magistrsko delo
Niko Grkinić (Author), Katja Crnogaj (Mentor), Polona Tominc (Co-mentor)

Abstract

Banka je pri svojem delovanju izpostavljena raznim tveganjem, ki so na podlagi ocene tveganosti razvrščena na določeno stopnjo pomembnosti. Za pomembna tveganja je banka vzpostavila ustrezne procese in metodologije upravljanja in kontrole tveganj. Magistrska naloga temelji na procesih in delovanju sistema zgodnjih odkrivanj tveganj Raiffeisen Banke d.d., saj je banka v času globalne krize ugotovila, da je letni pregled stranke lahko premalo, in je vzpostavila sistem zgodnjega zaznavanja kreditnih tveganj, imenovan EWS. V nalogo smo prav tako zajeli študijo uporabe EWS sedmih bank v Sloveniji, z namenom čim bolj ucinkovito spoznati procese spremljanj tveganj v slovenskem bančnem sistemu. Sistem zgodnjega odkrivanja kreditnih tveganj oziroma EWS je modelsko orodje, ki na podlagi analize številnih indikatorjev opozarja na prihajajoča ekonomska in finančna tveganja. Budno spremljanje strank je ključnega pomena, saj je treba čim prej odkriti znake poslabšanja plačilne sposobnosti. Prav tako je ključnega pomena, da banka čim hitreje ukrepa in tako znižuje negativne učinke prevzetih tveganj. Ugotovili smo, da se v banki s procesom spremljave in upravljanja z EWS-om ukvarja enota, ki sodi v področje upravljanja s tveganji. Na podlagi anketnega vprašalnika smo preučili uporabo in značilnosti EWS-a pri drugih bankah. Raziskava je pokazala, da je v bančnem sistemu še nekaj neizkorišcenih priložnostih, saj vse banke v celoti še ne uporabljajo sistema EWS. Ugotovili smo tudi, da so vse analizirane banke pricele z uporabo EWS-a ali z dodatnim spremljanjem šele po letu 2009. Ključna ugotovitev raziskave je, da EWS zaznava številne signale, med katerimi so najbolj pogosti signali zamude, prezadolženosti podjetja in upad prihodkov. Na podlagi zgodnjega odkritja signalov, ki kažejo na prihodnje težave, lahko banka spremeni status podjetja in izvaja različne akcije ter ukrepe, namenjene zniževanju kreditnih tveganj. Prav tako smo spoznali, da banke z učinkovitim EWS-om in dobro prakso kreditnega spremljanja dosegajo boljše poslovne rezultate, saj lahko z učinkovitim EWS-om in skrbnim monitoringom institucija zniža oslabitve posojil za 10–20 odstotkov. V magistrskem delu tako predstavljamo sistem EWS, podajamo predloge za njegovo izboljšanje in predlagamo, da ga v procesih upravljanja s kreditnimi tveganji uporabljajo vse banke v Sloveniji.

Keywords

bančni sistemi;bančništvo;tveganje;kreditno tveganje;zaznavanje;upravljanje tveganj;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UM EPF - Faculty of Economics and Business
Publisher: [N. Grkinič]
UDC: 336.77(043.2)
COBISS: 12499740 Link will open in a new window
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Other data

Secondary language: English
Secondary title: Analysis and improvements of signals for early warning system for credit and risk management
Secondary abstract: The Bank is exposed to various risks ranked by certain degree of importance on the basis of the risk assessment. For significant risks the bank has established appropriate processes and management methodologies and risk control. This Master Thesis is based on the processes and the functioning of an early warning system at Raiffeisen Bank d.d. During the time of global crisis the bank found out that yearly client review may be insufficient, which is why it established an early warning system for credit risk called EWS (Early Warning System). Additionally, a study on the use of EWS by seven banks in Slovenia was included in the thesis in order have a better understanding of the risk process in the Slovenian banking system. EWS is a predictive model tool alerting the upcoming potential economic and financial risks based on the analysis of a number of indicators. Keeping an eye on clients is crucial, since an early detection of the signs of deterioration is needed. It is also important that the bank as quickly as possible starts with the action plans to reduce the negative effects of the assumed risks. The survey revealed that EWS in banks is a part of the risk management department. Based on questionnaires and studies the use and characteristics of EWS in other banks in Slovenia was examined. The survey showed that there are still some unused opportunities in the banking system, since all banks do not use EWS systems fully yet. All the analyzed banks began using the EWS from Y2009 further. A key finding of the research is that EWS records numerous of signals, among which the most common are the payment delay signals, over-indebtedness of companies and decrease of revenues. Based on the early detection of signals that point to future problems, the bank may change the credit risk status of the client and perform various actions and measures for the reduction of credit risk. The survey also revealed that the banks with an effective EWS and good practices of credit monitoring achieve better business results. With effective EWS and careful monitoring banks can reduce the impairment of loans by 10–20 %. This Master Thesis thus presents the EWS system with our own improvements and suggests that it is used by all banks in Slovenia in process of credit risk management.
Secondary keywords: early warning system;credit risk;risk management;risk signals;risk monitoring;banking;risk management department.;
URN: URN:SI:UM:
Type (COBISS): Master's thesis
Thesis comment: Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages: III, 82 str., 2 str. pril.
ID: 9139987