Analýza integrovaného trhového a kreditného rizika na príklade bankového sektora na Slovensku

Rok, strany: 2006, 539 - 554

The research uses a portfolio simulation approach (further only PSA) to analyze an integrated market and credit risk of Slovak banks. The model allows us to analyze the relationship between financial environment volatility and the potential losses faced by financial institutions operating in Slovakia due to correlated market and credit risks. In the current study, we apply the model to a set of three (hypothetical) banks operating in Slovakia. The proposed simulation model explic-itly links changes in interest rates, foreign exchange rates and sector of GDP in Slovakia, with the distribution of possible future capital ratios of the Slovak hypothetical banks. The model discussed in the article does not aim at evaluating the current state of the financial risk measurement methods in the banking sector in Slovakia, thus it proposes a methodology of how to solve the relations between market risk and credit risk measurements in the specific bank portfolio.

ISO 690:

Barnhill, T., Gertler, Ľ., Sivák, R. 2006. Analýza integrovaného trhového a kreditného rizika na príklade bankového sektora na Slovensku. In Ekonomický časopis/Journal of Economics, vol. 54, no.6, pp. 539-554. 0013-3035.

APA:

Barnhill, T., Gertler, Ľ., Sivák, R. (2006). Analýza integrovaného trhového a kreditného rizika na príklade bankového sektora na Slovensku. Ekonomický časopis/Journal of Economics, 54(6), 539-554. 0013-3035.