Управління валютним ризиком банку в умовах турбулентності на світових фінансових ринках

Abstract

The article is aimed at researching the theoretical-methodological and practical aspects of the bank’s currency risk management. To solve the tasks set, the authors use general scientific and specific methods, in particular: logic-dialectical, mathematical and graphic. Based on generalization, analysis and comparison of different approaches, the methods and instruments for managing the bank’s currency risk are systematized. The bank’s currency risks are typed and the main determinants of their occurrence are identified. The types of currency risk hedging instruments are systematized and their contents are disclosed. The essence of the bank’s currency position, the methodology of its account are disclosed and the necessity of compliance with the methodology are substantiated. The main operations that influence the bank’s currency position are identified. An analytical assessment of the currency position of banks is performed (JSC CB «PrivatBank», JSC «Oschadbank», JSC «Raiffeisen Bank Aval», JSC «A-Bank»); the model of maximization of the bank’s profits is computed and appropriate conclusions about their activities are drawn. With the use of economic-mathematical instrumentarium the dynamics of the hryvnia currency exchange rate are forecasted and the indicators of VaR for banks (JSC CB «PrivatBank», JSC«Oschadbank», JSC «Raiffeisen Bank Aval», JSC «A-Bank») are calculated according to different time horizons. It is determined that the model of minimization of currency risk through currency position management serves as an effective instrument for analyzing and substantiating internal limits of currency risk and permissible ranges of changes in financial results of the bank’s activity. Prospects for further research are: 1) development of an instrumentarium for currency risk assessment based on ARCH and GARCH models of various modifications; 2) development of macro stress tests with a focus on currency risk and taking into account the systemic characteristic, which is the transmission of currency risk to other sectors of both the financial market and the economy.