ANALÝZA INTEGROVANÉHO TRHOVÉHO A KREDITNÉHO RIZIKA NA PRÍKLADE BANKOVÉHO SEKTORA NA SLOVENSKU

• Authors: Barnhill Theodore , Gertler Ľubomíra , Sivák Rudolf

Title variants

EN

Integrated market and credit risk analysis in the banking sector in Slovakia

• Languages of publication: SK

Abstracts

EN

The research uses a portfolio simulation approach (PSA) to analyze an integrated market and credit risk of the Slovak banks. The model allows us to analyze the relationship between financial environment volatility and the potential losses faced by the financial institutions operating in Slovakia due to the correlated market and to the credit risks. In the current study, we apply the model to a set of three (hypothetical) banks operating in Slovakia. The proposed simulation model explicitly links changes in the interest rates, the foreign exchange rates and the sector of GDP in Slovakia, with the distribution of the 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 the market risk and the credit risk measurements in the specific bank portfolio.

Keywords

EN

BANKING RISK; CREDIT RISK; MARKET RISK; PORTFOLIO SIMULATION

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2006
• Volume: 54
• Issue: 6
• Pages: 539-554
• Document type: ARTICLE

Contributors

author

Barnhill Theodore

author

Gertler Ľubomíra

author

Sivák Rudolf

• T. Barnhill, Ekonomický ústav SAV, Sancová 56, 811 05 Bratislava 1, Slovak Republic

Identifiers

CEJSH db identifier

06SKAAAA01603505