Реферат: Управление процентным риском в коммерческом банке
<span Arial",«sans-serif»">Российская экономическая академияим.Г.В.Плеханова
<span Arial",«sans-serif»">Межотраслевойинститут повышения квалификации и
<span Arial",«sans-serif»">Переподготовкируководящих кадров и специалистов
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<span Arial",«sans-serif»">Специальность: «Финансы и кредит»
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<span Arial",«sans-serif»">ДИПЛОМНАЯ РАБОТА<span Arial",«sans-serif»"><span Arial",«sans-serif»">Тема: «Управление процентным риском в<span Arial",«sans-serif»">коммерческом банке»<span Arial",«sans-serif»">
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<span Arial",«sans-serif»">Студент:
<span Arial",«sans-serif»">Алешечкина
<span Arial",«sans-serif»">Марина Игорьевна<span Arial",«sans-serif»">
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<span Arial",«sans-serif»">
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<span Arial",«sans-serif»">Руководительдипломной работы:
<span Arial",«sans-serif»">Боботкова
<span Arial",«sans-serif»">Зинаида Федоровна<span Arial",«sans-serif»">кандидатэкономических наук
<span Arial",«sans-serif»">доцент
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<span Arial",«sans-serif»">_____________________________
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<span Arial",«sans-serif»">
<span Arial",«sans-serif»">
<span Arial",«sans-serif»">
<span Arial",«sans-serif»">«Допустить к защите»
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<span Arial",«sans-serif»">
<span Arial",«sans-serif»">Директор Уральского отделения
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<span Arial",«sans-serif»">
<span Arial",«sans-serif»">МИПК РЭА им.Г.В.Плеханова
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<span Arial",«sans-serif»">кандидат философских наук
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<span Arial",«sans-serif»">
<span Arial",«sans-serif»">доцент
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<span Arial",«sans-serif»">__________________В.В.Помыкалов
<span Arial",«sans-serif»">
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<span Arial",«sans-serif»"> «____» ____________2003г.
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<span Arial",«sans-serif»">Москва 2003
<span Arial",«sans-serif»; mso-fareast-font-family:«Times New Roman»;mso-ansi-language:RU;mso-fareast-language: RU;mso-bidi-language:AR-SA">TOC o «1-3» h z
<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes">Введение<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;font-style: normal;mso-no-proof:yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;font-style: normal;mso-no-proof:yes;text-decoration:none;text-underline:none"> PAGEREF_Toc34245172 h <span Arial",«sans-serif»;color:windowtext; font-style:normal;mso-no-proof:yes;text-decoration:none;text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;font-style: normal;mso-no-proof:yes;text-decoration:none;text-underline:none">4<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1 Процентный риск всистеме банковских рисков<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245173 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">7<span Arial",«sans-serif»;font-weight:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.1 Риски вбанковской деятельности<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245174 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">7<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»; font-style:normal;mso-no-proof:yes">1.1.1 Классификация банковских рисков иуправление ими<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;font-style:normal;mso-no-proof:yes;text-decoration: none;text-underline:none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;font-style: normal;mso-no-proof:yes;text-decoration:none;text-underline:none"> PAGEREF_Toc34245175 h <span Arial",«sans-serif»;color:windowtext; font-style:normal;mso-no-proof:yes;text-decoration:none;text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;font-style: normal;mso-no-proof:yes;text-decoration:none;text-underline:none">7<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.1.2 Цели и задачиуправления банковскими рисками<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245176 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">10<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.2 Сущность и местоуправления процентным риском в системе управления банком<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245177 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">12<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.3 Факторыпроцентного риска<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245178 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">15<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.4 Методики оценкиуровня процентного риска<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245179 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">17<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.4.1 Гэп менеджмент<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245180 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">17<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.4.2 Анализдлительности портфеля<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245181 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">22<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">1.5 Выводы<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245182 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">26<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2 Управлениепроцентным риском<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245183 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">28<span Arial",«sans-serif»;font-weight:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.1 Общие принципыуправления процентным риском в банках<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245184 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">28<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2 2 Управлениерисками в КБ «Уралвнешторгбанк»<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245185 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">30<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.1.1 ОРГАНИЗАЦИЯУПРАВЛЕНИЯ РИСКАМИ КБ «Уралвнешторгбанк»<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245186 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">30<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.2.2. ОРГАНЫУПРАВЛЕНИЯ РИСКАМИ в КБ «Уралвнешторгбанк»<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245187 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">30<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.2.3 ПолитикаКБ «Уралвнешторгбанк» в областиуправления рисками<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245188 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">32<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.3 Управлениепроцентным риском и основные формы процентного риска в КБ «Уралвнешторгбанк»<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245189 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">34<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.3.1 Формыпроцентного риска в КБ «Уралвнешторгбанк»<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245190 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">34<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.3.2 Управлениепроцентным риском в КБ «Уралвнешторгбанк»<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245191 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">40<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.3.3 Гэп менеджемент- основная методика оценкипроцентного риска в КБ “Уралвнешторгбанк”<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245192 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">41<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.4 Управлениепроцентным риском через показатель дюрации<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245193 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">45<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.5 Гэп менеджмент ианализ длительности в качестве текущего и стратегического управления процентнымриском<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245194 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">47<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.6 Методы устранениядисбаланса чувствительности к изменениям процентных ставок<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245195 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">50<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.7 Методы сниженияпроцентного риска<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245196 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">52<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.7.1 Способы минимизации процентного риска в КБ«Уралвнешторгбанк»<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245197 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">52<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.7.2 Страхованиебанковского процентного риска<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245198 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">54<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">2.8 Выводы<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245199 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">55<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3 Практическоеиспользование комплексной методики управления процентным риском на примере ОАО«Уралвнешторгбанк»<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245200 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">57<span Arial",«sans-serif»;font-weight:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.1 Обзор финансовыхрезультатов КБ «Уралвнешторгбанк»<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245201 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">57<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.2 Показателидеятельности банка в текущих условиях<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245202 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">58<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.2.1. Расчетпроцентного риска с использованием методики Гэп-менеджемент<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245203 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">58<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.2.2. Расчетпроцентного риска при помощи показателя дюрации<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245204 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">62<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.3 Применениеэффективной методики управления процентным риском на примере КБ «Уралвнешторгбанк»<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245205 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">65<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.3.1 Мероприятия пооздоровлению ситуации и минимизации процентного риска<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245206 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">65<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.3.2 Изменениеструктуры активов на основании результатов ГЭП-менеджемента<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245207 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">66<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.3.3 Результат применения методики в качестветекущего управления<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245208 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">68<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.3.4 Изменение структурыактивов и пассивов на основании данных ГЭП-менеджемента и дюрации<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245209 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">71<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.4 Эффективностьиспользования комплексной методики.<span Arial",«sans-serif»; color:windowtext;display:none;mso-hide:screen;mso-no-proof:yes;text-decoration: none;text-underline:none">
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245210 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">71<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">3.5 Выводы<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">…
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245211 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">73<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Заключение<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245212 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">75<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Литература<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245213 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">79<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Литература<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245214 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">79<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 1Классификация банковских рисков<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245215 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">81<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 2 Методы устранения дисбаланса чувствительностик изменениям процентных ставок<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245216 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">82<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 3 БалансКБ «Уралвнешторгбанк»<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245217 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">83<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Отчет о прибылях иубытках<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245218 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">85<span Arial",«sans-serif»;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 4 Данныедля оценки процентного риска с использованием методики ГЭП-менеджемент висходном варианте<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245219 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">87<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 5 Данные опроцентных ставках<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245220 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">89<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 6 РасчетыЧистого процентного дохода и Чистой процентной маржи<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245221 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">91<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 7 Данныедля расчета дюрации<span Arial",«sans-serif»;color:windowtext; display:none;mso-hide:screen;mso-no-proof:yes;text-decoration:none;text-underline: none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245222 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">92<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 8 Данныедля расчета ГЭП после изменения структуры активов<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245223 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">94<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 9 Данныедля расчета дюрации после изменения структуры активов<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245224 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">96<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"><span Arial",«sans-serif»;mso-no-proof:yes">Приложение 10 Данныес учетом изменения структуры активов и пассивов<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">.
<span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none"> PAGEREF _Toc34245225 h <span Arial",«sans-serif»;color:windowtext;mso-no-proof:yes;text-decoration:none; text-underline:none"><span Arial",«sans-serif»;color:windowtext;display:none;mso-hide:screen;mso-no-proof: yes;text-decoration:none;text-underline:none">97<span Arial",«sans-serif»;font-style:normal;mso-no-proof:yes"> <span Arial",«sans-serif»; mso-fareast-font-family:«Times New Roman»;mso-bidi-font-family:«Times New Roman»; text-transform:uppercase;mso-font-kerning:16.0pt;mso-ansi-language:RU; mso-fareast-language:RU;mso-bidi-language:AR-SA">Введение
<span Arial",«sans-serif»; mso-bidi-font-family:«Times New Roman»;layout-grid-mode:both"> Деятельность банков по привлечениюресурсов должна быть основана на тщательно продуманной стратегии управленияактивами и пассивами. Без этого политика привлечения приведет к потерям, ибоможет оказаться, что платить за привлеченные ресурсы придется по слишкомвысокой цене. Для обеспечения надежности своей работы банку необходимо создатьсистему управления рисками, способную выявлять риски, измерять их величину,обеспечивать их мониторинг, содержать необходимые инструменты и процедурыреагирования на возникающие угрозы. Такая система должна основываться навыработанной банком политике в отношении управления рисками.
<span Arial",«sans-serif»;mso-bidi-font-family:«Times New Roman»"> Управление рисками- ключевая задачабанковского менеджмента. Особенностью управления банковскими рисками являетсято, что любые решения носят явно выраженный субъективный характер. Для того,чтобы свести к минимуму ошибки управления, лицу, принимающему решениенеобходимо иметь правильное представление об источниках возникновения рисков,знание основных взаимосвязей между характеристиками деятельности банка исостоянием внешней экономической среды. Сказанное в равной степени относитсякак ко всей совокупности рисков, так и к их отдельным видам. Одним из рисков, с которыми приходитсяпостоянно встречаться современному банку, наряду с кредитным риском и рискомликвидности, является процентный риск (риск процентной ставки). Работа поуправлению последним представляет собой одно из стратегическ