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Rozwój metod ilościowych w bankowości

100%
Siarka P.
Didactics of Mathematics
|
2011
|
issue 8 (12)
127-134
PL
Over the past two decades we have seen many changes in the banking world due to the development of the banking market and also due to the development of quantitative methods, which allow us to estimate the level of banking risks with greater accuracy. Mathematical models, which are developed by teams of analysts and then implemented in the banking systems, are evidence of practical application of mathematics in finance. Implemented by leading banks in the world, mathematical models set the direction of development of risk management process for the entire banking industry. These achievements are the subject of ongoing research by the Basel Committee, whose recommendations create global banking standards. Over the last twenty years, the Basel Committee has recommended several methods of risk analysis to protect the world banking system. In this article the author focuses on the analysis of credit risk, which evolved in cooperation with the Basel Committee. Thus, some suggestions are presented with respect to teaching banking risks in the context of knowledge of quantitative methods.
2
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Wpływ Bazylei III na procykliczność działalności kredytowej

63%
Nadolski J.
FINANSE Czasopismo Komitetu Nauk o Finansach PAN
|
2015
|
issue 1(8)
95-110
EN
Procyclicality of credit activity is a phenomenon perceived for a long time and widely discussed in the literature. It is of concern primarily in the context of the range of tools impact and optimal level of stringency of prudential regulations that would ensure sustainable economic development. Among these considerations, one can see views that conclusively proved that the force to the end of 2013, the provisions of the Basel II and its amendment (the so-called Basel 2.5) not only does not solve the problem of procyclicality, but also intensify its impact on the economy. Existing since the beginning of 2014 new supervisory regulations (CRR/CRD IV), which is an implementation of the provisions of Basel III, contain many tools and solutions that are assumed to counteract the procyclicality of credit activities, and consequently reduce the cyclical nature of the economy. The purpose of this article is to attempt to assess the solutions implemented in the counter-cyclical provisions of Basel III and their effectiveness and consequences for the banking sector and the entire economy.
3

Kalkulacja wymogu kapitałowego z tytułu ryzyka operacyjnego w zgodzie z dyrektywą w sprawie wymogów kapitałowych – CRD IV

63%
Thlon M.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2013
|
issue 921
71-86
PL
Ryzyko operacyjne definiowane jest jako możliwość poniesienia strat na skutek stosowania wadliwych systemów, niepoprawnych procedur, błędów popełnianych przez ludzi, awarii technicznych oraz zdarzeń zewnętrznych. Metody pomiaru ryzyka operacyjnego różnią się od technik mających zastosowanie do innych rodzajów ryzyka. W ostatnich latach z powodu znacznych strat finansowych spowodowanych zdarzeniami o charakterze operacyjnym wzrosło znaczenie ryzyka operacyjnego w bankowości. Wyrazem tego była publikacja dyrektywy CRD, której celem było przede wszystkim wprowadzenie w Unii Europejskiej proponowanego przez Bazylejski Komitet ds. Nadzoru Bankowego (BIS) podejścia do obliczania wymogów kapitałowych. Głównym celem publikacji jest prezentacja i analiza porównawcza wskaźnikowych metod pomiaru proponowanych przez BIS, a mianowicie metody wskaźnika podstawowego, metody standardowej i metod zaawansowanego pomiaru. Przyjętemu celowi podporządkowana została struktura artykułu. Kolejno zaprezentowano definicję i charakterystykę ryzyka operacyjnego oraz sposoby kalkulacji wymogu kapitałowego.
EN
Operational risk is defined as the possibility of losses resulting from the failure, deficiency or inadequacy of internal processes, people and systems, or from external events. Operational risk measurement methods differ from techniques applied to other types of risk. The importance of operational risk has increased substantially in recent years due to huge losses suffered by renowned financial institutions. These led to the publication of the European Union Capital Requirements Directive (CRD), introduced by the so-called Basel II-based definition of banks’ capital requirements. The main objective of the paper is to analyse the operational risk measurement methods proposed in the New Basel Capital Accord: the Basic Indicator Approach, the Standardised Approach, and Advanced Measurement Approaches (AMA). The author analysed, in successive stages of the paper, the definition and characteristics of operational risk and methods of calculating capital requirements.
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