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2012, br. 27, str. 135-149
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ALM koncept u funkciji upravljanja kreditnim rizicima u bankama
ALM concept in the function of credit risk management in banks
Sažetak
Prisustvo sve većeg obima i rizika na finansijskom tržištu, stvorilo je potrebu za primenom ALM koncepta radi modeliranja željene strukture bilansa stanja banke. ALM koncept se u početku bavio upravljanjem samo aktive (plasmana), nakon toga upravljanjem pasive (obaveza), odnosno integralno i aktivom i pasivom banke. Primenom ALM koncepta omogućeno je menadžment 'timu' banke da identifikuje i kvantifikuje rizike u svim bankarskim portfolijima i bankarskim poslovima. Primenom ALM koncepta moguće je upravljati tržišnim rizikom, kreditnim rizikom, strategijskim rizikom i operativnim rizikom (promenom tehnologije, regulativom i reputacijom banke). Primenom ALM koncepta upravlja se performansama aktive i pasive banke i njihovog uticaja na rashode i prihode banke. Upravljanje ALM konceptom podrazumeva primenu modela kao što su: (1) ARBL model merenja kamatnog rizika, (2) Altmanov model ili ZETA sharing model, (3) upravljanje kamatno osetljivim GAP-om, (4) Upravljanje GAP-om veka trajanja (duration mode merenja kamatnog rizika), (5) model vrednovanja rizikovane vrednosti (VaR model).
Abstract
The presence of increasing risk volumes in the financial market has created a need for implementation of the ALM concept to model a desired structure of the Bank’s Balance Sheet. At the beginning, the ALM concept was dealing with management of assets (placements) only, afterwards management of liabilities, i.e. integrally with assets and liabilities of the Bank. Implementation of the ALM concept allows management 'team' of the Bank to identify and quantify risks in all banking portfolios and banking businesses. In addition, the same allows management the market risk, credit risk, strategic risk and operating risk (by changing technology, regulations and reputation of the Bank). The ALM concept manages performances of the Bank’s assets and liabilities, as well as their influence on the Bank’s income and expenses. Management of the ALM concept implies implementation of the following models: (1) ARBL model of interest risk measuring, (2) Altman’s mode or ZETA sharing model, (3) management of interest sensitive GAP, (4) management of life cycle GAP (duration mode of the interest risk measuring), (5) model of value at risk valuation (VaR model).
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