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...

To price bank's assets correctly, it is important to know cost of funds. But funding cost calculation is complicated due to the fact that banks fund long-term assets through short-term liabilities. As a result, assets with a given time to maturity are usually financed by several liabilities with...

In the paper, different approaches to pricing on loan are compared. “Cash Flow at Risk” approach to loan pricing is suggested. Application of this approach ministers to protect a bank against both credit and liquidity risks, and to receive by it interest income with interest rate that is not...