MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS

MANAGEMENT OF MARKET RISK IN THE BANK WITH THE SYSTEM OF INTERDEP ENDENT LIMITS

The article analyzes the model of market risk management with the help of a system of interrelated limits on debt securities, which take into account the risk of standards and statistical data of risk. The work proves the urgency of the problem of market risk management in credit institutions. The a...

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Bibliographic Details
Main Author: E. Samokhina
Format: Article
Language:English
Published: Publishing House of the State University of Management 2017-11-01
Series:Вестник университета
Subjects:
var-оценка
debt securities
market risk
var-score
modified duration
limits
banking standards
credit organization
Online Access:https://vestnik.guu.ru/jour/article/view/866
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