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Educational Programme
Final Grade
Year of Graduation
Liongina Potemka
Metrics of Assessing the Currency Risks of Bank
(Master’s programme)
Actuality of work. An adequate assessment of the size of the bank's currency risks has a significant impact on the results and effectiveness of the bank's operations. Underestimation of currency risk increases the threat of significant losses, deterioration of the bank's liquidity, loss of positions in the banking market, a decline in the market value of the organization and bankruptcy. In case of conservative risk assessment, there can be excessive reserve of the economic capital, which can be used more rationally. Therefore, the study of existing approaches to the assessment of the currency risk of the bank and their improvement is especially relevant, and can help to form effective strategies for managing these risks.

The purpose of the work: to identify the essential characteristics of various metrics for assessing currency risks, the effectiveness of their application in the framework of the introduction of new approaches to risk management in Russian banks for the formation of optimal models for assessing currency risks, taking into account the bank’s tolerance to risk.

Scientific novelty. It consists in conducting a comparative analysis of the application of various currency risk metrics within the framework of the activities of Russian banks and in justifying the appropriateness of using them, both in measuring currency risk and in forming a system of limits for this type of bank risk.

Practical significance. As a result of the research, it was suggested to use alternative metrics for assessing currency risks (ETL, SRM) as the basis for developing their own methods for measuring currency risks in medium and small Russian banks.

Structure and scope of the dissertation. The master's thesis includes an introduction, three chapters, a conclusion, a list of literature and applications.

Contents of the thesis: 109 pages, 10 figures, 27 tables.

Key words: currency risk metrics of the bank; Currency risk management system; VAR; ETL; spectral risk measures.

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