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2015 | 11 | nr 3 | 103--115
Tytuł artykułu

Concentration of Credit Exposure as a Significant Source of Risk in Banking Activities: the Idea and Methods of Estimation

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EN
Abstrakty
EN
The simultaneous activation of many sources of risk can slow bank operations and even lead to bankruptcy. Credit risk is the greatest threat to the orderly functioning of a bank. To protect against its materialization banks spend nearly 90% of their total capital requirement. Concentration of credit exposure to single entities, as well as to single economic sectors, can be a source of additional risks. Estimation of the additional portion of the capital requirement in selected banks in Poland in 2008-2013 indicates that banks should assign additional 4% and 2% of the capital requirement to cover the risk of exposure concentrations in: respectively, individual entities and individual economic sectors. For banks with a retail profile more important was the risk of large exposures in individual economic sectors, and for banks with a corporate profile in individual entities. Estimates were carried out according to the procedure used by the Bank of Spain and the Bank of Slovenia, and the data derived from the annual financial reports of selected banks listed on the WSE. (original abstract)
Słowa kluczowe
Czasopismo
Rocznik
Tom
11
Numer
Strony
103--115
Opis fizyczny
Twórcy
  • Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Bibliografia
  • Annual Financial Reports of Banks Listed on the WSE: Bank Pekao, BOŚ, BZ WBK, ING Bank Śląski, mBank, PKO BP for the years 2008-2013.
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  • Bank of Slovenia (2010). The Internal Capital Adequacy Assessment Process. Bank of Slovenia Guidelines for Banks and Savings Banks Instructions for Completing and Submitting the ICAAP Report. Banking Supervision Department, 9 February 2010. Retrieved from http://www.bsi.si/library/includes/datoteka.asp?DatotekaId=4510.
  • Bank of Spain (2008). Guidelines on the Internal Capital Adequacy Assessment Process (ICAAP) at Credit Institutions. The version updated with decisions of Management Board of the Bank of Spain of 18.03.2009, 26.01.2011 and 26.10.2012. Retrieved from https://www.esrb.europa.eu/mppa/cbmd/shared/pdf/Spain/2013-12-09_Guidelines_ ICAAP.pdf?fe003e719799cbb87fd42f6149666225.
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  • Decision 94/1/EC of the Council and the Commission of 13 December 1993 on the Conclusion of the Agreement on the European Economic Area between the European Communities, their Member States and the Republic of Austria, the Republic of Finland, the Republic of Iceland, the Principality of Liechtenstein, the Kingdom of Norway, the Kingdom of Sweden and the Swiss Confederation (OJ L 001, 03.01.1994, p. 1).
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  • Gołędzinowski, P. (2009). Wpływ regulacji systemu bankowego na jego efektywność. Materiały i Studia NBP, z. 235.
  • Jajuga, K. (2007). Risk Management. Warszawa: Wydawnictwo Naukowe PWN.
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Typ dokumentu
Bibliografia
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