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2013 | Zastosowanie metod ilościowych w zarządzaniu ryzykiem w działalności inwestycyjnej | 140--151
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Using quantitative methoda on credit risk management in the process of banking capital investment

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In the article we have introduced the possibility of using quantitative methods to manage credit risk in the process of effective banking capital investments. The hypotheses that appropriate use of quantitative methods in credit risk management in a commercial bank leads to optimal banking capital investments has been supported. Commercial banks have the opportunity to achieve additional return on equity by means of equity savings which allow them to accelerate lending. With estimated equity saving of 30%, use of appropriate approach might significantly increase the return on capital (approximately 13%) depending on the volume and structure of assets as well as other parameters. Developed methodology for additional return on bank equity calculations using suitable approach with respect to the selected bank's portfolio of active deals allows management to optimally adjust performance parameters, manage the quality of loan portfolio and risk of banking transactions. Criticism of the 1RS models is focused on various aspects of their activities. Several studies have shown that perfect rating systems do not exist, their explanatory ability in relation to capital requirements calculations and evaluation of the client's risk profile quality being significantly limited. Quality and explanatory ability of different types of the 1RS vary. Models used to measure risk are imperfect, providing unreliable results and contributing to procyclical trends in the banking system. In this context, it will be necessary to tune fundamental aspects of building adequate performance, stability and security of the international banking sector. (fragment tekstu)
  • Tomas Bata University in Zlín, Czech Republic
  • Tomas Bata University in Zlín, Czech Republic
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