Panchenko K. Market Risk Management of Commercial Bank

The dissertation is devoted to develop conceptual approaches and appropriate economic and mathematical models for assessing the market risk of a commercial bank to improve the quality of risk management of a commercial bank. The paper proposes to investigate approaches to market risk management using stress testing methods, due to the fact that stress testing of bank risks, including market risks, is a mandatory regulatory requirement, allows the most complete and adequate assessment of risk in an unstable economic situation, as well as more efficient and balanced risk management during the period of economic growth by identifying potential threats to the banking sector and developing a system of measures in advance to prevent catastrophic losses. New scientific results are the development of the concept of market risk stress testing of a commercial bank, based on econometric modeling methods, which contain three key elements: selection of variables that most characterize market risk, collection and processing of data to form time series; building an econometric model that includes existing and potential relationships between variables; construction of scenarios for stress testing of market risk. When implementing the developed conceptual provisions for assessing market risk based on econometric models, the use of vector autoregression models is justified, which allow taking into account information about the relationship between financial and macroeconomic indicators, and also have tools for analyzing the behavior of the system over a long period of time. The developed models are used to assess the impact of the implementation of the shock scenario of changes in market and macroeconomic indicators on the financial condition on the example of individual commercial banks of Ukraine by determining the effect of the implementation of certain types of banking risks.