In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks...

To predict maturity structure of bank's rolled-over retail deposits the multinomial logit model of deposit supply was developed. It was considered important features of estimation of model's parameters. Example of building deposit supply function is given

A quantitative ground for decision-making in a bank on setting of optimal interest rates on retail term deposits is proposed. The offered approach is based on the variational method of synthesis of optimal deterministic control. To solve this problem, instead balance sheet interest rates it is...

It is shown that a program of attracting the banking term deposits essentially depends on the term structure of new deposits. Solving the linear integral Volterra equations with difference kernel, it was received the explicit analytical solution for the program of attracting new deposits with an...

Sequentially examining the full chain of events starting from the default of firms through the fire-sale of goods towards write-offs of bad loans, a new matrix of financial transactions was developed. It was shown that if firms have no equities, the cost of default of those firms is equal zero....

This paper explores the processes of provisioning a bank's allowance for credit losses from the point of statistics and insurance. It is shown the similarity of protection against credit risk by banks and insured risk by insurance companies. It is shown that the banking protection against credit...

In the paper, it is considered the main consequences arising from the modern money theory, the monetary theory of production, and the continuity principle. The new standpoint on the processes of making loans and deposits is presented. As a result, it is proposed the new classification of...

The mechanics of bank lending to resident borrowers in foreign currency in order to buy properties for domestic currency is given. It is shown that a bank may open a virtual position in a foreign currency, even not having the foreign currency in its vaults. Herewith, virtual cash flows and...

To price bank's assets correctly, it is important to know cost of funds. But funding cost calculation is complicated due to the fact that banks fund long-term assets through short-term liabilities. As a result, assets with a given time to maturity are usually financed by several liabilities with...

In this paper, using a conception of continuous coupon bond with continuous accrual of coupons on simple fixed rate for pricing a risky zero-coupon bond is considered. It is shown that only employing this conception allows obtaining explicit equation for price of risky zero-coupon bond from...