Portfolio Risk Management in Investment Activity of Banking Sector

• Autorzy: Maria Parlińska , Maryna Panchenko
• Języki publikacji: EN

Abstrakty

EN

The purpose is to investigate the role of portfolio risk management in investment activities in banks as well as to examine the proper method of recognizing risk. It aims to assist the managers to integrate the risks calculating methods in more effective way into overall banking system, which could be included into general scheme of systemized analysis of banking activities. One of the main problems concerning the evaluation and optimization of risk exposure is the choice of "good" risk measures. The study shows the example of combination Capital Asset Pricing Model with the elements of fundamental analysis. A set of the main rules of making investment portfolio was also added to this combination. The shown elements of different methods help business entities to avoid systematic risks and to receive adequate returns. The example of Deutsche Bank creates an assumption of having reliable methods of protection in its activity from the risks. That is why, authors concluded that chosen bank has mostly relations with "good risks" and on that score they can be predictable or determined. Such hypothesis was accepted with the provided methods. Nevertheless, due to some theories, other risk measures have been proposed. (original abstract)

Słowa kluczowe

EN

Investment portfolio; Risk management; Banking sector

PL

Portfel inwestycyjny; Zarządzanie ryzykiem; Sektor bankowy

• Czasopismo: Zeszyty Naukowe SGGW w Warszawie. Polityki Europejskie, Finanse i Marketing
• Rocznik: 2014
• Numer: nr 11 (60)
• Strony: 170--184

Twórcy

autor

Maria Parlińska

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

autor

Maryna Panchenko

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie, doktorantka

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