Importance Risk management of commercial banks and risk assessment quality are still important in the current circumstances, since the likelihood of risk considerably influences profit, determines an amount of statutory and economic capital, and serves as a financial sustainability indicator. Capital stimulates the development of the credit institution and extends its functions, contributing to its reputation among individuals and businesses. Objectives The article aims to theoretically substantiate methodological and instrumental approaches to risk assessment as part of managing the commercial bank's equity and developing recommendations on adapting those approaches to the regional conditions. Methods Using a structural, dynamic and systems analysis, economic, statistical, abstract and logic methods, we process and examine empirical data of some regional banks on risk assessment and allocation of their equity. Results Considering global experience and attempts of the Central Bank of Russia to adapt the experience to the domestic conditions and requirements, we have developed a mechanism for assessing risks and allocating the commercial bank's equity. The mechanism relies upon requirements of Basel III. It includes a number of measures performed on a step-by-step basis: forecasting of risks assumed and bank's equity, assessment of capital available for distribution, allocation of unencumbered capital surplus, limit control, considering decisions on their reallocation. Conclusionsand Relevance Whereas the Russian banking system gradually shifts to international business standards, it is especially relevant to develop risk assessment and management methods, making possible to analyze and forecast an amount of provisions for the current operations. As for the practical significance of the proposed approaches, methods and recommendations based on Basel III, they may underlie the mechanism for articulating and taking decisions to implement a capital management system in regional banks. The mechanisms may facilitate optimizing risk management technologies.
Keywords: equity, commercial bank, Basel III, capital allocation, credit risk
References:
Anisimov A.N. Primenenie reitingovykh sistem v praktike banka [Rating systems in banking]. Risk-menedzhment v kreditnoi organizatsii = Risk Management in the Credit Institution, 2011, no. 2, pp. 17–23.
Bobyl' V.V. Vliyanie strategicheskoi politiki razvitiya banka na uroven' ekonomicheskogo kapitala [An influence of a strategic policy for the bank’s development on the level of economic capital]. Finansy i kredit = Finance and Credit, 2014, no. 2, pp. 10–15.
Vaisbek E.N. Osobennosti otsenki kreditnogo riska v praktike kommercheskikh bankov [The specificity of credit risk assessment in commercial banks’ practices]. Finansy i kredit = Finance and Credit, 2014, no. 24, pp. 57–62.
Vince R. Matematika upravleniya kapitalom: metody analiza riska dlya treiderov i portfel'nykh menedzherov [The Mathematics of Money Management: Risk Analysis Techniques for Traders]. Moscow, Al’pina Biznes Buks Publ., 2007, 402 p.
Vlasov V.E. Metody otsenki i allokatsii ekonomicheskogo kapitala pod operatsionnyi risk v rossiiskom kommercheskom banke [Methods for measuring and allocating economic capital in relation to operational risk in a Russian commercial bank]. Finansy i kredit = Finance and Credit, 2014, no. 8, pp. 21–27.
Vlasova M.S., Laskina L.Yu. Operatsionnyi, finansovyi i nalogovyi leveridzh: traktovka i sootnoshenie [Operational, financial and tax leverages: interpretation and interrelation]. Finansovaya analitika: problemy i resheniya = Financial Analytics: Science and Experience, 2014, no. 40, pp. 35–44.
Zaitseva O.A. Bazel' II. Pervyi komponent — standartizirovannyi podkhod k otsenke kreditnogo riska [Basel II. A standardized approach to credit risk assessment is the first component]. Available at: Link. (In Russ.) (accessed 23.03.2007)
Kunitsyna N.N., Nagornykh I.A. Instrumenty preduprezhdeniya, vyyavleniya i presecheniya operatsii, svyazannykh s legalizatsiei (otmyvaniem) denezhnykh sredstv, poluchennykh prestupnym putem [Tools for preventing, detecting and suppressing operations related to the legalization (laundering) of proceeds of crime]. Natsional'nye interesy: prioritety i bezopasnost' =National Interests: Priorities and Security,2013, no. 10, pp. 39–46.
Kunitsyna N.N., Aibazova M.I. Metodika kompleksnoi reitingovoi otsenki kommercheskikh bankov [Methods for comprehensive rating of commercial banks]. Finansy i kredit = Finance and Credit, 2014, no. 26, pp. 2–9.
Kunitsyna N.N., Glukhova D.V. Praktika primeneniya mekhanizma antikrizisnogo finansovogo upravleniya v organizatsiyakh bezalkogol'noi promyshlennosti [The practice of using the mechanism for anti-crisis financial management in soft drink industry organizations]. Regional'naya ekonomika: teoriya i praktika = Regional Economics: Theory and Practice, 2013, no. 9, pp. 25–31.
Manuilenko V.V., Kunitsyna N.N. Sistema otsenki dostatochnosti kapitala kommercheskogo banka [A system for assessing capital adequacy of the commercial bank]. Moscow, Finansy i Statistika Publ., 2010, 320 p.
Miroshnichenko O.S. Kreditnyi risk i sobstvennyi kapital banka [Credit risk and bank’s equity]. Finansy i kredit = Finance and Credit, 2011, no. 1, pp. 21–31.
Oppliger B., Bityutskii V. Vnedrenie standartov Bazelya II/Bazelya III v Rossii [Implementation of Basel II/Basel III standards in Russia]. Available at: Link. (In Russ.)
Sakovich M.I. Evolyutsiya podkhodov k regulirovaniyu riskov kreditnykh institutov: sovremennyi aspekt [The evolution of approaches to regulating credit institutions’ risks: a modern aspect]. Finansy i kredit = Finance and Credit, 2014, no. 3, pp. 46–50.
Simanovskii A.Yu. Bankovskoe regulirovanie: reevolyutsiya [Banking regulation: re-evolution]. Den'gi i kredit = Money and Credit, 2014, no. 1, pp. 44–46.
Solozhentsev E.D., Stepanova N.V., Karasev V.V. Prozrachnost' metodik otsenki kreditnykh riskov i reitingov [Transparency of techniques for assessing credit risks and ratings]. Saint Petersburg, Saint Petersburg State University Publ., 2005, 200 p.
Travkina E.V. O teorii, printsipakh i klassifikatsii monitoringa bankovskikh riskov [On the theory, principles and classification of bank risk monitoring]. Finansy i kredit = Finance and Credit, 2011, no. 11, pp. 25–29.
Usoskin V.M., Belousova V.Yu., Klintsova M.V. Bazel' III: vliyanie na ekonomicheskii rost (obzor empiricheskikh issledovanii) [Basel III: an influence on economic growth (an empirical researches overview)]. Den'gi i kredit = Money and Credit, 2013, no. 9, pp. 32–38.
Chugunov V.I., Ratnikova I.G. Sovershenstvovanie metodiki opredeleniya velichiny raschetnogo rezerva na vozmozhnye poteri po ssudam s uchetom vliyaniya vneshnikh faktorov [Enhancing the technique to estimate the provision for possible loan loss subject to external factors]. Finansy i kredit = Finance and Credit, 2000, no. 11, pp. 15–22.
Entsiklopediya finansovogo risk-menedzhmenta [The encyclopedia of financial risk management]. Moscow, Al’pina Biznes Buks Publ., 2006, 878 p.
