Abstract
The implementation of international standards for the bank risk assessment and market risk, in particular, in Ukrainian banking practice is aimed at achieving common standards for regulating banking activities in different countries. This should help to increase the banking sector stability in Ukraine and, accordingly, increase the interest of foreign investors.The article deals with the methodological approaches to assessing the bank market risk (in particular, SA, IMA and R-SbM approaches) recommended by the Basel Committee on Banking Supervision in terms of standardization and unification of the normative framework of capital requirements for Ukrainian banks. Considering the analysis results, it was determined that the choice and implementation of an optimal approach in the context of Ukrainian banking practice can be carried out in one of two alternative scenarios: 1) a simplified version of a sensitivity based method (R-SbM); and 2) a recalibrated version of the Basel II standardized approach. In this case, the Basel II recalibrated version is more acceptable for use by banks, since it is most relevant to volume and complexity of transactions carried out by Ukrainian banks.The obtained results are aimed at improving the existing methodology for calculating the adequacy ratio of banks' regulatory capital (N2), which currently considers only the needs for credit risk coverage, and at refining the methodology in terms of considering banks' market-risk coverage needs.
Highlights
Dynamic development and transformation of the modern market environment lead to a significant increase of competition in the domestic and foreign markets
Regular stress testing by the bank and conment methods are recommended, including the firming the results of stress testing by the suintroduction of clear capital requirements for pervisor in the following areas: a) control scenon-modellable risk factors (NMRFs)
A number of recommendations were made as ized approach and the Internal Models Approach (IMA) is the fact that banks to how banks should inform about changes in make a clear distinction between their balance the minimum capital requirements to market sheet and off-balance sheet transactions, based risks according to the approaches they use to on their affiliation with the trading book or the calibrate their own internal models in order to bank book
Summary
Dynamic development and transformation of the modern market environment lead to a significant increase of competition in the domestic and foreign markets. This, in turn, results in both new and modified factors affecting the development and efficiency of banking activities. This is naturally accompanied by actualization of increasing the efficiency of banking risks management. Implementation of risk-oriented instruments deserves attention, which would allow banks to identify, adequately assess and effectively manage these risks, analyze the stability of banks based on a balanced combination of international approaches and peculiarities of accounting and prudential supervision of the National Bank of Ukraine. The purpose of the article is to analyze international approaches to assessing market risk of a bank in order to improve the methodology for calculating the regulatory capital adequacy in Ukrainian banks
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