scholarly journals Economic and psychological aspects of estimation of risks of securitization of banking assets

2019 ◽  
Vol 81 (1) ◽  
pp. 443-448
Author(s):  
I. A. Kiseleva ◽  
N. E. Simonovich ◽  
O. V. Pribytkova
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Financial Risk ◽  
Banking Sector ◽  
High Rate ◽  
Direct Access ◽  
Asset Securitization ◽  
Balance Sheets ◽  
Advantages And Disadvantages ◽  
Market Rate

The article describes the problems of introduction of asset securitization in Russia in terms of standardization of processes in the field of risk management and the establishment of risk management profession considered the key principles and stages of financial risk management, asset securitization model are studied. The attractiveness of securitization is the company's financing capabilities by transferring assets from their balance sheets, or borrowing against those assets to refinance the original loan at a fair market rate. The possibilities of a securitization, its advantages and disadvantages. Particular attention is paid to the securitization crisis in the global financial market. The positive aspects of securitization include: the possibility of financing through the sale of assets to a specially created legal entity; serious impetus to improve the efficiency of the banking sector; opens up direct access to the global financial market; reduces all funding costs; limits credit risk to asset risk; improves the balance sheets of banks, corporations; promotes access to various sources of funding; reduction of the cost of attracted financing; optimization of the structure of the investment portfolio; securitized assets are less subject to event risk. In Russia, the securitization market is growing at a high rate and also has potential in its existence. But since the legal system is underdeveloped in our country, most likely it is the main reason that the ratings of securitization transactions are limited. The upper limit of the rating in the end, perhaps, will be limited by event risks.

scholarly journals Regulacija financijskog tržišta prije i nakon svjetske krize

2017 ◽  
Vol 5 (1) ◽  
Author(s):  
Anita Radman Peša ◽  
Vanja Zubak ◽  
Duje Mitrović
Keyword(s):  
Risk Management ◽  
Financial Markets ◽  
Interest Rates ◽  
Financial Market ◽  
Financial Risk ◽  
Banking Sector ◽  
Financial Regulation ◽  
Banking System ◽  
Financial Risk Management ◽  
Macroeconomic Stability

The banking sector in the global economic system is an area of great impact on the preservation of macroeconomic stability. As it turned out, and during the recent economic crisis, whose consequences are still felt in many countries, the collapse of the financial markets has farreaching effects on all of the national financial markets. The aim of this paper is to analyze the existing regulation of the financial markets and its (lack of) performance in the current financial risk management in order to preserve macroeconomic stability, and provide a secure and stable banking system. The purpose of the study was to present financial regulation before the crisis of 2008 / 2009, and to compare it with the regulations issued after the global crisis of 2008 / 2009 in order to conclusion whether it is cosmetic or real changes of regulating the financial system, and whether existing regulation in the future successfully prevent minor and major disruptions of the financial markets. Croatian financial market is especially analysed in the case of manipulation using the benchmark interest rates.

Critical Perspectives to Non-performing Assets of Indian Banks, Shrinking Balance Sheet, Challenges and Way Ahead

2021 ◽  
pp. 231971452110402
Author(s):  
Pramahender
Keyword(s):  
Banking Sector ◽  
Balance Sheet ◽  
High Rate ◽  
Balance Sheets ◽  
Coverage Ratio ◽  
Public Sector Banks ◽  
Bad Loans ◽  
Bankruptcy Code ◽  
Indian Banks ◽  
Debt Recovery

Indian banking sector is facing the problem of rising bad loans as gross non-performing assets (GNPA) of Indian banks is on continuous rise. The present study is an attempt to analyse rising bad loans scenario of Indian banks, various factors that contributes to non-performing assets (NPA), along with the present state of Indian banks. This study found that poor recovery measures, lack of proper credit and risk management system at bank level, wilful default by borrowers, lack of stringent regulation, poor level of corporate governance and misuse of funds by borrowers are the key factors behind the rising level of bad loans of Indian banks. It was found that public sector banks (PSB) are suffering the most from rising level of NPA, high rate of NPA of banks have adverse impact on banks’ balance sheets, their assets quality, increased provisioning coverage ratio of banks and low return on assets. Although various concerned stakeholders have taken numerous measures to curb the situation, such as recapitalization of PSB, construction of assets reconstruction companies (ARC), Debt Recovery Tribunals for speedy recovery of bad loans and enactment of insolvency and bankruptcy code (IBC),still there is much more to do, and have a huge scope to bring reforms in banking sector, especially in PSB of India.

scholarly journals MAIN RISKS IN THE LITHUANIAN BANKING SECTOR: ANALYSIS AND EVALUATION

Ekonomika ◽  
2013 ◽  
Vol 92 (1) ◽  
pp. 97-119
Author(s):  
Filomena Jasevičienė ◽  
Vaida Valiulienė
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Financial Market ◽  
Financial Services ◽  
Banking Sector ◽  
Insurance Companies ◽  
Credit Risk Management ◽  
Wide Range ◽  
Loan Risk ◽  
Sector Analysis

Abstract. There are a number of different financial market institutions such as banks, credit unions, leasing and insurance companies, as well as capital market players in Lithuania. The bank sector makes the largest part of the financial market (more than 80%). Thus, the bank sector has a considerable influence on the country’s economy. Banks are not specialized in Lithuania, i.e. they are universal banks which seek to provide quite a wide range of financial services. The successful performance of a bank mostly depends on how it succeeds to manage the risks. The problems of risk management are becoming an object of exceptional attention while enhancing the variety of analysed risks as well as developing the investigation instruments both in the whole world and in Lithuania. Loans make the largest part of bank assets. So, the loan risk management is one of the most important guarantees of safe banking. To manage effectively the bank credit risk, it should be adequately evaluated.Key words: banks, credit risk, credit risk management, credit quality, non-performing loansp>

scholarly journals Financialization as mathematization: The calculative and regulatory consequences of risk management

2018 ◽  
Author(s):  
Nathan Coombs ◽  
Arjen van der Heide
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Financial Stability ◽  
Banking Sector ◽  
Options Pricing ◽  
Regulatory Capital ◽  
Balance Sheets ◽  
Financial Valuation ◽  
Collateralized Debt Obligation ◽  
Collateralized Debt

Financialization is commonly understood as the increasing centrality of financial actors and logics in the economy. However, building upon literature which relates financialization to the mathematization of financial valuation practices, this chapter argues that the banking sector was itself financialized since the 1980s. Our historical overview of the changing nature of banking traces the thread running from the Black-Scholes options pricing formula through to Value-at-Risk modelling and Collateralized Debt Obligation valuation. We explore the calculative and regulatory consequences of these risk management techniques and how they allowed large volumes of risk to be removed off banks’ balance sheets and regulatory capital minimized, with deleterious results for financial stability.

scholarly journals Computation of optimal investment allocations in a sequential portfolio optimisation

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Masiala Mavungu ◽  
Evan Hurwitz ◽  
Tshilidzi Marwala
Keyword(s):  
Risk Management ◽  
Mathematical Models ◽  
Financial Market ◽  
Financial Risk ◽  
Risk Measure ◽  
Optimal Investment ◽  
Portfolio Optimisation ◽  
Computational Simulations ◽  
Financial Risk Management ◽  
Linearly Constrained

Orientation: This article is related to Financial Risk Management, Investment Management and Portfolio Optimisation.Research purpose: The aim is to compute optimal investment allocations from one period to another.Motivation of the study: Financial market systems are governed by random behaviours expressing the complexity of the economy and the politics. Risk Measure and Management are current and major issues for financial market operators and attract the attention of researchers who develop suitable tools and methods to describe and control risk. In this article, financial risk management is considered for an investor operating in the financial market.Research approach/design and method: This research developed Mathematical Models to describe the problem and Computational Simulations to compute, summarise the results and show their reliabilities.Main findings: The results are the investments allocations stored, some tables and the related computational simulations. By going from period one to another, one can notice from the graphs that the portfolio risk is decreasing and the portfolio profit increasing.Practical/managerial implications: The approach used in this article shows a way of solving rigorously any linearly constrained quadratic optimisation problem and any constrained nonlinear problem. It gives the ability of transforming judiciously certain linearly constrained nonlinear programming problems into sequences of linearly constrained quadratic problems and solving them efficiently.Contributions/value-add: This article developed Mathematical Models and Matlab Computer Optimisation Programs to give Computational Simulations. It wrote Computer Programs for a fifth-order autoregressive model to forecast asset profits.

Risk Management Research of Financial Market Based on Dynamic Copula Model

2013 ◽  
Vol 380-384 ◽  
pp. 4472-4475
Author(s):  
Yi Xian Chai ◽  
Yan Li Xu ◽  
Dan Liu
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Copula Model ◽  
Management Research ◽  
Financial Risk Management ◽  
Dynamic Copula ◽  
Financial Market Risk

Copula model and the application of the model in financial market risk management are discussed in this paper. The paper establishes a dynamic Copula model to solve the financial market risk management problems on the basis of Copula research. Through the use of statistics and financial theories and Copula model, the thesis studies the applications of Copula model in the financial risk management and resolves the problem whether there exists financial crisis contagion or not. The results indicate that the applications of model in the financial market risk management are effective, and the research on the problem should be done in-depth.

scholarly journals Futures and forward contract as a route of hedging the risk

2015 ◽  
Vol 5 (4) ◽  
pp. 68-78 ◽  
Author(s):  
Misbahul Islam ◽  
Jayanta Chakraborti
Keyword(s):  
Risk Management ◽  
Financial Markets ◽  
Exchange Rates ◽  
Interest Rates ◽  
Financial Risk ◽  
Fold Increase ◽  
Forward Contracts ◽  
Advantages And Disadvantages ◽  
Corporate World ◽  
Forward Contract

In the present highly uncertain business scenario, the importance of risk management is much greater than ever before. Variations in the prices of agricultural and non-agricultural commodities are induced, over time, by demand-supply dynamics. The last two decades have witnessed many-fold increase in the volume of international trade and business due to the wave of globalization and liberalization sweeping across the world. This has led to rapid and unpredictable variations in financial assets prices, interest rates and exchange rates, and subsequently, to exposing the corporate world to an unwieldy financial risk. As a result, financial markets have experienced rapid variations in interest and exchange rates, stock market prices thus exposing the corporate world to a state of growing financial risk. The emergence of derivatives market is an ingenious feat of financial engineering that provides an effective and less costly solution to the problem of risk that is embedded in the price unpredictability of the underlying asset. Derivatives provide an effective solution to the problem of risk caused by uncertainty and volatility in underlying assets. These are the financial instruments that are linked to a specific financial instrument or indicator or commodity and through which specific risks can be traded in financial markets in their own right. In actual practice there are various different types of derivatives but this paper emphasizes on the two most important types of derivatives i.e. futures and forward contracts. These two are the most commonly used types of derivatives in financial markets. We can hedge the risk of price variations in stocks, bonds, commodities, currencies, interest rates, market indices etc. This study is about the futures and forward contracts. This paper presents various types of futures and forward contract and what advantages and disadvantages these two important types of derivatives have? It also includes that how futures and forward contacts can be used as hedging tools of risk management.

scholarly journals METHODOLOGICAL ASPECTS OF FINANCIAL RISK ANALYSIS AS AN INSTRUMENT OF MANAGEMENT

2018 ◽  
pp. 128-140
Author(s):  
Tetiana PORTOVARAS
Keyword(s):  
Risk Factors ◽  
Risk Management ◽  
Financial Risk ◽  
Methodological Approach ◽  
Negative Influence ◽  
Financial Risks ◽  
Financial Activity ◽  
Advantages And Disadvantages ◽  
Stage Of Development ◽  
Methodological Aspects

Introduction. The article deal with the risks and its influence on the enterprises activity within the uncertainty. The essence, classification and analysis of risks is generalized, on the basis of which their own understanding is proposed. The question of forecasting the probability of bankruptcy as a widely used method of risk management is focused, its advantages and disadvantages at the present stage of development of the domestic economy are shown. Purpose. The aim of the paper is justifying the methodological approach to the analysis of financial risks in order to increase the efficiency of their management. Results. The financial risks are investigating taking into account theoretical approach as for the interpretation of the economic content of “risks” and substantive approach to their analysis. According to this the author suggests to consider “risks” as the probability of deterioration of the financial state of enterprise as a result of negative influence of risk factors. The methodological approach to the analysis of financial risks is proposed. In the essence of this approach are the stages of: risks identification (with the purpose of identify the risk areas of operational and financial activity of legal entities); analyzing (with the aim to isolate the risk factors); minimizing of risks (justifying the ways of risk management). The methodical principles of bankruptcy of enterprises are investigated; the methodology of its analyzing within the specific of financial and economic activity of domestic entities and the size of its financial results is substantiated. Conclusions. The methodology of analysis of financial risks is actual today because there are lack of effective approaches to risk analyzing as a way of risk management. Proposed approach allows concentrating on risk factors and according to it to raise effectiveness to risk management.

Study on Financial Market Risk Management Based on the Dynamic Copula Model

2011 ◽  
Vol 467-469 ◽  
pp. 2072-2077
Author(s):  
Yan Li Xu ◽  
Ling Ling Wang
Keyword(s):  
Risk Management ◽  
Financial Market ◽  
Financial Risk ◽  
Market Risk ◽  
Financial Contagion ◽  
Copula Model ◽  
Financial Risk Management ◽  
Dynamic Copula ◽  
Management Problems ◽  
Financial Market Risk

This thesis mainly studies Copula model and the application of the model in financial market risk management. On the basis of studying copula, this thesis builds a dynamic Copula model to solve the financial market risk management problems. Using statistics and financial theories and Copula model, the thesis studies applications of Copula model in the financial risk management and resolves the problem that whether the financial contagion exists. The results indicate that the applications of model in the financial market risk management are effective, and should study in deep.

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