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Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach

Author

Listed:
  • Voloshyn, Ihor
  • Voloshyn, Mykyta

Abstract

In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks and thus allows the fullest protection of the interests of depositors, creditors and shareholders of the bank providing its sustainable development.

Suggested Citation

  • Voloshyn, Ihor & Voloshyn, Mykyta, 2013. "Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach," MPRA Paper 61562, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:61562
    as

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    File URL: https://mpra.ub.uni-muenchen.de/61562/1/MPRA_paper_61562.pdf
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    References listed on IDEAS

    as
    1. Meilan Yan & Maximilian J. B. Hall & Paul Turner, 2014. "Estimating Liquidity Risk Using The Exposure‐Based Cash‐Flow‐At‐Risk Approach: An Application To The Uk Banking Sector," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(3), pages 225-238, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    integrated risk management; cash flow at risk; economical capital; pricing; interest rate; spread; credit risk; market risk; operational risk; liquidity risk;
    All these keywords.

    JEL classification:

    • D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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