magistrsko delo
Barbara Žagar (Author), Dušan Zbašnik (Mentor)

Abstract

Bančno poslovanje je neločljivo povezano s prevzemanjem tveganj. Za banko je ključnega pomena, da se teh tveganj zaveda, jih identificira, analizira, ovrednoti in sprejme ustrezne ukrepe, s čimer bistveno zmanjša možnost nastopa negativnih posledic na njeno poslovanje. Tržna tveganja, obvladovanju katerih je naloga namenjena, izvirajo iz sprememb tržnih cen, valutnih tečajev in obrestnih mer finančnih instrumentov. V bančnem poslovanju predstavljajo manjši pa vendar nezanemarljiv del tveganj, ki jim je banka pri svojem poslovanju izpostavljena. Za njihovo učinkovito obvladovanja ima banka na voljo številne instrumente, katere in kako bo uporabila pa je v prvi vrsti odvisno od njenih poslovnih potreb, kakor tudi od njene dovzetnosti za prevzemanje teh tveganj. V nalogi smo se osredotočili na sistem limitov in izvedene finančne instrumente kot možne načine za obvladovanje tržnih tveganj. Mednje smo vključili tudi tvegano vrednost (ang. value at risk) kot mero najvišje potencialne izgube, ki jo lahko imetnik portfelja ob upoštevanju določene verjetnosti dogodkov realizira v določenem obdobju. Na izračun potencialne izgube pomembno vpliva nestanovitnost cen finančnih instrumentov, prikaz povezave med omenjenima spremenljivkama pa je sestavni del naloge. Vsebina naloge ni uporabna zgolj za poslovne banke. Limitni sistem kot mehanizem obvladovanja tveganj je uporaben za vsakega investitorja, ki lahko z nekaj osnovnega računalniškega znanja učinkovito upravlja svoj portfelj ter tako pomembno vpliva na poslovni rezultat le-tega. Seveda je kompleksnost upravljanja takega portfelja bistveno manjša od upravljanja portfelja poslovne banke, ki se pri svojem poslovanju srečuje z različnimi finančnimi instrumenti, čemur mora biti prilagojena tudi njena informacijska podpora. Dopolnitev limitnemu sistemu predstavljajo izvedeni finančni instrumenti. Ti so še posebej uporabni pri zapiranju oziroma uravnavanju valutno in obrestno občutljivih pozicij, ki jih banka zavzema pri svojem poslovanju. Ključno pri obvladovanju tržnih tveganj je definiranje največje izgube, ki smo jo še pripravljeni prevzeti, kakor tudi višine zaslužka, pri katerem smo pripravljeni določeno pozicijo zapreti. Z dobro zastavljeno politiko obvladovanja tržnih tveganj, ki jo je potrebno nenehno preverjati in nadgrajevati, lahko banka pomembno vpliva na svoj poslovni rezultat. Pri tem je z vidika investitorjev pomembno, da jim v zameno za občasne visoke donose, ki se lahko kaj kmalu obrnejo v negativno smer, zagotavlja stabilne poslovne rezultate ter posledično stabilen donos na vložen kapital. Hkrati poslovna banka s takšnim poslovanjem varčevalcem daje pozitiven signal, da je stabilna in zaupanja vredna institucija.

Keywords

finančni trg;bančno poslovanje;poslovne banke;tveganje;obvladovanje;valuta;obresti;limit;izvedeni finančni instrumenti;terminsko poslovanje;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UM EPF - Faculty of Economics and Business
Publisher: B. Žagar
UDC: 336.71:330.131.7
COBISS: 11597852 Link will open in a new window
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Other data

Secondary language: English
Secondary title: Managing market risk in a commercial bank by using limit system and derivatives
Secondary abstract: Banking business is inseparably connected with assuming risks. It is of crucial importance for the bank to be aware of these risks, that they are identified, analyzed and evaluated and that appropriate measures which significantly reduce the possibility of negative effects on its operations are adopted. Market risks, the management of which this thesis is dedicated to, derive from changes in market prices and exchange rates of as well as interest rates for financial instruments. In banking business these risks represent smaller but nevertheless a non-negligible part of risks the bank is exposed to. There are several instruments the bank can make use of in order to efficiently manage these risks. Which instruments to use and when to use them principally depends upon the business needs of the bank as well as upon the susceptibility of the bank to assuming these risks. This thesis focuses on the limit system and derivative financial instruments as possible methods for managing market risks. Included in these methods is also value at risk as a measure of the highest potential loss that the portfolio’s owner, taking into account certain likelihood of events, may realize during a certain period. Calculation of potential loss is significantly influenced by the volatility of prices of financial instruments, indication of connection between the two variables being the essential part of this thesis. The content of this thesis is not useful only to commercial banks. Limit system as a mechanism for managing risks is useful to every investor who can, with some basic computer knowledge, efficiently manage his/her portfolio and thus significantly impact its business outcome. Of course the managing of such a portfolio is substantially less complex than portfolio management of a commercial bank that operates with different financial instruments, which requires also appropriate information technology support. Derivative financial instruments supplement the limit system. They are particularly useful when closing or regulating currency-sensitive or interest-sensitive positions of the bank. Essential for managing market risks is defining the highest loss, that we are willing to take on, as well as defining the amount of earnings at realization of which we are prepared to close a certain position. With well worked-out policy for managing market risks, which constantly needs checking and upgrading, the bank is able to considerately impact its business outcome. At the same time it is important from the investors’ point of view that in exchange for sporadic high yields, which can soon turn to negative, stable business results and consequently stable return on invested capital are assured. By conducting its business in such a way a commercial bank sends its depositors a positive signal meaning that it is a stable and trustworthy institution.
Secondary keywords: market risk;currency risk;interest rate risk;position risk;value at risk;limit system;derivatives;hedge accounting;open currency position;interest rate gap;net liquid assets;option;forward rate agreement;interest rate risk;regression analysis;beta;duration;capital asset pricing model;
URN: URN:SI:UM:
Type (COBISS): Master's thesis
Thesis comment: Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages: 134 str.
ID: 8726418