System informacyjny banku – integracja procesów zarządzania ryzykiem kredytowym

• Authors: Siarka Paweł

Title variants

EN

Banking information system. An integration of credit risk management processes

• Languages of publication: PL EN

Abstracts

EN

The author presented a general concept of banking information system regarding credit risk management process. The main elements were presented on the ground of the regulations published by the Basel Committee. The author addressed the issues of interaction between such areas as risk assessment, back-testing and stress testing. He also outlined a comprehensive approach to credit risk policy. Moreover the author showed the proper place in the risk management system for the analysis of adverse scenarios and catastrophic events. Thus, he pointed out a potentially hazardous area for the banking sector. In this article, the benefits resulting from an integration of various processes were presented. Therefore it was shown that the efficiency of credit risk management system depends on the integration of internal processes.

Keywords

EN

IT system; credit risk; New Basel Capital Accord; credit risk management system

• Publisher: Uniwersytet Ekonomiczny we Wrocławiu. Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Informatyka Ekonomiczna
• Year: 2015
• Issue: 1(35)
• Pages: 53-69

Contributors

author

Siarka Paweł

References

• Asset Allocation Advisor, 2009, http://www.aametrics.com/pdfs/ world_stock_and_bond_markets_nov2009.pdf.
• Basel Committee on Banking Supervision, 1988, International Convergence of Capital Measurement and Capital Standards, Basel.
• Basel Committee on Banking Supervision, 1996, Supervisory Framework for the Use of “Backtesting” in Conjunction with the Internal Models Approach to Market Risk Capital Requirements.
• Basel Committee on Banking Supervision, 2006, International Convergence on Capital Measurement and Capital Standards, Bank for International Settlements, Basel.
• Basel Committee on Banking Supervision, 2009a, International Framework for Liquidity Risk Measurement, Standards and Monitoring, Basel.
• Basel Committee on Banking Supervision, 2009b, Principles for sound stress testing practices and supervision, Bank for International Settlements, Basel.
• Basel Committee on Banking Supervision, 2009c, Strengthening the Resilience of the Banking Sector, Basel.
• Campbell S.D., 2005, A Review of Backtesting and Backtesting Procedures, Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington.
• Fabozzi F.J., 2006, Bond Markets, Analysis and Strategies, Prentice Hall, Harlow.
• Froot K., Scharfstein D., Stein J., 1994, A framework for risk management, “Journal of Applied Corporate Finance”.
• Hennie V., 2003, Analyzing and Managing Banking Risk: A Framework for Assessing Corporate Governance and Financial Risk, 2nd edition, World Bank Publications, Washington.
• International Accounting Standards Board, 2010, International Financial Reporting Standards 2010 IFRS Vol. 1, Vol. 2, ASB English ed.
• Jajuga K., 2007, Zarządzanie ryzykiem, PWN, Warszawa.
• Komisja Nadzoru Finansowego, 2010a, Rekomendacja I, Warszawa.
• Komisja Nadzoru Finansowego, 2010b, Rekomendacja T dotycząca dobrych praktyk w zakresie zarządzania ryzykiem detalicznych ekspozycji kredytowych, Warszawa.
• Komisja Nadzoru Finansowego, 2010c, Sektor bankowy − podstawowe dane, http://www.knf.gov.pl/opracowania/sektor_bankowy/dane_o_rynku/Dane_kwartalne.html (1.15.2013).
• Merton R.C., 1974, On the pricing of corporate debt: The risk structure of interest rates, “Journal of Finance”, no. 29, s. 449-470.
• Siarka P., 2013, Simulation analysis of retail portfolio profitability in the context of stress testing, “Journal of Money, Investment and Banking”, 28, EuroJournals.
• Siarka P., 2012, Symulacyjna analiza rentowności kredytów detalicznych. Testowanie warunków skrajnych, ,,Bank i Kredyt”, nr 43 (2).
• Siarka P., 2011a, Szacowanie korelacji aktywów ekspozycji detalicznych na przykładzie kredytów samochodowych w Polsce, „Bank i Kredyt”, nr 42(3).
• Siarka P., 2011b, Zastosowanie testu serii w procesie wykrywania przypadków wyłudzeń kredytów bankowych. Metody ilościowe w ekonomii i zarządzaniu, WSB, Poznań.
• Strischek D., 2002, Credit culture, “RMA Journal”, November.
• Uyemura D., Deventer D., 1997, Zarządzanie ryzykiem finansowym w bankach, Związek Banków Polskich, Warszawa.