systems, use these procedures as factors for improving the management process;

) develop a monitoring and feedback mechanism to ensure the high quality of procedures, evaluation and verification of their implementation.

Foreign banks use Basel, which is designed to help commercial banks mitigate risk. It has some very strong levers, such as 96-T, which states that you need to look at the bank's business model and take into account its business risks - both strategic and related to the business model. Taking into account the business model and specific risks of a particular bank, as well as stress testing, not only increases the efficiency of the organization, but also helps to increase the stability of the entire financial system.

Leading foreign financial institutions have long recognized the importance of an integrated management system that would unite all types of risks, including systemic, at the strategic and operational levels, as well as all structural divisions, employees and management of the bank.

The International Association of Risk Management Professionals (GARP) conducted a study. As part of the study, 5,000 professional risk managers from Germany and the UK were interviewed. The survey showed that there is still room for improvement in risk management technologies, as only 32% of risk managers believe that their CEOs are up to date with the latest technology.

neither business nor IT enjoy the latest advances in this area. As a result, businesses are missing out on the profit and efficiency benefits that come with well-integrated systems.”

In addition, 57% of respondents stated that they update the risk management database at night, while the majority of risk professionals agree that many of the results they need should be available on demand. Only 28% perform sophisticated analysis for real-time trading, while another 32% do intraday analysis. For larger issues such as global positions and portfolio and counterparty exposures, most companies rely on overnight processing. Only a few analyze them in real time, and approximately 20% perform their calculations regarding the portfolio, counterparties and global positions only once a week.

The study also reveals other challenges professionals face

risk management: some complain that they have to deal with too many different databases (24%), another 15% of respondents think their databases are too slow, and 11% say that new features and analysis are either taking too much time consuming or too expensive. Data integration and integrity are key to effective risk management. While less than 40% of survey participants cited satisfactory system integration, seemingly disparate data is still prevalent in many financial institutions. This is a concern as the recent financial crisis has revealed significant shortcomings in overall risk reporting in many institutions.

A small majority of respondents stated that their middle office provides integration with various trading systems, while only 47% indicated that their middle office systems can integrate with multiple risk systems.

“By integrating systems, risk managers can reduce reconciliation efforts, reduce costs and, most importantly, work from a single source of data, resulting in significant savings in storage costs. Risk managers do not need constant real-time reporting - but they need to be able to easily access information in real time.

More than half (63%) of companies are now ready to increase investment in risk management technologies. “Risk management has always needed funding, although perhaps regulators will require even more investment in the area of risk management. With these factors in mind, it is still reassuring that everyone understands the need and priority for investment.” The study uncovered some interesting contradictions - risk managers often seem to be relatively happy with systems that have failed to provide all the information they need to do their job.

2.2 Risk management in domestic realities

In accordance with the Letter of the Central Bank of the Russian Federation “On Typical Banking Risks” dated June 23, 2004 No. 70-T, banking risk is understood as “the possibility (probability) inherent in banking activities of a credit institution incurring losses and (or) deteriorating liquidity due to the occurrence of adverse events, associated with internal factors (complexity of the organizational structure, skill level of employees, organizational changes, staff turnover, etc.) and (or) external factors (changes in the economic conditions of the credit institution, applied technologies, etc.)”.

Every year, Russian banks pay more and more attention to managing the risks inherent in their activities, but in most of them the main, and often the only direction of risk management is credit risk management. In the banking practice of the Russian Federation, the most common method of reducing credit risk is the introduction of collateral (real estate) by the borrower, while the reflexive relationship between the loan and the collateral that arises in the management of credit risks is not taken into account. For the first time this effect was systematically analyzed by J. Soros as a special case of his general theory of reflexivity. The main difficulty in determining the true value of collateral is that its market price is a floating value and depends on the phase of the economic cycle. Thus, a strong economy with high credit activity, as a rule, raises asset valuations and increases the volume of incoming income, which serves to determine the creditworthiness of the borrower; on the trajectory of an economic downturn, the value of collateral assets plummets.

Figure 1 - Scheme of the credit cycle and dynamics of the price of collateral

Thus, for an adequate assessment of the value of collateral, it is necessary to take into account the future dynamics of the national economic situation, i.e. making microeconomic decisions depends on the macroeconomic situation. This predetermines the need for credit institutions to conduct macroeconomic forecasts in order to develop an effective credit policy.

Thus, in order to develop the banking system of the Russian Federation and increase its competitiveness, it is necessary to:

attach more importance to building an effective risk management system. First of all, this concerns regional banks, for which this issue is directly related to increasing their competitiveness and the possibility of expanding the range of services.

ensure the construction of risk-oriented banking supervision and support for the initiatives of the Basel Committee and the Bank of Russia in this direction.

improve the quality of risk assessment, create an operational risk management system.

to reduce liquidity risks, ensure access to the Bank of Russia refinancing system.

at the federal level: creation of an early warning system for crisis situations in the banking sector and optimization of reporting.

prepare the banking system for the transition to Basel 2, including reforming the mechanisms for regulating banking activities, and reducing the level of costs for the implementation of Basel 2 principles.

One of the main areas of work carried out in this vein is bringing the system of accounting, reporting and regulation of the activities of Russian credit institutions to the world standard. In Russia, the provisions of Basel 1 have already been implemented to one degree or another, it is planned to be implemented, in a rather simplified form, new version Basel 2 agreements. At the same time, the quality of their implementation leaves much to be desired. Many principles are considered to be formally embodied in practice, since the Central Bank of the Russian Federation imposes requirements on credit institutions that correspond to the minimum level recommended by the Basel Committee.

Commercial banks, in view of the specifics of their activities, are daily exposed not only to credit, but also to market risks. Consequently, an insufficient level of market risk management can lead to significant losses (losses) and even cause insolvency (bankruptcy) of the bank.

According to the Letter “On Typical Banking Risks”, market risk is “the risk that a credit institution will incur losses due to adverse changes in the market value of the financial instruments of the trading portfolio and derivative financial instruments of the credit institution, as well as the exchange rates of foreign currencies and (or) precious metals.”

The effectiveness of managing this risk in a commercial bank is determined, first of all, by the methods and models on the basis of which risk assessment and analysis are carried out. One of the main problems for Russian banks today is the insufficient development of risk assessment methods. In this area, banks cannot apply foreign and already proven methods due to significant differences and features of the Russian financial system and the history of its development.

A typical problem for Russian banks is the complexity of the IT architecture, as a result of which a significant part of management reporting is built “by hand”, macros in Excel, etc. As a result, staff growth in all divisions of the bank and significant operational risks. To improve this process, it is necessary to develop and implement an adequate IT strategy. Almost all departments of the bank should participate in this process. This is an expensive and long-term project.

Integration required. The problem should be solved on the basis of a single information space, for the creation of which it is necessary to use a data warehouse. You just need to understand that the structure of the data warehouse must be formed by the bank. He must also determine the sources of information, including local risk management systems, from which data will be supplied to the warehouse. Naturally, the problem can be solved if the architectures of local systems are open and provide easy access to information.

For Russian banks, it is very important to create an integrated management system that would unite all types of risks, including systemic, at the strategic and operational levels, as well as all structural divisions, employees and management of the bank. It must be remembered that the lack of cash in an ATM today may lead to a massive outflow of term deposits tomorrow, and a delay in making a payment may cost the closing of limits in the interbank market. The solution to such problems is associated with clear and precise communication, preventive crisis planning and top management's awareness of the importance of risk management. All these tasks are solved within the framework of the integrated risk management system.

Surveys of experts show that risk management in general and the creation of an integrated system in particular in our country are given disproportionately little attention. Depending on the size and origin of the financial institution, a number of typical representations can be distinguished.

First, the underdevelopment of the financial market. The absence or very limited scope of many derivatives makes it impossible for banks to hedge market risk or to alienate credit risk. In this regard, various forms of securing obligations come to the fore. It should be noted that the presence of a guarantee does not mean a high quality of the borrower. On the contrary, the demand for guarantees is evidence of doubts about solvency. At the same time, the accounting and management of instruments for securing obligations cause additional costs that could be avoided in the case of a developed financial market. In addition, in such a situation, credit risk modeling based on an analysis of the dynamics of share prices (for example, Moody's KMV) cannot in principle be used for Russian borrowers.

Secondly, the country rating is still low. Traditional systems of internal ratings of Western banks are of little use in Russian conditions, since the inclusion of a country rating actually resets the assigned score, making detailed calculation of individual indicators pointless.

Thirdly, insufficient qualification of risk managers. In our country, specialized professional training of risk managers is practically not carried out. While certification of financial analysts is a common practice for leading companies, there are no similar events for risk managers. Therefore, even well-educated risk managers are not always able to quickly respond to changes in the practice and methodology of risk management.

Fourth, an extremely underdeveloped external information infrastructure. In Russia, it is extremely difficult to trace the borrower's credit history, the ownership structure is tied to offshore holding companies, and the degree of information disclosure by management is insufficient. All this leads to the fact that the analysis of the financial position of the borrower is mainly based on accounting data, which are presented with a significant time lag and only conditionally reflect the real financial position due to the specifics of the Russian accounting system. The problem of insufficiency of the observation period for the use of statistical methods, which is inherent in banks in many countries, is particularly acute in Russia. This problem is exacerbated by the fact that there are practically no associations of financial institutions that can stimulate the creation of a joint data bank and the exchange of information. Thus, most banks are forced to rely on their own materials, the methodology for collecting which is in the process of becoming.

Fifth, coupled with the lack of powerful associations, the small size and volume of banks' operations prevent them from investing in large-scale projects or simply acquiring high-end risk management tools. Finally, a serious obstacle is the consolidation of economic entities into concerns, including financial and non-financial enterprises.

In order to manage certain banking risks in emergency situations, a set of measures for crisis situations is being developed and implemented.

The main goal of developing and implementing a set of measures for crisis situations is to prevent a significant deterioration in the state of a specific area of the Bank's activities or the achievement of a critical value for the Bank by the corresponding banking risk.

Objectives: time limitation of the use of emergency procedures for managing certain banking risks; minimizing the cross-impact of certain risks, including reducing the impact of a particular risk on the Bank as a whole; prevention of similar crises in the future; return of a certain line of business or related banking risks to a state in which it is possible to manage this business or a certain risk using exclusively regular procedures.

The method of full risk assessment - stress testing - uses the opposite principle to historical models: scenarios are modeled that are not at all embedded in retrospective data, but rather predicted by the researcher, which is one of the advantages and disadvantages of the method at the same time. These are subjective scenarios of large fluctuations in market conditions, typical for market stresses. The main objectives of using stress testing are: determining a set of measures to compensate for possible critically large losses of the Bank in an extreme situation and developing the necessary measures to reduce certain risks and/or reduce the negative impact of these risks. The main principles of applying stress testing tools are: regular use, consideration of all possible scenarios that may have a critical impact on the Bank's condition.

parallel shift of the yield curve by ± 100 basis points;

rotation of the rate curve by ± 25 basis points;

change in the share index by ± 10%;

movement of exchange rates by ± 6%.

Benefits of stress testing: Any scenario can be considered; allows you to identify the influence of individual factors; answers the question: what is the worst thing that will happen in the remaining percentage of cases? Disadvantages of stress testing: scenarios are poorly substantiated, subjective; scenarios are determined by the composition of the portfolio; risks that may be inherent in a portfolio with a changed structure are not taken into account; estimates only the size of losses, not taking into account their probabilities; poorly suited for analyzing large portfolios with a large number of risk factors. The frequency of stress testing, as a rule, should not be less than once every six months.

The Bank of Russia has summarized the results of the survey "On the Practice of Stress Testing in Credit Institutions" (Appendix K). Most of the credit institutions surveyed (78%)1 conduct stress testing. Of these, 91% of banks use the approaches recommended by the Bank of Russia when organizing stress testing. During stress testing, liquidity risk was assessed by 92%, credit risk - by 84%, market risk - by 82% of banks. Operational risk is assessed by about half of credit institutions that carry out stress testing. Stress testing by types of risks is carried out by banks on average with the following frequency: credit risk - 6 times a year, market risk - 5 times a year (3 banks daily), liquidity risk - 9 times a year (7 banks daily), operational - 7 times a year. On the whole, the results of the survey allow us to speak of a significant positive trend in terms of the use of stress testing methods by credit institutions. At the same time, the Russian practice of risk management, in particular, the use of stress tests, is gradually approaching international approaches (in Europe, a stress test is an integral part of risk management).

Stress testing of credit institutions, which are obliged to calculate the amount of interest rate risk, shows that in general for the group under consideration, sensitivity to interest rate risk increased in 2005: as of the beginning of the current year, potential losses could amount to 5.5% of capital against 4.8% at the beginning of last year. This happened in connection with the growth of trading portfolios of credit institutions. At the same time, in the event of the implementation of the scenario under consideration, individual banks may suffer serious losses.

In Russia, banks are currently just starting to assess risks in accordance with Basel II and are just beginning to gain experience in this area. <#"justify">The maximum risk per borrower or group of related borrowers (H6) is set as a percentage of the bank's capital. When determining the amount of risk, the total amount of loans and borrowings issued by the bank to this bank, as well as guarantees and sureties provided to one borrower, is taken into account:

H6=KRz*100%/K,

where KRz - the total amount of the bank's claims to the borrower; K is the capital of the bank.

The maximum allowable value of the H6 standard is 25%. OJSC Promsvyazbank did not violate the maximum risk limit per borrower or group of related borrowers H6.

All activities of Promsvyazbank OJSC are computerized, which greatly simplifies the tasks and functions of individual employees.

The use of automated workstations reduces the cost of document management by several times, increases the speed and quality of document preparation, streamlines the organizational structure of document management, and thereby increases management efficiency.

Examples of technologies used in banking include:

Databases based on the "client-server" model (usually using Windows 7 and Oracle database);

Means of interconnection for interbank settlements; settlement services entirely oriented to the Internet, or so-called virtual banks;

Banking expert-analytical systems using the principles of artificial intelligence and much more.

The bank uses the WINDOWS 7 system and such programs as Microsoft Word and Microsoft Excel, BISquit, Analyst, the program "1C: Enterprise" is also used. It belongs to such a class of programs as an accounting constructor.

This system is made as a universal blank, from which, with the help of settings, you can make a software system suitable for any company. Like other systems, it facilitates the user's work. The enterprise has installed and implemented a local area network system that provides a single information space with the ability to access the global computer networks (Internet), which ensures an increase in the operational processing of incoming and outgoing information, the coordinated work of all departments of the enterprise, and the effective use of available computing facilities.

Banking Risk Management Methodology

Stage nameMethodsDerivatives (instruments)IdentificationIdentification methodsRisk mapEvaluation of the consequences of the occurrence of risksEvaluation methodsEstimates, forecastsMaking decisions on control actionMethods for managing a risk positionLimits, reserves, standardsControllingControlling methodsFine, sanctions, sanitation, correction

The main principle of the functioning of this mechanism remains a clear regulation of the goals, objectives, functions and powers of all structural divisions and collegiate bodies involved in the process of banking risk management. The prerogative of the banking risk management process is the allocation of responsibility centers, each of which performs a specific role in this process.

The automated banking system is a set of information, personnel and a set of automation tools that implement the banking technological process or part of it. Such an understanding is in good harmony with the modern approach to processing information in a documentary form, where a document is considered to be information recorded on a material carrier with details that allow it to be identified. Thus, a document is not only a text or an image on paper, but also a file on a tangible medium, and a record line in a database. Therefore, it will be more accurate to define the information system of a bank as a set of information, personnel, material carriers, automation tools, technical and technological solutions for information processing. Outdated software can lead to increased risks, so it is necessary to improve the information system. The work of risk managers and financial analysts can be automated for faster decision making. The new generation of programs have a standard set of PC features that allow you to:

check the reliability of the initial information, create and promptly correct various methods of credit risk analysis, conduct internal and remote financial and economic analysis of the activities of organizations, assess their financial stability and solvency, assess the levels of acceptable risks, compare organizations according to specified criteria, compile various rankings and ratings , carry out the classification of organizations;

form various textual conclusions, analytical reports, professional judgments using tabular and graphical presentation of data as illustrative material;

calculate the values of credit limits for one or several borrowing organizations using various methods for analyzing their financial stability and solvency;

apply various methods of factorial and regression analysis to assess the possible interdependencies of analytical indicators and automatic construction and various rating and scoring systems using multiple regression methods (including using the logit and probit regression methods), carry out the procedure for verifying the constructed systems using the ROC analysis mechanism - curves;

assess the value of the VaR indicator and conduct stress testing procedures for various financial portfolios, taking into account factors of credit and market (interest, currency, stock) risk, as well as liquidity risk.

This is an expensive and lengthy procedure, but it is necessary to build an effective risk management system.

To implement the objectives of the Policy, the Bank's supreme management bodies, collegial bodies and structural divisions of the Bank participate in the risk management system in the following areas:

) The Meeting of Shareholders understands the Bank's need for the amount of capital necessary for its activities.

) The Supervisory Board of the Bank understands the main banking risks inherent in the activities of the Bank, which for the purposes of the Policy in accordance with the recommendations of the Basel Committee on Banking Supervision are understood as credit risk, market risk (including interest rate risk), operational risk, liquidity risk; regularly (but at least once a year) evaluates the effectiveness of the implementation of this Policy; approves the business plan of the Bank; supervises the activities of the internal audit department.

) The Board of the Bank considers the draft business plan of the Bank, which takes into account the economic environment of the Bank, its financial condition and banking risks to which the Bank is or may be exposed in the implementation of this plan; understands the banking risks inherent in the activities of the Bank; determines acceptable levels of banking risk; provides the Supervisory Board with information on the implementation of the Bank's business plan.

) The Internal Audit Department conducts independent control over the functioning of the banking risk management system, determining the compliance of actions and operations carried out by the Bank's employees with the requirements of the current legislation, local regulatory legal acts of the Bank, reports on which it submits to the Supervisory Board of the Bank and the Management Board of the Bank; receives (if necessary) from structural subdivisions (branches) of the Bank on paper and (or) in electronic form documents, reports, source documents, other information necessary to assess the effective implementation of the Policy and control of the banking risk management system; develops and implements measures (including those not provided for by the Policy) to improve the efficiency of the banking risk management system.

) The banking risk management sector, whose tasks include monitoring compliance with risk management policies and procedures, monitors the state, analyzes and assesses banking risks in the whole of the Bank, conducts stress testing of banking risks, in accordance with the current one, identifies and analyzes factors that increase banking risks; development of measures for effective management and limitation (reduction) of banking risks.

Reformation of the Bank's organizational structure (introduction of new banking products) is carried out taking into account the analysis of banking risks potentially inherent in a new structural unit (branch) of the Bank (new banking product).

In 2013, the Bank continuously identified, assessed and controlled the level of operational, credit, market and liquidity risks.

Maintaining the required level of liquidity was facilitated by the growth of the bank's resources, as well as the high level of liquid assets in the structure of the bank's assets (based on liquidity).

As of January 1, 2013, the ratio of the bank's liquid and total assets (with the standard set by the Central Bank of the Russian Federation - at least 20%) was 37.0%.

credit risk. During 2013, the bank complied with all credit risk limits established by the Central Bank of the Russian Federation. If all mandatory credit risk ratios approved by the Central Bank of the Russian Federation are met, the level of credit risk is recognized as acceptable.

Net profit for the first half of 2013 amounted to 5.121 billion rubles, which significantly exceeds the same indicator of the previous year (920 million rubles as of June 30, 2013)

The size of the Bank's loan portfolio stabilized and, according to the results of the half year, amounted to 64,807 million rubles, having decreased by 4.4% (from 67,802 million rubles as of December 31, 2012)

The operating income of the Bank for 6 months of 2010 increased by 5.2% to 12.158 million rubles. (as of June 30, 2012 - 11.561 million rubles)

The Bank has a balanced liquidity position, which allows it to effectively manage its liabilities. Cash and cash equivalents amount to more than 10.8 billion rubles, the portfolio of highly liquid bonds is 8.9 billion rubles. The total net position for 12 months is 30.2 billion rubles. as of June 30, 2013.

The share of deposits and current accounts in the Bank's liabilities reached 27% compared to 17% at the end of 2009.

Equity capital increased by 27.7% over the year and reached 28.791 million rubles (as of June 30, 2012 - 22.541 million rubles). The capital adequacy ratio of CAR as of June 30, 2013 was 37.9% (as of December 31, 2013 CAR was 36.4%). This is one of the highest rates for the entire banking system.

The effective risk management policy of the Bank has significantly improved the quality of the loan portfolio: the level of overdue loans over 90 days (NPL) amounted to 9.7% of the loan portfolio (12.9% as of December 31, 2012), over 6 months of 2013 the cost of risk fell up to 4.2% per annum (11.9% as of December 31, 2012)

Promsvyazbank is one of the most successful banks in Russia in the retail lending segment with a market share of about 27% in the consumer lending segment and 6.2% in the credit card segment.

During the second quarter of 2013, the Bank stabilized its loan portfolio by offering competitive loan products. The Bank's loan portfolio remains diversified and amounts to 64.807 million rubles. as of June 30, 2013. At the same time, the share of consumer loans in the portfolio is 41.2% (26.731 million rubles), the share of credit cards - 22.3% (14.435 million rubles), the share of cash loans - 16.6% (10.747 million rubles). ), mortgage loans - 11.7% (7.571 million rubles), car loans - 2.5% (1.651 million rubles), corporate loans - 5.7% (3.672 million rubles).

One of Promsvyazbank's competitive advantages is its client base, which numbered more than 18.6 million people as of June 30, 2013. This allows the Bank to effectively cross-sell its products and services.

The quality of the loan portfolio continues to demonstrate positive dynamics due to the continuous improvement of the risk management system. This enabled the Bank to attract reliable clients and effectively manage risks. The level of overdue debts over 90 days decreased significantly - to 9.7% (as of December 31, 2012, this indicator was equal to 12.9%). The Bank traditionally adheres to a conservative approach to the formation of reserves. The reserves to NPL ratio is 98%.

Thus, the overall financial position of Promsvyazbank can be characterized as stable. The main factors that had a significant impact on the results of financial and economic activities is the ability of the bank to actively respond to changes in the market situation and take prompt measures to optimize business, maintain asset quality through continuous improvement of the credit risk management process and optimization of product parameters.

The conditions of tough banking competition, which require credit institutions to make prompt decisions regarding the provision of credit loans in order to attract corporate clients, on the one hand, and high credit risks associated with lending to the real sector of the economy, on the other, cultivate the need to develop and implement improved technologies, capable of assessing their creditworthiness in a quality manner and within a timeframe acceptable to customers. In order to solve the problem of combining the efficiency and quality of assessing the credit risks of borrowers, one of the options for developing a methodology for express assessment of the creditworthiness of corporate clients is proposed, which will allow determining the level of credit risk based on financial ratios. The methodology was developed on the basis of the rating method for assessing the creditworthiness of borrowers, taking into account the following main shortcomings identified in the process of analyzing this method, namely: the arbitrariness of the choice of a system of basic financial indicators; non-compliance of financial ratios with the recommended values, which may become the basis for declaring the client bankrupt, regardless of the values of other ratios; lack of consideration of industry-specific activities of corporate clients; cumbersome system of financial indicators.

The choice of the rating method as the basis for constructing the methodology is justified by its wide popularity and popularity among credit specialists of Russian commercial banks due to its simplicity and ease of use in practice.

It should be noted that the proposed methodology does not detract from the merits of an integrated approach to assessing the creditworthiness of corporate clients, which takes into account not only their financial condition, but also qualitative factors of their activities, such as the level of management, the nature of the transaction being credited, the structure of owners, etc. However, given the fact that the impact of qualitative characteristics of borrowers' activities on the level of their credit risk has not yet been sufficiently studied both in practice and in the scientific literature and is difficult to formalize in the form of any reasonable mathematical and statistical models, we consider it inappropriate to include qualitative factors in the methodology. The system of selected financial indicators must meet two main criteria: coefficients must most fully characterize the financial condition of the client; coefficients should duplicate each other as little as possible. Let us define a system of indicators consisting of 9 financial ratios that form the basis of the proposed methodology for express risk assessment in lending to corporate clients of a commercial bank. The recommended values and economic meaning of the financial indicators included in the methodology are shown in Table 3.

Index designationCoefficient nameEconomic senseRecommended value of the indicatorTradingProduction x 1 autonomy Determines the degree of independence from borrowed funds> 0.1> 0.3 x 2 current liquidity Characterizes the client's ability to fulfill current obligations at the expense of current assets from 1 to 2 x 3 self-sufficiency net profit received from 1 rub. sales revenue average > 0.15 average > 0.1 x 5 receivables turnover Shows the average maturity of short-term receivables average 45 days average 30 days x 6 accounts payable turnover Shows the average time required for the client to pay off their accounts payable average 60 days x 7 finished product turnover Shows the average sales period of products average 45 days on average 15 days x 8 of coverage Characterizes the client's ability to pay off bank loans from the flow from its core activities 2 x 9 cash component in revenue Shows the share of cash in sales revenue 1

It should be noted that in order to calculate the coefficients of the methodology, it is sufficient for clients to provide only three forms of financial statements: balance sheet (form No. 1), income statement (form No. 2) and cash flow statement (form No. 4).

Based on a comparative analysis of methods for assessing the creditworthiness of corporate clients of five Russian commercial banks, the intervals for changing the values of each of the 9 financial indicators were established, and the number of points corresponding to these intervals was assigned. At the same time, the intervals of coefficient values were adjusted in accordance with the industry specifics of corporate clients. Trade and production were chosen as the basic industries, since representatives of these particular sectors of the economy are most often found among clients of commercial banks.

Determining the weight of each financial indicator in the method of express-assessment of the creditworthiness of corporate clients of a commercial bank.

Based on a comparative analysis of the weights occupied by financial indicators in the methods for assessing the creditworthiness of corporate clients of five commercial banks, we determine the average value of the weight of each of them and the place corresponding to this value in the developed methodology.

Table 4 - The share of financial indicators in the methodology for express assessment of the creditworthiness of corporate clients of a commercial bank in descending order

Indicator designation Coefficient name Place of the indicator in the methodology Weight of the indicator in the model (W) x 1 current liquidity 10.18 x 2 profitability of sales 20.14 x 3 coverage 20.14 x 4 autonomy 30.12 x 5 receivables turnover 40.1 x 6 own funds 40.1 x 7 accounts payable turnover 50.08 x 8 turnover of finished products 50.08 x 9 total cash component

To develop the scale, we will use the formula for calculating the credit rating of corporate clients and calculate the minimum (maximum) possible number of points that a client can score using the proposed method, according to formula 1.

where Rj - total assessment of financial indicators, in points (credit rating); wj - weight of the i-th indicator in the group; Pi - assessment of the i-th indicator of the group, in points; n is the number of indicators.

Let's establish 5 classes of creditworthiness of corporate clients (table 5).

Table 5 - Scale for assessing the credit risk of corporate clients of a commercial bank

Number of points (R) Risk group Characteristics of the risk group more than 801 Minimum credit risk from 60 to 802 Low credit risk from 40 to 603 Medium credit risk from 20 to 404 High risk less than 205 Very high risk

The proposed methodology for express assessment of the level of risk in lending to corporate clients based on the calculation of nine financial ratios has the following advantages over the complex methodology currently used in OJSC Promsvyazbank.

reducing the amount of time required to assess credit risk for one borrower;

Due to the decrease in the number of factors considered when lending to corporate clients, the duration of consideration of one loan application is reduced.

increase in the client base;

There are a number of corporate clients that do not meet the requirements of the methodology used in the OJSC Promsvyazbank . The proposed methodology takes into account other factors when assessing the level of credit risk. Consequently, some corporate clients may obtain a credit risk assessment sufficient to qualify for a loan product. The risk of an increase in the number of problem loans is negligible, since financial ratios quite accurately characterize the financial condition of a potential borrower.

lack of subjectivity;

The proposed methodology does not take into account subjective factors. The possibility of influence of employees of the credit department is reduced to a minimum. Evaluation by the proposed method is more objective.

reduced requirements for personnel qualification;

A simpler methodology helps to reduce the number of errors in assessing the level of credit risk.

simplified system of financial indicators;

A smaller number of financial indicators also contributes to the simplification of the procedure for assessing the level of credit risk.

the industry specifics of corporate clients' activities are taken into account, which in turn has a positive effect on the accuracy and quality of the assessment.

In conclusion, it should be noted that in order to evaluate the effectiveness of this methodology, this methodology can be tested at trading and manufacturing enterprises that are corporate clients in OJSC Promsvyazbank.

This technique looks appropriate for practical application of express credit risk assessment as a basis for making managerial decisions regarding the possibility of lending to corporate clients, taking into account their industry affiliation, based on a minimum package of documents consisting of financial reporting forms No. 1, No. 2 and No. 4 It should also be noted that this technique can be used not only by specialists of credit institutions, but also by financial managers and analysts of other commercial organizations and enterprises in order to quickly assess and monitor the creditworthiness of companies, as well as to determine the solvency of counterparties-buyers and other business partners.

However, despite the fact that the responsibility for the implementation of the bank risk management program extends to all employees of the bank, senior managers should be financially responsible for the decisions they make. This provision should be written into their contract, and the decision on sanctions should be made by the board of directors after a thorough review of the specific circumstances and the degree of guilt of an individual employee in a financial disaster. .

Determination of clear individual annual goals based on the overall risk management program allows to achieve the best effect of limiting banking risks. As a rule, the starting point is the annual cost of risk (COR), calculated over the past few years. Given changing conditions, this indicator can be used as barometer risk management costs. At the same time, the bank may set itself non-financial objectives, such as, for example, the development and implementation of a new specific risk control program, and so on. In addition, for the most successful risk management, periodic monitoring of the effectiveness of the risk management program, such as an audit, is necessary.

Risk-based performance management will inevitably become the body of integration of management methodologies. The development of information technology, corporate knowledge and analytical applications in the bank will create the possibility of such a vision.

Conclusion

OJSC "Promsvyazbank" today is a large and reliable organization, which is rightfully one of the best banks in the country. The economic indicators of the bank are constantly growing, and the assessments of international rating agencies confirm the stability and significant potential of the bank.

Promsvyazbank's shares are traded on the MICEX, RTS, and the London Stock Exchange in the form of global depositary receipts. The authorized capital of OJSC Promsvyazbank is 12.2 billion rubles.

As of January 1, 2013, the amount of own funds of Promsvyazbank OJSC, according to IFRS, amounted to 66.2 billion rubles, the volume of assets - 739.1 billion rubles.

At the end of 2013, Promsvyazbank took 9th place in the list of the largest banks in the world in Russia.

OJSC Promsvyazbank is one of the leading creditors of the Russian economy.

According to the international rating agencies Moody`s Investors Service, Standard & Poor`s and Fitch, Promsvyazbank OJSC has the highest rating for Russian banks. Russian rating agencies traditionally refer Promsvyazbank to the highest reliability group.

Diversifying its activities, the Promsvyazbank Group is constantly expanding the range of operations carried out on the Russian market and provides customers with a wide range of services accepted in international banking practice.

Conducted checks prove the reliability of the bank. The bank's external auditor is PricewaterhouseCoopers Audit CJSC, one of the four largest in the world. In the opinion of the auditors, the annual reporting reflects fairly in all material respects the financial position of Promsvyazbank OJSC as of January 1, 2014, the results of its financial and economic activities and cash flows for 2013 in accordance with the rules for preparing annual reports established in Russian Federation. Thus, the auditors presented an unconditionally positive opinion, because the company draws up financial documentation in accordance with the requirements of the accounting policy. The auditor's report with financial reporting forms is presented in Appendix A.

The achieved success of the bank has had a significant impact on its business reputation, which is based on its stable and uninterrupted work. Last year, the Bank made serious efforts to expand its client base and further develop mutually beneficial relationships with counterparties, creating the most comfortable conditions and a high level of banking services.

Over the course of three years, the share of working assets has been gradually increasing, which is a positive trend and indicates an improvement in the bank's asset management. The lending policy of the branch is aimed at meeting the needs of the population, enterprises and organizations in borrowed funds.

An analysis of the financial condition shows that the structure of income and expenses is quite stable and not subject to significant fluctuations, the bank has not exhausted its opportunities to increase profitability through income growth. With favorable development of the economy and improvement of the quality of management, the bank has a significant potential to increase profits.

The development of the banking system at the present stage is unthinkable without risk - the risk is present in any operation. In addition, the development of international cooperation processes, the creation of high technologies in the field of telecommunications and communications, informatization and automation of most processes in the economy, the improvement of artificial intelligence systems have necessitated a deep understanding of the nature of risks and their sources. Despite the importance of banking risks, the interpretation of their essence is still debatable.

The organization of an effective risk management system in a commercial bank involves the systematization of scientific approaches for the classification of banking risks. The identification of typical banking risks is an integral part of creating a business risk management and assessment process, since banking risks are closely related to each other and can have a direct impact on each other, and banking operations are affected by a number of risks caused by a complex of factors.

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Risk management is fundamental in banking. Before the bank decides on the issuance and amount of the loan, the risk manager of the bank will check the business plan, accounting and financial statements, and the constituent documents of the enterprise. On the other hand, in the process of obtaining a loan, the risk management department in an enterprise can play essential role at the expense right choice ratio of insured and prevented risks. When checking the liquidity of possible objects secured for issuing a loan, the risk manager of the bank will take into account the fact that your objects are insured. This will make it possible to reduce the interest on the loan.

Risk taking is the foundation of banking. But banks are only successful when the risks they take are reasonable, manageable, and within their financial capacity and competence. Assets, primarily loans, must be sufficiently liquid to cover any cash outflows, expenses and losses while still providing an acceptable

Risk management technology

for shareholders the amount of profit. Studies of bank failures around the world indicate that the main reason for this is the poor quality of assets.

The main task of risk management in a bank is to maintain acceptable ratios of profitability with indicators of safety and liquidity in the process of managing the bank's assets and liabilities, i.e., minimizing bank losses. The level of risk associated with an event is constantly changing due to the dynamic nature of the external environment of banks. This forces the bank to regularly update its position in the market, evaluate the risk of certain events, review customer relationships and evaluate the quality of its own assets and liabilities, i.e., adjust its risk management policy. Each bank must think about minimizing its risks, which is necessary for its survival.

Risk minimization is the struggle to reduce losses (otherwise called risk management), including: anticipating risks, determining their likely consequences, developing and implementing measures to prevent or minimize the losses associated with them.

All this presupposes the development of each bank's own risk management strategy, i. decision-making policy framework in such a way as to timely and consistently use all the opportunities for the development of the bank and at the same time keep risks at an acceptable level. The goals and objectives of the risk management strategy are largely determined by the constantly changing external economic environment in which the bank has to work.

The Bank should accept such risks that it can quantify and manage effectively. Banking risk management is based on the following provisions:

Forecasting possible sources of losses or situations that can cause losses, their quantitative measurement;

Financing risks, economic incentives to reduce them;

Responsibility and obligation of managers and employees, clarity of policy and risk management mechanisms;

Coordinated risk control across all divisions and services of the bank, monitoring the effectiveness of risk management procedures.

Credit risk management. Initially, banks only accepted deposits. However, they quickly realized the benefits of being an intermediary in the transfer of funds, thereby taking on other risks, in particular credit. Credit operations are the most profitable item in the banking business. Banks provide loans to various legal entities and individuals from their own and borrowed resources. Bank funds are formed at the expense of client money on settlement, current, urgent and other accounts; interbank loan; funds mobilized by the bank for temporary use by issuing debt securities, etc. Credit has become the basis of banking, so the credit risk management process deserves special attention.

Chapter 9

Credit risk mitigation methods:

Careful selection of borrowers, analysis of their financial viability and solvency;

Analysis at the preliminary stage of possible benefits and losses from the conclusion of the contract;

Obtaining collateral and other types of guarantees for the fulfillment of the terms of the loan agreement.

Constant monitoring of the financial condition of the borrower, his ability (and willingness) to repay the loan.

The credit risk management process of a commercial bank includes the following stages: development of goals and objectives of the bank's credit policy; creation of an administrative structure for managing credit risk and a system for making administrative decisions; study of the financial condition, credit history and business relations of the borrower; development and signing of a loan agreement; risk analysis of non-repayment of loans; credit monitoring of the borrower and the entire loan portfolio; measures for the return of overdue and doubtful loans and for the sale of collateral.

Key elements of effective credit management are: well-developed credit policies and procedures; good portfolio management; effective credit control; personnel well trained to work in this system.

Credit policy forms the basis of the entire credit management process. It defines the standards to be followed by bank employees responsible for granting, processing and managing loans. The credit policy of the bank is determined, firstly, by the general guidelines regarding operations with the clientele, which are carefully developed and recorded in the memorandum on the credit policy, and, secondly, by the practical actions of the bank personnel who interpret and implement these guidelines. Therefore, ultimately the ability to manage risk depends on the competence of the bank's management and the skill level of its employees involved in the selection of specific loan projects and the development of the terms of loan agreements.

The banker's job is to decide who can be trusted with depositors' money. The bank must determine what loans it will and will not make, how many of each type of loans it will make, to whom it will make loans, and under what circumstances these loans will be made. The risk cannot be ignored. All of these important decisions require that the bank's policy objectives be to maintain an optimal relationship between loans, deposits and other liabilities and equity. A sound credit policy helps to improve the quality of loans. The objectives of the credit policy should cover certain elements of legal regulation, the availability of funds, the degree of acceptable risk, the balance of the loan portfolio and the structure of obligations by maturity.

The largest Russian banks owe their success not least to the fact that they created informational subdivisions that directly service all stages of credit work, use advanced information technologies, interact with private

Risk management technology

mi specialized information agencies and government bodies of Russia. Important information can be obtained from banks and other financial institutions with which the applicant has dealt. Banks, investment and financial companies can provide material on the size of the company's deposits, outstanding debt, accuracy in paying bills, etc. Trading partners of the company report data on the size of the commercial loan granted to it, and from these data it is possible to judge whether the client uses effectively someone else's funds to finance working capital. The lending department of a bank can also apply to specialized lending agencies and obtain from them a report on the financial position of an enterprise or individual (in the case of a personal loan). The report contains information about the history of the company, its operations, product markets, affiliates, regularity of bill payments, debt levels, etc. In the United States, the largest credit agency, Dun & Bradstreet, regularly publishes reports on the status of millions of commercial firms. Information about the payment of trade accounts by American companies is provided by the National Credit Information Service.

This article discusses the basic concepts (risk management) and establishes the parameters that banks should try to achieve in their work.

For bank risk- this is the potential for shortfall in income or a decrease in market value due to the adverse effects of external or internal factors. Such losses may be direct (loss of income or capital) or indirect (imposition of restrictions on the ability to achieve one's business goals). These restrictions constrain the Bank's ability to carry out its current operations or take advantage of opportunities to expand its business.

Risk management is a risk management system that includes a strategy and management tactics aimed at achieving the main business goals of the bank. Effective risk management includes:

control system;
identification and measurement system;
tracking system (monitoring and control).

The concept of risk management (risk management)

Management of risks is the process by which the bank identifies (identifies), evaluates their value, monitors them and controls its risk positions, and also takes into account the relationship between different categories (types) of risks. The set of risk management actions aims to achieve the following goals:

risks must be understandable and understood by the bank and its management;
risks must be within tolerance levels established by the bank's supervisory board;
decisions on risk acceptance should be consistent with the strategic objective of the bank's activities;
risk-taking decisions should be specific and clear;
the expected return must compensate for the risk taken;
the distribution of capital should correspond to the size of the risks to which the bank is exposed;
incentives to achieve high performance should be consistent with the level of risk tolerance.

From the point of view of risk management, it boils down to accepting risk and receiving appropriate compensation (economic benefits) for this.

The purpose of risk management— contribute to the increase in the value of the bank's equity capital, while ensuring the achievement of the goals of many stakeholders, namely:

clients and contractors;
leaders;
employees;
supervisory board and shareholders (owners);
bodies;
rating agencies, investors and creditors;
other parties.

The concept of the complexity of the risk management system

Risk Management Process must:

cover all activities of the bank that affect the parameters of its risks;
be a continuous process of analyzing the situation and environment in which risks arise;
contribute to the adoption of managerial decisions regarding the impact on the risks themselves and / or on the level of vulnerability (exposure) of the bank to such risks.

Risk management decisions may include, in particular, risk avoidance: refusal to accept it; its minimization, including through mitigating factors and / or transfer (transfer) of risk to other persons (through derivative instruments or), setting limits on the exposure of the bank and other methods of influencing the risk (risk carrier) or the level of the bank's vulnerability to it.

Risk management should take place at the level of the organization where the risk occurs, as well as through independent risk review and control functions at the highest levels of management and at the level of the supervisory board.

Banks should try to create a comprehensive risk management system that will ensure a reliable process detection, evaluation, control and monitoring all types of risk at all levels of the organization, including taking into account the mutual influence of various categories of risks, and would also help resolve the issue of conflict of tasks between the need to generate income and minimize risks (see).

When developing and implementing a comprehensive risk management system for a bank, the supervisory board and the board must ensure the following:

implementation of an organizational structure and adequate control mechanisms;
taking risks in accordance with the expectations of shareholders (owners) of the bank, the strategic plan of the bank and regulatory requirements;
distribution in the bank of a common understanding of its corporate culture on risk management;
allocating the necessary resources to create and maintain an effective, comprehensive and balanced risk management system;
reflection in a systematic documentary form of the organizational structure and control mechanisms, appropriate access to these documents for participants in the risk management process in the bank;
harmonization of the organizational structure and business process control systems of the bank with the corresponding systems of subsidiaries and other controlled organizations in such a way as not to harm the controlled and stable activities of the bank itself;
avoiding conflicts of interest at all levels of the bank;
carrying out a risk analysis taking into account the possibility of extreme circumstances (stress scenarios), on the basis of which the bank must determine the appropriate emergency measures, for example, in the form of a crisis action plan (see);
implementation of procedures and measures to prevent stressful situations that may arise due to certain internal factors;
development of procedures and measures for monitoring the adequate capitalization of the bank;
a clear formulation of the policy (normative document) of the bank to control risks and conduct business in accordance with reliability criteria;
systematic risk analysis to identify, evaluate, control and monitor all risks;
development and implementation of internal controls that would ensure proper compliance with the requirements of legislation and regulations, fulfillment of contractual and other obligations, compliance with regulations and procedures, rules and regulations, as well as appropriate business conduct;
creation of an independent risk management unit, which should have the appropriate authority, resources, experience and corporate status in order not to have any obstacles in access to necessary information, in the formation and provision of management reports based on the results of their research;
creation of a service independent of the bank's operating units and separated from the current processes that are part of certain components of certain business processes. The scope of interests of the internal audit service should cover all types of activities and all divisions of the bank.

General approaches to risk minimization and optimization

According to whether there is a relationship between risks and returns, risks can be divided into two groups:

quantifiable risks (). For example, ;
risks that cannot be quantified (non-financial risks). For example, .

Risks for which there is a relationship between risks and returns are considered as quantifiable, the management of these risks is to optimize them. Risks for which there is no relationship between risk and income cannot be quantified and their management is reduced to their minimization.

The risk management process is generally not intended to eliminate risk, but to ensure that the bank receives an appropriate reward for accepting the risk. The exception is some risks for which there is no relationship between their level and the amount of the bank's remuneration (for example, legal risk, reputational risk, ).

Many of the risks to which a bank is exposed are intrinsically banking and stem from the intermediary function of reallocating funds that banks perform (for example, credit risk). For such risks, the bank seeks to optimize the ratio between risk and return, maximizing the return for a given level of risk or minimizing the risk that must be taken to ensure the desired level of return. Thus, two quantifiable approaches to risk management emerge.

Some risks are often the price that must be paid for the right to engage in a certain business, such as legal risk. As a rule, the bank seeks or is forced to reduce such risks to a certain limit level, while trying to incur minimal costs. In this case, an approach to minimizing risks that cannot be quantified is manifested.

Sources and mechanisms of risk control

Bank activity risks arise on the basis of both internal (endogenous) and external (exogenous) factors. A significant part of external factors is beyond the control of the bank and the bank cannot be completely sure about the results of future events that may affect the bank, and the timing of their occurrence.

The main factors that affect the level of external risks are political and related economic ones. All other factors (demographic, social, geographical) are viewed through the prism of political and economic factors.

Among the large number of external risks, five main groups can be distinguished:

force majeure risk— associated with the occurrence of unforeseen circumstances that adversely affect the activities of the bank and / or its partners (natural disasters, etc.);
- is associated with the possibility of the onset of conditions unfavorable for the bank's activities in the political, legal, economic sphere the country in which the bank operates;
- due to changes in international relations, as well as the political situation in one of the countries that affect the activities of the bank or its partners (wars, international scandals, impeachment of the head of state, closure of borders);
legal risk- associated with changes in the legislation of different countries;
macroeconomic risk- arises due to unfavorable changes in the situation in individual markets or the entire economic situation as a whole (). Separately, it is necessary to single out a component of macroeconomic risk - inflationary risk associated with a possible loss of the initial value of assets.

The implementation of an external risk factor to which the bank is exposed may jeopardize the continuity of its activities. Therefore, in the process of risk analysis, the bank must necessarily take into account the possibility of extreme circumstances (stress scenario). Therefore, the bank should develop appropriate immediate measures in the form of a crisis action plan that is regularly updated and tested. Such action plans are an integral part of the bank's risk control mechanisms.

The bank must also ensure that procedures and measures are in place to prevent stressful situations caused by internal causes. The Bank should monitor risks to ensure a reasonable and reliable relationship between the general parameters of its risks and capital, financial resources and financial results (revenues) through appropriate control mechanisms.

Methods for quantitative risk assessment should be based on the criterion of the economic cost of capital and the need to maintain capital at a level that is necessary to offset the risks.

Approaches to the distribution of risk management functions

The bank should provide a clear distribution of functions, duties and powers of risk management, as well as a clear scheme of responsibility in accordance with such distribution.

The distribution of functions and powers should cover all organizational levels and divisions of the bank. Great importance is attached to the distribution of risk management functions between the supervisory board and the board of the bank. The general risk management strategy in the bank is determined by the supervisory board, and the general management of risk management is carried out by the board.

It is also necessary to pay due attention to the distribution of functions and powers of risk management between operational () and control services (audit), especially when we are talking on ensuring the proper performance of the functions of internal banking control.

The distribution of duties and subordination of departments should be documented and brought to the attention of the performers in such a way that all bank personnel understand their functions, duties and powers, their role in the organization and the control process, as well as their accountability.

In world practice, there are four interrelated stages of risk management:

risk identification (revealing);
quantitative and qualitative assessment (measurement) of risk;
risk control;
risk monitoring.

Risk assessment should be carried out and/or confirmed by an independent service - a risk management unit that has the resources, authority and experience sufficient to assess risks, test the effectiveness of risk management measures and provide recommendations for the implementation of appropriate corrective actions.

In addition, other bodies and divisions of the bank are involved in the risk management process within their functions and powers in accordance with the principles of corporate governance.

Concept of losses in terms of risks

Regardless of the sophistication and complexity of their operations, banks must distinguish between expected and unexpected losses.

Expected Losses are losses that the bank's management knows or should know that they may occur (for example, the expected percentage of losses on a credit card portfolio). Usually such losses in one form or another provide for the creation of reserves.

Unexpected losses are losses associated with unforeseen events (for example, a systemic crisis, etc.). The “buffer” for absorbing unforeseen losses is the capital of the bank.

Risk Analysis

The Bank shall ensure systematic risk analysis aimed at identifying and assessing their magnitude. The purpose of the analysis should be to understand the nature of the risks to which the bank is exposed and to determine whether they are consistent with its objectives, strategy and policies. Therefore, such an analysis should be carried out constantly both at the level of the institution as a whole and at the level of individual departments and include the identification, measurement and evaluation of all types of risks, including the relationship and mutual influence between different categories of risks.

The risk analysis should cover all products, services and processes of the bank and include both a qualitative assessment of the relevant risks and an assessment of their quantitative parameters (if possible). Bank management should be aware of the results of the risk analysis and take them into account in their work.

Risk analysis is an ongoing process that should take into account:

changes in internal and external conditions of activity;
new products, services, processes;
future plans.

As a result of the risk analysis, it can be concluded that the risks of the bank do not or no longer meet the selected parameters, or that the selected risk parameters do not correspond or no longer correspond to the tasks and strategy of the bank. It may also be that the bank's organizational structure and controls are not consistent with changes in risk parameters. Therefore, risk management should be accompanied by a review of the objectives, the chosen strategy, the developed organizational structure and control mechanisms.

Risk analysis may reveal risks that have not previously been identified and/or that cannot be mitigated by appropriate procedures and controls. In this case, the bank must decide on the acceptability of such risks and the advisability of continuing to carry out the type of activity on which these risks are based.

To ensure proper identification, understanding and management of risks in their interaction with each other, they should not be considered separately from each other. The analysis required to identify and summarize risks should be carried out at a level that allows coverage of the bank as a whole, both on an individual and consolidated basis.

The Bank must ensure that conflicts of interest are avoided. Risk analysis should be carried out and its results communicated to stakeholders without any influence from the bank's management responsible for a particular activity.

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