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

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

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Year of publication:	2013-01-23
Authors:	Voloshyn, Ihor ; Voloshyn, Mykyta
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	integrated risk management \| cash flow at risk \| economical capital \| pricing \| interest rate \| spread \| credit risk \| market risk \| operational risk \| liquidity risk

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	D01 - Microeconomic Behavior: Underlying Principles ; G12 - Asset Pricing ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011130320