Statistical Assessment of Risks of Banking Activity

Abstract

The authors summarized the classification of risks by their types: external and internal (functional and financial). It was noted that to the extent of the influence of external factors (legislation, the level of socio-economic development of the country, the behavior of investors, market conditions, the stability of the national currency exchange rate, etc.), it is practically impossible to assess the magnitude of external risks.

Financial risks were described and it was determined that three categories of risk are the main among them: market, credit and operational. In the management of financial risks, a comprehensive approach to their study should be applied, namely, taking into account all three types of risks and their interaction, which can prevent the occurrence of a negative event, or at least control it.

To assess the level of credit risk, the authors provided the most important financial ratios: credit activity ratio, reserve adequacy ratio, loan quality ratio, overdue loan ratio, maximum risk per borrower, concentration level of large credit risks, concentration level of credit risks per insider, concentration level credit risks among insiders, the write-off ratio from reserves, the level of profitability of credit operations. For an integral assessment of the level of risk, it is advisable to apply a synthesis of all these characteristics.

The importance of monitoring banking activity and the availability of appropriate information and statistical support is substantiated. It was determined that an important tool in risk management is their objective assessment. The theoretical foundations of statistical risk assessment of banking activity are described, their advantages and disadvantages are indicated: the method of expert assessments, multivariate average, index models, linear and logistic regressions, discriminant analysis, Value-at-Risk and Credit Portfolio View methods.