Managing Market Risk Of The Commercial Bank Based On VaR-Model

Student: Bulycheva Darya

Supervisor: Sergey K. Shvets

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Finance (Master)

Year of Graduation: 2016

This research paper proposes the quantitative analysis of market risk in commercial bank using Value at Risk model. To do this, we examined the market risk management process of "Bank "Sank-Petersburg" PJSC, identified main risk factors and methods of evaluation. The results of the research paper are assessment of the market risk, as well as development of recommendations to improve the VaR model used by "Bank "Saint-Petersburg" PJSC. The reliability of the results is confirmed by the proximity of the obtained values of VaR for currency portfolios of equity and debt securities to real estimates used by "Bank "Saint-Petersburg" PJSC for market risk control. The results can be used to analyze the market risk of other commercial banks, and moreover to identify gaps of forming the analyzed portfolios.

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