THE IMPACT OF THE 2007–2009 FINANCIAL CRISIS ON RISK MANAGEMENT IN CREDIT INSTITUTIONS
DOI:
https://doi.org/10.12775/CJFA.2016.014Keywords
risk, risk management, RAPM models, hurdle rateAbstract
Risk and risk management are a key aspect of the financial management of the bank. In the banking business since the mid-70s of the twentieth century, the risk continues to increase. The result of that excessive growth was the financial crisis in the years 2007–2009. Due to underestimation, lack of adequate and updated risk models, many financial institutions were on edge of bankruptcy due to insufficient funds needed to cover the losses. The financial crisis has highlighted many of the weaknesses of a regulatory nature in the functioning of the global financial system, especially the banking system. In order to reduce occurrence of future similar negative phenomena, the Basel Committee on Banking Supervision has decided to reform the banking system. As a result, Basel III was created. CRR Regulation and Directive CRD put particular emphasis on height of own funds and risk-weighted assets. All these have showed many weaknesses of the banking system, from which health and status is determined the whole economy. This paper will focus on the impact of the 2007–2009 financial crisis on risk management effectiveness in credit institutions. There will be presented the possibility of an integrated risk measurement and management. The most known methods of integrated assessment are RORAC and RAROC models, which are both used for the evaluation of the entire bank, as well as business units, or individual transactions. RORAC and RAROC models are the basic concepts of measuring the effectiveness of risk. There will be also discussed Hurdle rate and its potential impact on the economy.
References
Basel Committee on Banking Supervision (2013). Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools. Basel. Bank for International Settlements, January, http://www.bis.org/publ/bcbs238.pdf (accessed: 31.03.2016).
Basel Committee on Banking Supervision (2014). Basel III: The Net Stable Funding ratio. Basel. Bank for International Settlements, October, http://www.bis.org/bcbs/ publ/d295.pdf (accessed: 31.03.2016).
Bukowski, S., Flejterski, S., Marcinkowska, M., Wdowiński, P., Zygierewicz, M. (2014). Wpływ regulacji sektora bankowego na wzrost gospodarczy – wnioski dla Polski. NBP. Warszawa. Instytut Ekonomiczny. Materiały i Studia, no. 305, https://www. nbp.pl/publikacje/materialy_i_studia/ms305.pdf (accessed: 05.05.2016).
Cosimano, T.F., Hakura, D.S. (2011). Bank Behavior in Response to Basel III: a Cross-Country Analysis. International Monetary Fund Working Paper. WP/11/19, May, https:// www.imf.org/external/pubs/ft/wp/2011/wp11119.pdf (accessed: 11.05.2016).
Cournède, B., Slovik, P. (2011). Macroeconomic Impact of Basel III. Organisation for Economic Co-operation and Development. Economics Department Working Papers no. 844. ECO/WKP(2011)13, February, http://www.keepeek.com/Digital-Asset- Management/oecd/economics/macroeconomic-impact-of-basel-iii_5kghwnhkkjs8- en#page1 (accessed: 12.05.2016).
Institute of International Finance (2011). The Cumulative Impact on the Global Economy of Changes in the Financial Regulatory Framework, September, https://www.iif. com/file/7080/download?token=CwKXtHfb (accessed: 12.05.2016).
Iwanicz-Drozdowska, M. (2012). Zarządzanie finansowe bankiem. Warszawa: Polskie Wydawnictwo Ekonomiczne, wyd. III zmienione.
Kałużny, R. (2012). Ocena i analiza sytuacji majątkowo-finansowej. In Gospodarowicz A., Nosowski A. (Ed.) Zarządzanie instytucjami kredytowymi (pp. 220–238). Warszawa. Wydawnictwo C.H. Beck.
Kochaniak, K. (2012). Rodzaje ryzyka bankowego i zarządzanie nim. In A. Gospodarowicz, A. Nosowski (Ed.), Zarządzanie instytucjami kredytowymi (pp. 239–252). Warszawa: Wydawnictwo C.H. Beck.
Koleśnik, J. (2014), Adekwatność kapitałowa banków, standardy regulacyjne. Warszawa: Wydawnictwo Difin.
Komisja Nadzoru Finansowego (2016a). Pakiet CRD IV / CRR – Historia i założenia projektu, https://www.knf.gov.pl/crd/pakiet_crd4_historia.html (accessed: 05.01.2016).
Komisja Nadzoru Finansowego (2016b). Finalny tekst tzw. pakietu CRD IV / CRR wraz ze zmianami, https://www.knf.gov.pl/finalny_tekst_pakietu.html (accessed: 17.02.2016).
Macroeconomic Assessment Group (2010). Assessing the macroeconomic impact of the transition to stronger capital and liquidity requirements – Final Report. Basel. Bank for International Settlements, December, http://www.bis.org/publ/othp12.pdf (accessed: 11.05.2016).
Marcinkowska, M. (2013). Regulation and self-regulation in banking: in search of optimum. Bank i Kredyt, 44(2), http://bankikredyt.nbp.pl/content/2013/02/ bik_02_2013_01_art.pdf (accessed: 12.05.2016).
Oxford Economics (2013). Analyzing the impact of bank capital and liquidity regulations on US economic growth. A report prepared for The Clearing House Association, April, https://www.theclearinghouse.org/~/media/files/association%20 documents/20130410%20oxford%20economics%20study%20impact%20of%20 bank%20capital%20and%20liquidity%20regulations%20on%20us%20economy. pdf (accessed: 12.05.2016).
Płókarz, R. (2013). Globalne rynki finansowe, praktyka funkcjonowania. Warszawa: Wydawnictwo Naukowe PWN.
Downloads
Published
How to Cite
Issue
Section
Stats
Number of views and downloads: 1087
Number of citations: 0