THE RISK ASSESSMENT METHOD VAR FOR A CREDIT PORTFOLIO OF BANK

Abstract

In this paper stress-testing of the Kazakhstani banking sector, the analysis of international experience in the construction of systems approaches to risk assessment VaR, and highlights key points that could be useful for the supervisory authority in Kazakhstan. An approach VaR methodology the banking sector, based on the concept of «top-down» and evaluating stress distribution with macro-level phenomena to individual credit institutions through a system of interrelated economic and mathematical models. The most effective tool for measuring currency risks is currently used in the world by the methodology Value-at-Risk (VaR).

Keywords

• модели стресс-тестирования
• методика оценки рисков var
• устойчивость финансово-банковской системы
• статистический подход
• нормальному закону распределения
• метод исторического моделирования