When we talk about risk, we must distinguish between two types. The first type of risk is when you do something that leads to mistakes or unsatisfactory results. School and higher education teach us precisely this understanding of risk.

The second type of risk is exactly the opposite. This is the risk of not doing something that could be useful. Of course, these two types of risk are related. But, as practice shows, we pay more attention to the first type than to the second.

This approach makes a certain sense, because total failure can lead to the destruction of a company, huge troubles in a person’s life, even a lost war. At the same time, we believe that we will have many opportunities in the future. And we simply don’t think about lost opportunities, because, as one famous historian said, history does not have a subjunctive mood. I will add - supposedly it does not.

The entire corporate culture is designed for the first risk. This was done in the hope of increasing the viability of the system. In some cases this happens, but it does not save you from real troubles. Look at the fate of the two largest mortgage agencies in the United States, which at one time were simply filled with risk management specialists. As a result, there are no more agencies. They went bankrupt, dragging down the entire American economy and creating the 2008 crisis, and risk managers found new uses for themselves.

In his book The Black Swan, Nasim Taleb showed that one of the fundamental and fundamental mistakes of financiers is that they believe that everything in life is governed by a normal or Gaussian distribution. This has nothing to do with reality.

There is a famous example of the Las Vegas casino. It would seem that in casinos the law of normal distribution applies in all cases, the theory of probability rules and randomness is put at the forefront. And all this can be calculated well. Accordingly, the casino's risk managers believed so, and the security service ensured that the casino's suppliers provided it with tables with perfect surfaces, mechanically perfect roulettes and symmetrical balls. But, nevertheless, one of the largest casinos in Las Vegas went bankrupt. Taleb began to figure out why this happened. It turned out that the disaster began with an event that had nothing directly to do with the casino. The casino structure included Entertainment Center. One day, two tigers from an invited group, and the best artists in America were invited to the casino, attacked the trainer in front of thousands of spectators, tore him to pieces, and one of the tigers managed to knock down the poorly closed door to the cage and rushed into the stands. Much bloodshed was avoided, but the hall was closed and the story was shown on television. A trial followed, during which the casino operated as usual, but the artists stopped coming. As a result, surprisingly for brave risk managers, noticeably fewer visitors began to come to the gambling halls. Less simply because the number of guests arriving at the casino hotel has sharply decreased. The managers' mistake was that they considered the risks of only the main, as it seemed to them, type of casino activity. Others they simply ignored, for which they paid. In addition, having been to Las Vegas myself, I can say that this casino differed from others in only one thing - a luxurious program of American and international stars of the first magnitude who performed in the casino’s concert hall.

The second most important point I would like to draw your attention to is the difference between risk and uncertainty. For the first time, a clear distinction between them was made by Frank Knight, Nobel Prize winner in economics, author of the famous book Risk, Uncertainty and Profit. (The book was published in Russian and is available online – E.L.). He defined this difference through the theory of probability. Risk characterizes the future, where the distribution or set of outcomes is clear in advance. In fact, the entire business of insurance companies is built on the fact that, based on a variety of data, they calculate the probability of events based on existing past data. This works especially well in the case of mass events. For example, medical, car insurance, etc.

Accordingly, uncertainty is a future in relation to which we cannot, for one reason or another, establish the probability of the distribution of outcomes. Classic version uncertainties are revealed by Taleb's famous “Black Swans”.

The trouble with our society and business is that we have many risk managers and very few uncertainty specialists. In the business environment they are practically absent. This is largely due to the fact that, despite the verbal understanding that the world has become different, most people, even in large companies, act on the basis that tomorrow is a smooth continuation of today.

I have been doing competitive intelligence for quite a long time. As you know, I consult for many well-known companies and at a certain point I became convinced that I was invited by those owners and managers who understood that “not everything is in order in the Danish kingdom”, that competitive intelligence is not only an analysis of risks and opportunities, but also to a large extent, dealing with uncertainty and its consequences.

1

The article examines the concept of “risk management culture” as the most important component of risk management. A definition of risk management culture is given as a system of values ​​and behavior patterns existing in an organization, which determines the essence and form of decisions made in the field of risk management. The importance of developing a risk management culture in Russian companies is substantiated as necessary condition their stable functioning. Without a strong risk management culture, no amount of investment in risk information, risk analytics, or risk experts will protect a company from potential disaster or missed growth opportunities. The problems of introducing a risk management culture in an organization are analyzed. The specific management steps necessary for the development and formation of a comprehensive and effective risk management system for the entire company are described. The principles that help improve the culture of risk management are listed.

Management of risks

risk management culture

strong risk management culture

principles

values

1. Baldin K.V., Vorobyov S.N. Risk management: a textbook for university students. – M.: UNITY-DANA, 2012. – P. 7

2. Zinkevich V.A. Risk management culture is the basis of an effective risk management system // “Risk management in a credit organization.” – 2013. – No. 4. – P. 42.

3. Ilyin I.E. Risk management in the context of the global financial crisis // Management in a credit institution. – 2009. – No. 1. – P. 18–23.

4. Raizberg B., Lozovsky L., Starodubtseva E. Modern economic dictionary. – 6th ed., rev. – M.: INFRA-M, 2013. – P. 236.

6. Effective crisis management [Electronic resource]: scientific and practical. magazine – St. Petersburg: LLC Publishing House “Real Economy”, 2000 – ISSN 20788886. 2013. – No. 3. – P. 20–23.

The topic of risk management culture is perhaps the most important in risk management today. Risk managers began to pay more and more attention to the development of a risk management culture, and therefore there was an urgent need for qualified personnel capable of modeling and financially assessing risks. All risk management approaches are only as effective as the risk management culture in the organization and the significant role that risk managers play in developing this culture.

Risk management culture is the most important component of the risk management system. In the modern economic dictionary, “risk management” is defined as “the activities of an enterprise, firm, bank, aimed at reducing possible losses caused by risk.”

Risk management culture influences the decisions made by management and employees, even if there is no justifiable analysis of possible risks and potential benefits. In general, risk management culture can be characterized as the system of values ​​and behaviors existing in an organization, which determines the essence and form of decisions made in the field of risk management.

A culture of risk management is a means of ensuring that the measures taken are not just necessary, but carefully considered and measured.

Many firms fail due to failures in risk management, often due to a lack of attention to risk management culture. Risks were either ignored, underestimated or misrepresented. It is necessary to form an organizational culture in which all management personnel of the company will be interested not only in obtaining greater profits, but also in adequate risk management. The amount of remuneration for each employee should depend not only on the financial results of his activities, but also on how effectively he manages risks.

An organization's risk management culture can be assessed by the following questions:

● the attitude of top managers and middle management;

● information on issues professional ethics and risks;

● incentive on the part of employees to act in accordance with established rules;

● whether management adequately takes into account risks in the decision-making process;

● the impact of the existing risk management culture on relationships with partners;

● risk assessment in the recruitment process.

Implementing and developing a risk management culture is a complex and lengthy process. And this process must start from the top, i.e. There needs to be an understanding that risk management is everyone's task and responsibility. Often, the risk management service does not find support from management, department employees regard risk management as an unjustified additional burden and, as a result, approach the process formally, and somewhere company employees are silent about risks, trying to avoid responsibility or punishment.

The first step to implementing a risk management culture involves identifying the most significant risks and threats that could negatively impact the goals of the enterprise. The second step involves ranking the identified risks based on the likelihood and damage from their implementation. The third and perhaps the most important step- gradual implementation of measures that can prevent or minimize the negative effect from the implementation of identified risks.

Risk management is 5% process, 95% culture. Developing a risk management culture is a gradual process that requires consistent action from management (Figure 1).

Rice. 1. Management actions to develop a risk management culture

A developed risk management culture implies:

● openness - employees are not afraid to raise questions and problems that they face every day and openly discuss their own mistakes, because they learn from them;

● cooperation - signals about possible threats and risks are freely and quickly transferred between employees;

● high level of attention - the ability to correctly analyze risks and correlate the magnitude of risks with expected income;

● quick response to risks - systematically and quickly respond to threats;

● responsibility - every employee feels responsible for making the right decisions;

● compliance with the rules.

To improve the level of risk management culture in an organization, it is necessary to:

Increase the level of importance of the risk management system;

Involve senior management in the risk management process to gain a clearer understanding of the risks that arise in the daily activities of the organization;

Build financial incentives taking into account risk (the remuneration system influences work performance and the approaches used to taking risks). The payment of remuneration should take into account the degree of prudence shown by employees in taking risks;

Providing accurate information governing bodies. It is also important to provide “unfiltered” information, which means providing information about all negative facts from a risk management point of view;

Clearly articulate the organization's risk appetite and ensure it is applied throughout the organization. Ensure consistency between the level of risk appetite and the organization's strategic goals.

A culture of risk management must be embedded not only in risk monitoring, but also in the business decision-making process and in the incentive system.

A strong risk management culture reflects the values, capabilities and capabilities required to effective management risks (Fig. 2):

Rice. 2. Elements of a strong risk management culture

Vigilance - pay attention to emerging threats and opportunities;

Flexibility - decide and act on time;

Collaboration - ability to collaborate effectively on risk issues;

Communication - exchange information and ideas about risks;

Discipline - knowing and doing what is right from the point of view of risk;

Talent - attracting and motivating people who have necessary knowledge and risk skills;

Leadership - inspire, support, practice rewards for good risk management.

It is not necessary for every company to have a separate chief risk officer, but someone at the top should be responsible for risk management activities throughout the organization.

The most important thing is that all employees and personnel understand that risk management is part of the strategic management of the company and that they must help manage the risks they face in the course of their work, identify, identify, evaluate these risks and formulate proposals for their optimization. Managing risks is the responsibility of every employee.

The result of implementing a strong risk management culture should be:

1) a sustainable system for managing all kinds of risks;

2) an effective risk management culture and internal regulations for measurement, monitoring and control procedures with appropriate mechanisms, such as a methodology for measuring risk exposure;

3) automation of risk management tools;

4) creation of a risk assessment system.

Management must understand the importance and necessity of creating a comprehensive and effective risk management system for the entire company. Without a strong risk management culture, no amount of investment in risk information, risk analytics, or risk experts will protect a company from potential disaster or missed growth opportunities.

Risk management is the ability to adequately manage all the advantages and properties of available resources, making exclusively informed, informed decisions and acting on their basis.

Let us note that it is by increasing the level of risk management culture that risk management can reach a new level of development and help prevent and survive a future crisis with minimal losses.

Reviewers:

Bogatyrev A.V., Doctor of Economics, Professor, Head. Department of Finance and Accounting, ANO VPO "Moscow Humanitarian and Economic Institute" (Nizhny Novgorod branch), Nizhny Novgorod;

Romanova A.T., Doctor of Economics, Professor, Head. Department of Economics and Management, ANO VPO "Moscow Institute of Humanities and Economics", Moscow.

The work was received by the editor on April 1, 2015.

Bibliographic link

Omarova Z.N. STRONG RISK MANAGEMENT CULTURE AS AN ESSENTIAL ELEMENT OF THE RISK MANAGEMENT SYSTEM // Fundamental Research. – 2015. – No. 2-11. – P. 2421-2424;
URL: http://fundamental-research.ru/ru/article/view?id=37459 (access date: November 25, 2019). We bring to your attention magazines published by the publishing house "Academy of Natural Sciences"

This article is also available:

Financing

The research was carried out with grant support from the Russian Foundation for Basic Research (Department of Humanities and Social Sciences), project 16–02–00531a.

Dyatlov S.A. , Shugoreva V.A. , Lobanov O.S.

Assessment of management tools for the effectiveness of banking risk management// Modern control technologies. ISSN 2226-9339. — . Article number: 7704. Publication date: 2017-05-30. Access mode: https://site/article/7704/

Introduction

The current situation is characterized by the unfolding of the global financial and economic crisis, the transformation of global and national economic and financial banking systems, and the intensification of hypercompetitive struggle in world markets. Today there is an urgent need to develop a new paradigm, a transition to a new negentropy model economic development, a new risk management model in the context of increasing global innovative hypercompetition. The main paradigm of banking risk management experience was that the protective function is primarily a management function, requiring key decisions from top management to protect banks from various financial consequences. However, management was unable to effective measure ensure level of acceptance global solutions so correct as to develop the business and, at the same time, successfully reduce losses from risks. More precise process tuning was required. The old paradigm required rethinking and modernization.

Development of new information banking technologies, widespread adoption of electronic payment systems, active implementation of remote service services, multiple growth of banking transactions, incl. using bank cards is accompanied by an increase in the risks of hacker attacks and an increase in the number of fraudulent schemes to steal funds from customer accounts via the Internet. Thus, on May 12-15, 2017, a large-scale hacker attack was launched (infected with the WannaCry computer ransomware virus) on computers and servers of companies in various countries, including electronic payment systems of large industrial banks developed countries world, including China, Russia, USA, EU countries.

The most important tool for reducing electronic vulnerabilities, risks and overcoming the digital divide in the financial and banking sector is the convergence of information spaces, institutions and services of public and private electronic payment systems. Leading banks began to introduce a three-level line of defense into their electronic banking systems, which involved not only bank managers, but also employees working with clients (first line of defense), bank risk managers (second line of defense) and the internal control service (third line).

The risk management system, like any system, consists of elements. People, processes, tools and models. Building this system requires a clear understanding of the goals that the system must fulfill. The goals of the system are determined by the requirements of the regulator, as well as by the shareholders of a commercial bank. Achieving these goals in itself does not mean that the risk management system is working effectively. Compliance with the requirements of the regulator is an important and necessary part of building a system, without which the existence of a commercial organization is, at a minimum, illegal, but important role play the goals set by shareholders, understanding that the risk management system should protect the bank from unforeseen threats, while at the same time not interfering with the business’s ability to perform basic banking tasks. Building a balanced system of goals is a very complex and extremely important part of building the interaction of elements of a risk management system.

The bank needs to understand what the maximum amount of risk is acceptable for doing business, allowing it to receive the planned income. Moreover, this size can be regularly changed and revised depending on the current market conditions and economic situation. This size is usually called risk appetite or risk appetite.

Risk appetite can be defined as the total maximum level of risk (possible losses) a bank is willing to accept in the process of creating value, achieving established goals, including target profitability, implementing strategic initiatives and fulfilling its mission.

The system of risk appetite limits and the procedure for its functioning must be recorded in the bank’s internal regulatory documents.

If you set the task of assessing the effectiveness of a risk management system, then it is necessary to determine the tools that can be used in this system to achieve the necessary risk appetite indicators.

Purpose of the study– identify and evaluate existing means of managing the effectiveness of banking risk management. Currently, there are many different tools, models, approaches and indicators that, to one degree or another, can assess the current state of risk management in Russian bank, as well as directly or indirectly influence the change in this state. The object of the study is a joint-stock commercial bank. The subject of the study is the banking risk management system.

Research methods

If we look in more detail at the methods that Russian banks use, then to assess efficiency we will highlight several tools used in banks and which significantly influence the risk management system:

Indicators:

1. Risk Adjusted Return on Capital (RAROC);
2. Key risk indicators.

1. Application of stress testing methods;
2. Self-esteem;
3. Introduction of risk culture.

Each of these indicators or methods is a modern tool for assessing and influencing the risk management system. Banks themselves choose which of these instruments to use in their activities. One of the tasks set within the framework of the study is to identify those tools that require improvement; within the framework of this task, an integral indicator has been proposed and developed, taking into account the features of all tools, as well as those qualities that directly affect the risk management system as a business process.

This integral indicator was calculated by experts using the point-weight approach and the method of expert assessments, which was proposed by S.S. Belikov to assess the quality of the risk management system. To evaluate the tool system S.S. Belikov identified 4 groups of criteria:

• level of documentation base,
• level of interaction between departments and personnel,
• level of organization of the management system,
• level of ensuring uninterrupted operations.

At the same time, the instruments in this study were divided into types of risks. The developed analysis system was based on 6 key criteria:

• effectiveness,
• overall efficiency,
• rationality and expediency,
• reliability and functional adaptability,
• compliance with norms and standards,
• quality of organizational and information support.

Currently, these criteria do not fully cover the properties of tools that directly affect the risk management system. The proposed method is proposed to be supplemented and clarified with the following criteria characteristic of the current stage of development of the banking sector:

• the level of correlation between the indicator and the bank’s financial damage,
• the availability of an automated system that allows you to manage tools and calculations, cost, availability,
• possibility of creating user interface and roles at all levels of personnel in the AS,
• the presence of a transparent reporting and decision-making system,
• rigor of hardware mathematical calculations (level of formalization of calculations),
• the influence of bank size on an indicator or instrument,
• dependence of the instrument on documents and instructions of the Central Bank,
• international practice of using the tool,
• using the instrument at the Central Bank to take into account your risks,
• integration of the indicator to bank personnel (level of coverage),
• taking into account all types of risk.

Now let's look at these tools and evaluate them according to the proposed criteria (points 1...10). The weights were proposed by experts based on a survey of risk managers with at least 3 years of experience in the banking risk management system and are presented in Table 1.

Table 1 – Tool evaluation criteria

Risk-adjusted return on capital (RAROC)

One of the most popular indicators both in foreign banks and in the Russian banking business is return on capital taking into account risk (Risk Adjusted Return on Capital, RAROC). This indicator can be used by banks as part of the Risk Adjusted Performance Management (RAPM) system. RAROC is calculated using the following formula (1):

Essentially, RAROC shows how much a bank, taking into account risk, earns over a period per ruble of capital consumed.

RAROC appeared in the banking industry as a more advanced alternative to the classic return on equity (ROE) indicator. To calculate RAROC, accounting indicators used in calculating ROE and related to the level of risk - expenses for reserves for possible losses and equity (capital) - are replaced with economic indicators that more objectively reflect the risks taken: expected losses (EL) and economic capital ( ECap, EC).

Thanks to this, compared to ROE, RAROC allows for a more detailed analysis of the bank’s activities in terms of the relationship between risk and profitability, since it can be calculated at low levels of segmentation.

RAROC calculation uses both accounting indicators and economic indicators. In this case, it is important to use calculation components that are comparable to each other, taken over the same period of time and obtained on the basis of the same array of borrowers or transactions.

The calculation and analysis of the RAROC indicator creates the prerequisites for more efficient use of the bank's capital through its redistribution to business units that generate the highest profitability taking into account risk.

Firstly, RAROC allows you to have a balanced and targeted influence on business development. Secondly, RAROC allows for more efficient use of the capital buffer (the difference between capital sources and capital requirements). Thirdly, both in the period of excess capital and in crisis period When there is a shortage of capital, the use of RAROC will help limit/reduce the least efficient areas.

The scores for each criterion and the overall final score for the instrument are presented in Table 2.

Table 2 - Evaluation of the RAROC tool

I 1	I 2	I 3	I 4	I 5	I 6	I 7	I 8	I 9	I 1 0	I 1 1	Total
10	3	2	5	9	0	5	3	3	2	5	4,65

Key risk indicators

Key risk indicators (KRIs), as their name suggests, are indicators of the key risks to which a bank is exposed. They are part of the information that serves as an indicator of the bank's exposure to a particular type of risk.

Key Risk Indicator (KRI) is a quantitative indicator, calculated at a given frequency and used to assess the current level of risk, correlate the current level with an acceptable (threshold) value, identify problem areas and prevent possible losses through the development and implementation of preventive measures.

There are three main types of KIRs:

1. Single KIRs. For example, the number of dissatisfied customers.
2. Mixed KIRs. Contain two or more single KIRs, combined using the appropriate algorithm. For example, the ratio total number customers and the number of dissatisfied customers give the level of customer dissatisfaction.
3. High-quality CIRs. KIRs such as “audit rating” represent an assessment of the level of risk: “high”, “medium” or “low”.

There are also indicators that focus not on losses, but on business processes. For example, increased bank staff turnover is difficult to attribute to any specific loss because it reflects a process. Such indicators help assess the quality of operations for all types of risk. They tend to be historical too, in that they inform us of what has already happened and do not indicate where we should focus our efforts in the future.

Environmental indicators such as the number of complaints from clients, staff satisfaction with their work, and the number of trainings conducted for department employees are predictive.

In real life, there are thousands of various KIRs corresponding to the main processes, business areas, losses and events occurring in the bank, so the assessment process must be carried out based on historical data and using statistical techniques that identify relationships between data. Thus, as a result of a successfully carried out analysis of KIRs, the most important indicators that are key for this type of risk remain.

In practice, the effective use of indicators involves the simultaneous use of both historical and leading indicators. The more specific they are and the more accurately they reflect the profile corresponding risk, the greater the importance of working with indicators. The so-called “sensitivity” of the indicator reflects the effectiveness of its operation. Measuring sensitivity is not easy, so in practice, optimal thresholds for risk indicators are first quantified and then adjusted through modeling.

The scores for each criterion and the overall final score for the instrument are presented in Table 3.

Table 3 – Evaluation of the KIR tool

I 1	I 2	I 3	I 4	I 5	I 6	I 7	I 8	I 9	I 1 0	I 1 1	Total
7	6	7	3	3	3	3	6	4	8	5	5,40

Stress testing

An important tool for assessing the impact of extraordinary events on the financial stability of a bank can be stress testing. This tool allows you to analyze the impact on the bank of particularly large losses, the probability of which is outside the confidence interval on which the bank calculates its economic capital. Stress refers to the establishment of very unfavorable values ​​for macroeconomic factors affecting the bank, in particular values ​​that are more negative than those accepted for the pessimistic scenario of the bank’s business plan.

Stress testing can be carried out based on historical and hypothetical scenarios. Based on the foregoing, we can give the following definition of stress testing - this is an assessment of risk indicators and parameters of portfolios of assets and liabilities under conditions of unlikely, but possible, pessimistic scenarios, in particular, in order to determine the adequacy of the bank’s sources of capital to cover potential losses. It can be carried out either in the section individual species risks, and aggregated.

Stress testing is used in different areas risk management to solve the following various tasks:

• capital Management,
• liquidity management,
• business planning,
• portfolio management,
• determination of risk appetite.

Stress testing allows you to assess the impact of pessimistic scenarios on all the main indicators of the bank’s activities: financial results and profitability, capital adequacy, liquidity standards, quality of the loan portfolio, etc. The results of stress testing and corresponding recommendations on a regular basis can be presented for face-to-face discussion by the bank’s collegial bodies .

The scores for each criterion and the overall final score for the instrument are presented in Table 4.

Table 4 – Stress testing tool evaluation

I 1	I 2	I 3	I 4	I 5	I 6	I 7	I 8	I 9	I 1 0	I 1 1	Total
3	2	2	4	3	6	0	8	6	3	7	4,25

Self-assessment of risks and controls

Self-assessment of risks and controls is the process of identifying, describing and evaluating potential risks and their associated controls. Although the fundamental principles of self-assessment are fairly well established around the world, ideas about the best approach at the micro level can vary greatly. The self-assessment process is primarily intended to identify and evaluate potential rather than current risks and incidents.

First of all, the self-assessment process is carried out to identify and document a list of the most significant risks and associated controls, increasing business awareness of the bank’s risks by broadcasting the results of the self-assessment. Thus, the main goals of self-assessment are:

• identifying significant risks and weaknesses in control systems, including developing risk indicators and control indicators to monitor risk and developing measures to minimize risk;
• increasing awareness about the level of operational risk and forming a risk profile of the bank and structural divisions;
• generating input data for scenario analysis, monitoring risk indicators and modeling capital requirements to cover operational risk.

According to generally accepted international standards, self-assessment should be carried out at least once a year.

The first stage of self-assessment is to determine the degree of exposure of the bank to a particular risk. Risk exposure may be determined by one or more of the following methods:

• interviewing authorized employees of the business being assessed;
• survey;
• analysis of the database of operational risk incidents (historical data);
• analysis of third party reports (external and internal audit, regulator, consultants, etc.);
• analysis of external data sources, such as the press and reviews of world practices;
• use of data available on the bank’s internal portal;
• conducting brainstorming sessions within the framework of seminars.

One of the most effective is the last method. During the seminars, representatives of structural divisions are involved, including both management staff and specialists. Participants are asked what they consider their risks to be.

In the process of self-assessment, similar to risk assessment, the effectiveness of control procedures is assessed (a 5-item scale is used with a rating from zero to high effectiveness). Together with the overall risk impact assessment, the assessment of the effectiveness of control procedures determines the rating of a given risk.

The scores for each criterion and the overall final score for the instrument are presented in Table 5.

Table 5 – Evaluation of the risk and control self-assessment tool

I 1	I 2	I 3	I 4	I 5	I 6	I 7	I 8	I 9	I 1 0	I 1 1	Total
3	4	8	7	2	6	2	7	4	10	4	5,05

Risk culture

Despite the fact that the concept of risk culture appeared a long time ago, there is no clear and unambiguous definition this term There is no such thing in banking practice. However, already in 2016, the Bank of Russia, in accordance with the risk management policy, recognized risk culture as one of the most important elements of the risk management system. Thus, according to the regulator, risk culture can be defined as a set of values, beliefs, understandings, knowledge, norms of behavior and practices regarding the risks of the organization and their management, shared and accepted by all employees of the organization. It is worth noting that risk culture is based on a person’s values ​​and beliefs, which can only be accepted voluntarily. An important difference from other tools is that an employee cannot be forced to comply with the requirements of the risk culture.

This definition provides a framework for understanding what risk culture means in an organization, but still this definition is poorly formalized. One of the main problems of all organizations that implement approaches to risk culture is the lack of parametric assessment methods that would allow assessing the level of informal principles and beliefs.

For the majority of workers, employees who work in the risk management system, risk managers, seem to be people with specific mathematical knowledge that is inaccessible to the majority. Risk managers' decisions can be confusing, especially to those in business functions. Risk culture proposes to overcome these misunderstandings between risk managers and other employees.

In a developed risk culture, each employee, firstly, knows what the risk manager does and is responsible for; secondly, understands that the risk manager’s decisions are also based on the goals of the organization’s well-being; thirdly, motivated to practical use solutions for risk management systems.

Risk management, like any other management process, is clearly regulated. Organizational structures, roles, procedures, tools and models must work as a cohesive mechanism. But in today's difficult economic conditions, relying on formal mechanisms is not enough to ensure the sustainability of the bank's risk management system and its adaptability to the constantly changing external and internal environment. Knowledge, values, principles and beliefs in the field of risk management help to reliably close possible gaps and gray areas in regulatory regulation.

In banks, risk management is often dominated by either formal procedures or informal principles and beliefs. The most successful banks develop both.

Thus, the development of a risk culture is a very important stage in the development of the entire risk management system.

In practice, the level of risk culture varies from bank to bank. If an organization has a strong enough risk culture, risk management permeates everything: processes, systems, management decisions, models, etc. In banks with a less developed risk culture, risk management is reduced to formal conclusions and recommendations of risk managers, who often do not have the right to vote in making business decisions.

Thus, the entire risk management toolkit, no matter how perfect it may be, is only as effective as the risk management culture in the organization is developed.

One of the reasons for the slow development of risk culture may be weak support for risk management from the top management of the organization. Understanding the importance of implementing risk management tools, management does not always realize that risk management concerns not only risk managers, but also other employees of the organization.

Another difficult barrier to developing a risk management culture is that people in business often resist attempts to look at their actions from a different angle and predict alternative scenarios. This is why much must be done to properly communicate the role of risk managers as partners and constructive counterbalances in the process of preparing and making business decisions.

Currently, banks are at different stages development of risk culture.

The period following the global financial crisis of 2008–2009 marked the beginning of the global banking industry's transition to a balanced risk culture. The concept of an organization's risk appetite has been developed. The widespread introduction of metrics that combine risk and profitability has made it possible to significantly reduce the degree of conflict between business functions and risk management functions, uniting them with common goals at all levels of the organizational hierarchy.

But the path of the world's largest banks to a balanced risk culture has proven difficult. Some banks overcame difficulties, while others ceased to exist due to shortcomings in their risk culture.

The concept of risk culture in a large bank is more focused on the tasks that are set for employees within the framework of the risk management system. For example, at Sberbank PJSC, risk culture is defined as an established system of employee behavior standards in the organization, aimed at identifying and managing risks. At the same time, a fairly formalized model has been developed, consisting of four areas, which describes this tool and allows you to work with it - risk awareness, response, respect for the client, the bank and oneself, and complete transparency of all processes.

The scores for each criterion and the overall final score for the instrument are presented in Table 6.

Table 6 – Evaluation of the risk culture tool

I 1	I 2	I 3	I 4	I 5	I 6	I 7	I 8	I 9	I 1 0	I 1 1	Total
1	4	7	3	2	6	2	6	6	4	3	3,8

The final table of the effectiveness of tools (1 ... 10) is presented in Table 7.

Table 7 – Summary table of tool effectiveness

Conclusion

For each tool, an integral indicator has been derived, which shows how effective this tool can be and is primarily used to assess and improve the banking risk management system.

The main conclusion that can be drawn from these calculations is that such an instrument as risk culture is the least developed and therefore in demand now in the Russian banking market. Calculations have shown that at the moment formal risk management procedures strongly dominate, and only superficial attention is paid to informal ones. This can be explained by the fact that informal tools are difficult to parameterize and apply any information technologies. But for modern banks that set themselves the task of progressive risk management methods that achieve maximum efficiency, it is necessary to develop both formal management methods and informal ones based on principles and beliefs.

One of the main and promising effects from the development of a banking risk culture is the improvement of the operational risk management system, because It is precisely this type of risk, where the peculiarities of human views and values ​​manifest themselves on both the positive and negative sides, that can be minimized through the development of tools of the same nature of influence.

Bibliography

1. Dyatlov S.A. Global innovative hypercompetition as a factor in the transformation of the world economy // Philosophy of Economics. - 2010. - No. 4. - P. 113-131.
2. Dyatlov S.A. Inflation targeting and the Goodhart effect / World Science: Problems and Innovations: collection of articles of the VIII international scientific and practical conference. In 2 parts. Part 2. - Penza: ICNS "Science and Enlightenment", 2017. - P. 163-167.
3. Dyatlov S. A., Lobanov O. S. Convergence of information spaces as a factor in reducing digital inequality in the Eurasian Economic Union // Regional Economics and Management: electronic Science Magazine. ISSN 1999-2645. - No. 2 (50). Publication date: 2017-04-11.
4. Lobanov O. S. CASE technologies for designing information systems // In the collection: Information technologies in economics, management and education. - Saint Petersburg. – 2010. – P. 298-299.
5. Lobanov O. S. Economic justification for the use of software solutions that implement the budgeting function in organizations // In the collection: Application of the results of diploma design of university students in St. Petersburg in the interests of the socio-economic development of the city. - Saint Petersburg. – 2010. – P. 95-99.
6. Lobanov O. S., Artemyev A. V., Tomsha P. P. Division of information systems into subclasses as the basis for rationalization of the information space // International Scientific Research Journal = Research Journal of International Studies. – 2014. – No. 6-2 (25). – pp. 20-21.
7. Lobanov O. S., Ryabtsev I. V. Modeling business processes in the Casewise environment // In the collection: Development of the Russian economy: innovative future. - Saint Petersburg. – 2007. – P. 83-84.
8. Lobanov O. S., Ryabtsev I. V. Strategic management and its support by means of Carewise using the example of BSC // In the collection: Modernization of the Russian economy and society in the context of national, state and global changes. - Saint Petersburg. – 2008. – P. 92-97.
9. International convergence of capital measurement and capital standards: Refined framework approaches, 2004. – access mode: http://www.cbr.ru/today/ms/bn/basel.pdf.
10. Melnikova E. F., Lobanov O. S., Basha N. V. Prioritization of projects in an engineering company as a tool for making operational management decisions // International Research Journal = Research Journal of International Studies. – 2014. – No. 8-1 (27). – pp. 65-66.
11. Minakov V.F., Lobanov O.S., Artemyev A.V. Clusters of consumers of telecommunication services // International Scientific Research Journal = Research Journal of International Studies. – 2014. – No. 6-1 (25). – P. 60-61.
12. Minakov V.F., Lobanov O.S., Ostroumov A.A. Deployment of cloud infrastructure in the regional information space // Scientific Review. – 2014. – No. 11-1. – pp. 103-106.
13. Sazykin B.V. Operational risk management in a commercial bank. – M.: Vershina, 2008. – P. 272.
14. Socio-economic transformation of the economic system of Russia. Collective monograph. St. Petersburg, 1997.
15. Shchugoreva V. A. Criteria and the need to implement an automated operational risk management system in a Russian bank. Examples of solutions // International Research Journal = Research Journal of International Studies. – 2015. – No. 3-3 (34). -WITH. 94-96.
16. Shchugoreva V. A., Basha N. V., Minakov V. F. Conceptual model of the influence of risk culture on the efficiency of bank business management // Economics and management of management systems. – 2016. – T. 19. – No. 1.3. – pp. 352-358.

Omarova Zimfira Nasrutdinovna, senior lecturer of ANOVO "Moscow University of Humanities and Economics" Northern branch, Koryazhma [email protected]

The concept of developing a strong risk culture

Abstract. The importance of developing a risk culture as an integral part of an integrated risk management system is substantiated. A concept for the development of a risk culture that helps improve the financial stability and competitiveness of organizations is developed. The levels of corporate risk culture have been determined. Key elements corresponding to high and low levels of risk culture are identified. Recommendations are given for increasing and developing a strong risk culture of domestic organizations. Key words: risk management, risk culture, level of risk culture, development concept, strong risk culture.

Risk management is currently becoming one of the most significant tools throughout the world for increasing economic efficiency and business stability. Modern economic conditions require domestic companies to promptly prevent, identify and manage risks in various areas of activity. We talk a lot about modern methods, new tools and fashionable approaches to risk management in companies. But we do not notice a very important and integral element of risk management - risk management culture. All risk management approaches are effective to the extent that the risk management culture is developed in the organization and the significant role that risk managers play in the development of this culture. In order for a company to successfully develop in a constantly changing environment, it is necessary to constantly improve the risk management system and act in accordance with the principles of a strong risk culture.

The problem of developing a risk culture lies in the weak support of risk management from above, from the company’s management. Management may understand the importance of implementation, but not everyone understands that the process needs to be constantly supported, fed with resources, energy and finance.

The company's line managers are not very interested in sharing information about risks. Risk managers have to overcome the reluctance of employees to disclose such information, because the word “risk” is perceived negatively by many and they are afraid to bear responsibility if this risk manifests itself. Another problem is related to the fact that risk is perceived differently by each person: there is no uniform terminology and classification of risks. We need to go a long way for everyone to start speaking the same language. A risk management culture can and must be developed. The path to effective risk management lies through the formation of a strong risk culture. A developed risk culture is today one of the key factors in the commercial success of an organization. Culture must permeate the entire organization—risk management must involve everyone in the organization. What is risk culture? Risk culture is a system of values, beliefs, principles and knowledge in the field of risk management, shared by all employees of the organization at all levels of the hierarchy. The development of a risk culture is a very important, long and complex path. The concept of the development of a risk culture includes 5 areas of work (Table 1). Table 1 The concept of the development of a strong risk culture

Approach Direction of work Diagnostics Assessing the current level of risk culture, identifying the reasons for the weak development of risk culture Elements of a strong risk culture Determining elements corresponding to high and low levels of risk culture

Risk culture development program Recommendations for the development of risk culture, training employees in risk theory and behavioral models that are targeted for all employees, regardless of their position from the point of view of risk culture Introduction of a strong management culture of the organization Development of a system for monitoring changes in the level of risk culture

Implementation resultsIntegration of the concept of developing a strong risk culture into the company’s activities

The presented concept of developing a strong risk culture is intended to radically change, first of all, the thinking of all employees of any organization in any field without exception. As soon as every employee (from an ordinary employee to a manager at any level) begins to understand that it is he who protects the organization from risks and that the total level of risk depends on the decisions he makes, these organizations are invincible - they are not afraid of any shocks or threats. Each organizations have different levels of risk culture. It is necessary to distinguish between 2 levels of corporate risk culture: high and low. As recent studies show, only 6% of surveyed employees of domestic companies assess the level of corporate risk culture as high, noting maximum score, 80% of respondents assess the level of development of a risk culture in their company as low. “A strong culture is characterized by the main (core) values ​​of the organization, which are intensively supported, clearly defined and widely disseminated. The more members of an organization who share these core values, recognize their importance, and are committed to them, the stronger the culture. Young organizations or organizations characterized by constant rotation of opinions (concepts) among their members have a weak culture. Members of such organizations do not have sufficient shared experience to form generally accepted values. However, not all mature organizations with a stable workforce are characterized by a strong culture: the core values ​​of the organization must be constantly maintained.” Figure 1 shows the key elements corresponding to a high level of risk culture. There are 4 key elements of a high risk culture:respect, the ability to effectively and openly collaborate on risk issues;awareness to know and do what is right from a risk point of view;response to respond systematically and pay attention to emerging threats and risks;transparency to freely and quickly exchange information and ideas about risks.

Fig. 1 High level of corporate risk culture

In practice, in organizations with a high level of risk culture, risk management permeates everything: processes, systems, management decisions, models, etc. At the same time, each ordinary employee understands his role in risk management, and for each type of risk, appropriate risk management methods and technologies for modeling risk consequences are used. Employees are not afraid to openly discuss emerging risks, a collective understanding of the main risks to which the organization is exposed is maintained and monitored, and report any situations related to risks, even if it seems insignificant, since the timely detection of potential problems or the recognition of errors allows us to minimize possible negative consequences. Formation a strong risk culture of a company determines the sequence of actions of employees and the adoption of certain decisions in their daily activities, taking into account existing risks. Structural units in organizations with a high level of risk culture are the owners of risks and are responsible for identifying, analyzing, managing, reducing the level of risks and generating reports on key risks .

A strong culture determines the consistency of employee behavior. Employees clearly know what behavior they should follow. Predictability, orderliness and consistency of activities in the organization are formed through high formalization. A strong culture achieves the same result without any documentation or distribution. Moreover, a strong culture can be more effective than any formal structural control. The stronger the culture of an organization, the less attention management needs to devote to developing formal rules and regulations to govern employee behavior. This will all be in the subconscious of the employee who accepts the culture of the organization. The following elements correspond to a low risk culture (Fig. 2): denial - low level of communication on risk issues; lack of motivation - poor understanding of risks at all levels of the organizational hierarchy; resistance - fear of bad news , making mistakes in the field of risk management;detachment – ​​slowness, indifference, ineffective risk control systems.

Fig. 2 Low level of corporate risk culture

In organizations with low level risk culture risk management comes down to formal conclusions and recommendations of risk managers, who often do not have the right to vote in making business decisions. In such organizations, as a rule, there is a low level of employee involvement in the risk management process, structural units are inactive or reluctant to participate and take responsibility or do not fully understand their role in risk management. As a rule, responsibility for risk management is transferred to a separate functional service, and other business units abdicate this function. In this regard, some risks inevitably fall out of sight, which can lead to devastating consequences. To develop a strong risk culture, it is necessary to implement the following recommendations:  develop behavior in employees in which they openly discuss and respond to existing and potential risks;  create an internal attitude of intolerance towards ignoring, hushing up risks and the risky behavior of others;  development and implementation of a methodological approach to risk management; coordination of the company's actions in the field of risk management;consulting and methodological support of the company's divisions on risk management issues;coordination and preparation of risk reports;training employees on risk management issues;monitoring the implementation of the risk management action plan by structural units, coordination of work with the service internal audit; development and implementation of measures to improve the risk management system. To summarize, we can conclude the following, the topic of risk management culture today is perhaps the most important in risk management. Risk culture is an integral part of the integrated risk management system. A strong risk management culture builds companies' collective ability to identify, analyze, openly discuss and respond to existing and future risks.

It is obvious that in order to develop a risk culture, it is necessary to purposefully change the principles of working culture and actively implement them, as well as strengthen responsibility in terms of functions and responsibilities in the field of risk management. If an organization has a strong risk culture, its employees are not afraid to raise issues and problems that they face every day. Within such a culture, there is an understanding that the employee can benefit from his mistakes, which can often be the result of trying to do his job in a more innovative or creative way.

2015. No. 211. P.24212424 2.B.Z. Milner. Organization theory: Textbook. 2nd ed., revised. and additional M: INFRAM, 2000. 480 pp. 3. Effective anti-crisis management [Electronic resource]: scientific and practical work. magazine St. Petersburg : LLC "Publishing House "Real Economy", 2000 ISSN 20788886. 2013.N 3.С.2023 [Date of access 01/23/2017]. 4. Lyubov Nisenboim. Everyone thinks about risks // Journal "Consultant". -2011. No. 13.

Ministry of Education and Science of the Russian Federation

NOVOSIBIRSK STATE UNIVERSITY

ECONOMICS AND MANAGEMENT "NINH"

Institute

Department

TO DEFENSE

Head of the department

17.06.2015

GRADUATE WORK

In the specialty of higher professional education

Management in the organization

Management of risks

Performer, _____________________ (A.A. Akulova)

Student gr. MOP1LI (signature, date)

Scientific adviser _____________________

(signature, date)

Standard control passed ______________________

(signature, date)

Novosibirsk 2015

Contents

Introduction

Today, risk is an integral characteristic of banking activities. It plays a decisive role in the formation of the financial results of banks, serves as an important characteristic of the quality of assets and liabilities of banks, and, thus, should be used in a comparative analysis of their financial condition and position in the banking services market.

Risks are present everywhere and always, so no matter what we do, assessing our decisions from the point of view of risks is important and necessary in any case. Even if we are talking about personal affairs and plans, the risks must be weighed. Of course, in the financial sector, risks come to the fore, because enormous amounts of information circulate here and a huge number of decisions are made. One of the most important tasks of risk management is the development and implementation into daily processes of tools that help make decisions, risk assessment models. Such models are primarily based on statistics. Therefore, Sberbank is an absolute paradise for any mathematician and modeler, because the volume of customer data is unprecedented. Currently, more than 600 models of varying levels of complexity have been introduced into the process and are in operation. It is very important that the model not only exists, but is also used in real processes and helps make risk-informed decisions. All models work and show high predictive ability.

Sberbank has implemented the “classical” concept of three lines of protection against risks. The first line of defense is those employees who directly communicate with clients or with documents. The first line of defense is not just big words. A lot depends on the professionalism and responsibility of these people - after all, they are the ones who see the “live” client and “real” documents. The second line of defense is risk management. Currently, the “Risks” block employs more than 4 thousand employees - these are underwriters for all lines of business (people who carry out an independent examination of risks) and methodologists. The third line of defense is the internal audit service, which regularly audits all processes and procedures in the bank, including risk management processes.

The main banking risk, especially in Russian practice, is credit risk. Managing this risk is a key factor determining the bank's performance. This is the risk of non-repayment or late repayment of the loan to the asset holder, who in this case will suffer financial losses. This determines relevance thesis topics.

The amount of credit risk can be influenced by both macro- and microeconomic factors. In conditions where the economy is unstable, legislation is imperfect, and in many cases contradictory, it is very important to have an effective credit risk management system. Therefore, the bank must develop a credit policy, a documented organizational scheme and a system of control over credit activities.

Object of study Novosibirsk branch 8047/0386 of Sberbank of Russia OJSC.

The purpose of this work is to study the theoretical foundations and analysis of credit risks in an organization using the example of the Internal structural division of Sberbank of Russia OJSC No. 8047/0386 (hereinafter referred to as VSP)

To achieve this goal, it is necessary to solve the following tasks:

1. Consider theoretical basis credit risk;

2. Show the credit risk management system;

3. Analyze the methodology for analyzing credit risk;

4. Present an analysis of credit risk management using the example of VSP 8047/0386;

5. Analyze the main shortcomings in credit risk management;

6. Determine areas for improving credit risk management.

At graduation qualifying work The following methods were used: system analysis method, participant observation method, document analysis method.

The practical significance of the work lies in the fact that the results obtained during the research process and the conclusions based on them can be directly used in the work of VSP 8047/0386 of Sberbank of Russia OJSC; with successful adaptation and identification of the real economic effect, it is possible to disseminate this practice throughout the entire branch networks of OJSC Sberbank of Russia.

1. THEORETICAL BASIS OF CREDIT RISKS

1.1 Essence and structure of credit risks

Credit operations of commercial banks are one of the most important types of banking activities. In the financial market, lending retains its position as the most profitable item of assets of credit institutions, although also the most risky. Credit risk, therefore, has been and remains the main type of banking risk.

Credit risk is the risk that a third party will fail to meet loan obligations to a credit institution and also means that payments may be delayed or not paid at all, which in turn can lead to cash flow problems and adversely affect the bank's liquidity. Despite innovation in the financial services sector, credit risk still remains the main cause of banking problems. More than 80% of the content of a bank's balance sheet is usually devoted to this aspect of risk management. The danger of this type of risk arises when carrying out lending and other equivalent operations, which are reflected on the balance sheet and may also be of an off-balance sheet nature.

Such operations include:

granted and received credits (loans);

placed and attracted deposits;

other allocated funds, including claims for receipt (return) of debt securities, shares and promissory notes provided under the loan agreement;

discounted bills;

payment by a credit institution to a beneficiary under bank guarantees, not collected from the principal;

monetary claims of a credit institution under financing transactions against the assignment of a monetary claim (factoring);

claims of the credit institution for the rights acquired under the transaction (assignment of the claim);

claims of the credit institution for purchased secondary market mortgages;

claims of a credit institution for sales (purchase) of financial assets with deferred payment (delivery of financial assets);

requirements of a credit institution to payers under paid letters of credit (in terms of uncovered export and import letters of credit);

requirements for the counterparty to return funds under the second part of the transaction for the acquisition of securities or other financial assets with the obligation to re-allocate them if the securities are unquoted;

requirements of the credit institution (lessor) to the lessee for financial lease (leasing) transactions.

The effectiveness of risk assessment and management is largely determined by its classification.

Acceptance of credit risks is the basis of banking, and their management is traditionally considered the main problem in the theory and practice of banking management. The following types of credit risks can be distinguished: Direct lending risk; Contingent lending risk; The risk of failure by the counterparty to fulfill the terms of the agreement; Risk of issue and placement; Clearing risk. Let's consider the classification characteristics of credit risks in Table 1.1

Table 1.1 Classification characteristics of credit risks

Depending on the scope of the factors, internal and external credit risks are distinguished; on the degree of connection of factors with the activities of the bank - credit risk, dependent or independent of the activities of the bank.

The following risk groups are also distinguished:

Group of “risks associated with the borrower”: the risk of the borrower’s failure to fulfill its obligations; country (region) risk; risk of restricting the transfer of funds; concentration risk.

Group of “Internal risks”: risks of non-payment of principal and interest; the risk of borrower replacement relates mainly to capital market operations; loan collateral risk.

Bank credit risk factor is the cause of possible losses in the value of bank assets, determining their nature and area of ​​occurrence. The study of bank credit risk factors should be approached comprehensively, highlighting the reasons that are in the sphere of the bank’s credit policy, the economic activities of the borrower and the general economic state of the industry, region, and state as a whole.

Thus, in general, it is obvious that credit risk is caused by the likelihood of banks’ counterparties not fulfilling their obligations, which, as a rule, manifests itself in the failure to repay (in whole or in part) the principal amount of the debt and interest on it within the terms established by the contract.

In general, banking risks are divided into four categories: financial, operational, business and emergency risks. Financial risks, in turn, include two types of risks: pure and speculative. Pure risks mean the possibility of a loss or zero result. Speculative risks are expressed in the possibility of obtaining both positive and negative results.

Financial banking risks include:

The occurrence of losses for a credit institution as a result of non-fulfillment, untimely or incomplete fulfillment by the debtor of financial obligations to the credit institution in accordance with the terms of the agreement.

These financial obligations may include the debtor's obligations for:

loans received, including interbank loans (deposits, loans), other funds placed, including claims for receipt (return) of debt securities, shares and bills provided under the loan agreement;

bills discounted by a credit institution;

bank guarantees under which the funds paid by the credit institution are not reimbursed;

financing transactions for assignment of monetary claims (factoring);

rights (claims) acquired by a credit institution under a transaction (assignment of a claim);

mortgages purchased by a credit institution on the secondary market;

transactions for the sale (purchase) of financial assets with deferred payment (delivery of financial assets);

letters of credit paid by the credit institution (including uncovered letters of credit);

return of funds (assets) under a transaction for the acquisition of financial assets with the obligation to re-allocate them;

requirements of the credit institution (lessor) for financial lease (leasing) operations.

A characteristic feature of credit risk is that it arises not only in the process of granting a loan and receiving interest on it, but also in connection with other balance sheet and off-balance sheet obligations, such as guarantees, acceptances and investments in securities.

Concentration of credit risk is manifested in the provision of large loans to an individual borrower or a group of related borrowers, as well as as a result of the debtors of a credit institution belonging either to certain sectors of the economy, or to geographical regions, or in the presence of a number of other obligations that make them vulnerable to the same economic factors.

Credit risk increases when lending to persons associated with a credit institution, i.e. providing loans to individual individuals or legal entities who have real opportunities to influence the nature of decisions made by a credit institution on issuing loans and on lending conditions, as well as to persons whose decision-making may be influenced by a credit institution.

Credit risk, i.e. The risk that the debtor will be unable to make interest payments or repay the principal amount of the loan in accordance with the terms specified in the loan agreement is an integral part of banking. Credit risk means that payments may be delayed or not paid at all, which in turn can lead to cash flow problems and adversely affect the bank's liquidity. Despite innovation in the financial services sector, credit risk still remains the main cause of banking problems. More than 80% of the content of banks' balance sheets is usually devoted to this aspect of risk management.

Because of the dangerous consequences of credit risk, it is important to conduct a comprehensive analysis of banking capabilities to evaluate, administer, supervise, control, implement and repay loans, advances, guarantees and other credit instruments. An overall review of credit risk management includes an analysis of the bank's policies and practices.

This analysis should also determine the adequacy of the financial information received from the borrower, which was used by the bank when making a decision to grant a loan. The risks for each loan should be periodically reassessed, as they tend to change.

Operational risk is the risk of direct or indirect losses from unlawful and erroneous internal processes of the bank or external events.

Events within the VSP include:

Ineffectiveness/ineffectiveness of bank department processes;

Failures and downtime of IT systems;

Unintentional errors or deliberate violations on the part of personnel.

External VSP events include:

Natural disasters;

Changes in regulatory requirements;

Actions of third parties.

To determine the size of operational risk, three fundamentally different approaches are used:

BIA (Basic Indicator Approach) approach based on a basic indicator: calculation of operational risk is based on the organization’s income average gross income for 3 years is taken and included in capital with a 10-fold increase.

SA (Standardized Approach) standardized approach: depends on the amount of income by area of ​​activity (Table 1.2).

Table 1.2 Activity direction coefficient

AMA (Advanced Measurement Approaches) advanced approach to assessing operational risks: operational risk is calculated based on data on incurred and potential losses; takes into account the organization’s work in the field of operational risk management. The AMA provides more accurate estimates that reflect the magnitude of expected and unexpected losses for a given organization.

The choice of approach remains up to the bank. As information and technology advances, banks can move from the simple BIA approach to the more complex AMA and develop their own approach.

It is important to manage operational risk by all departments of the bank, since operational risk is not specific and is implemented in all processes of the bank, and losses from the realization of operational risk can be very significant and even catastrophic.

Table 2.1 Stages of operational risk management

These stages (Table 2) of identifying operational risks and managing them involve full analysis all operating conditions of the bank for the presence or prospect of occurrence of operational risks, their assessment by various methods (approaches), as well as their monitoring, control and minimization of operational risks.

Management of various operational risks is associated with factors influencing these risks, as well as with methods for obtaining assessments and statistical data that facilitate more accurate tracking of the causes and consequences of actions that led to the emergence of operational risks.

The consequences of operational risks associated with the illegal issuance of cards and the commission of fraudulent actions with them are (Table 3): an increase in the level of customer dissatisfaction, refusal to cooperate, a decrease in market share, and a decrease in bank income.

Table 3.1 - Manifestation of operational risk in remote customer service channels

Currently, the most widely used remote channel for servicing bank clients is Mobile Bank (MB), a service provided by Sberbank of Russia OJSC, which allows you to obtain information about all card transactions, as well as make payments, transfers and other transactions using mobile phone anytime, anywhere.

The MB service is popular among clients, but it also comes with operational risks.

The main reasons for clients to request unauthorized debits from a credit card using the MB service are:

Illegal connection of the MB service to the client’s card.

Untimely disconnection of the service when you lose your phone or change your number.

Fraudulent actions (presumably through the personal account of mobile operators and online stores, malicious viruses).

According to VSP 8047/0386 “Sberbank of Russia” for the period from 04/01/2014 to 04/31/2015, the number of customer requests for the “MB” service is 56, the peak of requests was in April 2015. 13. An analysis of 56 complaints was carried out 98% of them were related to unauthorized debiting of funds from credit cards through MB, the amount of damage amounted to 153,355 rubles.

At the beginning of the second quarter of 2015, the number of fraudulent actions with credit bank cards through the MB service increased by 2.6 times compared to the same period of the previous year. The growth of precedents related to the “MB” service occurs, first of all, due to the increase in the number of users.

Having analyzed the dynamics of requests from bank clients, we can conclude that there is an increase in dissatisfaction and distrust in the banking system, which increases its financial and reputational damage; therefore, a program of measures is needed, which will include the following measures:

Increased attention to information security issues, development of an information security system, a corporate anti-virus system, training of IT personnel capable of monitoring information flows and their safety.

Increasing IT literacy of bank employees and clients. The introduction of information technologies should be accompanied by training and advanced training courses for bank employees, who in turn should notify clients about the capabilities and dangers of the systems used.

Improving methods for determining operational risk, identifying individual approaches.

Business risk this is one of the main characteristics of the activities of a commercial enterprise in conditions of uncertainty and the possibility of adverse consequences in case of failure.

Extreme risks include all types of exogenous risks that jeopardize the bank's operations or may undermine it financial condition and capital adequacy. Such risks include political events (for example, the fall of a government), the spread of a chain reaction of crisis as a result of bank bankruptcy or a stock market crash, a crisis in the banking system, natural disasters, civil wars. In most cases, extreme risks are unpredictable until the very last moment. Therefore, the bank has no other means of countering these risks other than maintaining additional reserve capital. The line between emergency and systemic (country) risk is often very blurry.

1.2 Principles and methods of credit risk management

The risk management system satisfies the following basic principles:

Risk Awareness. The risk management process affects every employee in an organization. Decisions to carry out any operation are made only after a comprehensive analysis of the risks at the organizational level that arise as a result of such an operation. Employees of organizations that engage in risk-exposed transactions are aware of the risk of transactions and identify, analyze and assess risks before performing transactions. Organizations have regulatory documents regulating the procedure for carrying out all operations exposed to risks. Carrying out new banking operations in the absence of regulatory, administrative documents or relevant decisions of collegial bodies regulating the procedure for their implementation is not allowed.Separation of powers.Organizations have implemented management structures in which there is no conflict of interest: at the level of the organizational structure, divisions and employees are divided, who are entrusted with responsibilities for conducting operations exposed to risks, accounting for these operations, managing and controlling risks.

Risk level control. The Bank's management and collegial bodies of the Bank regularly receive information about the level of accepted risks and facts of violations of established risk management procedures, limits and restrictions. At the organizational level, there is an internal control system that allows for effective control over the functioning of the risk management system of each department.The need to provide “three lines of defense”.Collective responsibility is established for risk-taking actions:

Risk taking (1st line of defense): Business units should strive to achieve the optimal combination of profitability and risk, follow the set goals for development and the balance of profitability and risk, monitor decisions on risk taking, take into account the risk profiles of clients when making transactions/transactions , implement and manage business processes and tools, participate in risk identification and assessment processes, comply with internal requirements regulatory documents, including in terms of risk management;

Risk management (2nd line of defense): functions of Risk and Finance - develop risk management standards, principles, limits and restrictions, monitor the level of risks and prepare reports, check the compliance of the risk level with risk appetite, advise, model and aggregate the overall risk profile ;

Audit (3rd line of defense): internal and external audit function conduct an independent assessment of the compliance of risk management processes with established standards, and external assessment of risk-taking decisions.

Combination of centralized and decentralized approaches to risk management. Sberbank combines centralized and decentralized risk management approaches. The authorized collegial bodies of the Bank for risk management determine the requirements, restrictions, limits, and methodology in terms of risk management for regional banks and organizations. Regional banks manage risks within the limits and powers established for them by authorized bodies and/or officials.

Formation of high-level1 risk committees.

Specialized committees high level make decisions on risk management;

The committee system is formed taking into account the structure of the Group’s business model.The need to ensure the independence of the risk function.

Ensuring the independence of specialized risk assessment and analysis departments from departments performing operations/transactions exposed to risks;

Inclusion of the Risk function in the decision-making process at all levels, involvement of the Risk function both in the high-level strategic decision-making process and in risk management at the operational level; - Ensuring the independence of the validation function.

Use of information technology.

The risk management process is based on the use of modern information technologies. Organizations use information systems that allow timely identification, analysis, assessment, management and control of risks.

Continuous improvement of risk management systems.Organizations constantly improve all elements of risk management, including information systems, procedures and techniques, taking into account strategic objectives, changes in the external environment, and innovations in global risk management practice.

Management of the bank's activities taking into account the accepted risk.The organization assesses the sufficiency of the capital at its disposal (available to it), that is, internal capital (hereinafter referred to as IC) to cover accepted and potential risks. Internal procedures for assessing capital adequacy (hereinafter referred to as ICAAP) also include capital planning procedures based on the established development strategy of the bank, business growth guidelines and the results of a comprehensive current assessment of these risks, stress testing of the bank’s stability in relation to internal and external risk factors. The Group identifies priority areas for development and capital allocation using analysis of risk-adjusted performance indicators of individual divisions and business lines. The Group includes risk metrics in enlarged Business Plans.

Limiting accepted risks by setting limit values ​​within the framework of the established limit system.The Group has a system of limits and restrictions that allows it to ensure an acceptable level of risks for the organization’s aggregate positions. The bank's limit system has a multi-level structure:

The overall limit for the bank, which is set based on the risk appetite determined in accordance with the risk management strategy;

Limits on types of risks significant to the Group (for example, limits on credit and market risks);

Limits on the organizations participating in the Group, structural divisions of the organizations participating in the Group responsible for accepting risks that are significant for the Group;

Limits on individual borrowers (counterparties), on trading portfolio instruments, etc.
Methodology for identification, assessment and managementrisk management in divisions is formed on the basis of the unity of methodological approaches used within Sberbank.

To manage credit risk, the following management methods are used, which are presented in Fig. 1.

Rice. 1 - Credit risk management methods

The main methods of credit risk management include:

1) methods of quantitative risk assessment;

2) methods for preventing the occurrence of credit risks;

3) methods for reducing credit risks.

Quantitative analysis involves calculating the numerical values ​​of individual risks and the risk of the object as a whole, an assessment is given possible consequences risk activities, and a system of measures to prevent them is being developed.

Quantitative assessment methods include: probabilistic, indirect, analytical, statistical, scoring, expert and combined methods.

1. Statistical methods

1.1. Estimation of the probability of execution.

The essence of this method is to calculate the share of completed and unfulfilled decisions in the total amount decisions made, which allows you to estimate the probability of execution of any decision.

1.2. Analysis of the probable distribution of the payment stream.

With a known probability distribution for each element of the payment flow, possible deviations of the values ​​of the payment flows from the expected ones are estimated. The stream with the least variation is considered less risky.

1.3. Decision trees.

Typically used to analyze the risks of events that have a foreseeable or reasonable number of development options.

1.4. Simulation modeling of risks.

This method involves conducting computer experiments with mathematical models. Used when conducting actual experiments is unreasonable, costly, or impracticable. If the information is insufficient, then the missing actual data is replaced with values ​​obtained during the simulation experiment (i.e., computer generated).

1.5. Risk Metrics technology.

Used to assess securities market risk. The degree of influence of risk on an event is carried out by calculating the maximum possible potential change in the price of a portfolio consisting of a different set of financial instruments, with a given probability and for a given period of time.

The main advantages of statistical methods include the ability to take into account various risk factors and scenarios. The main disadvantage of these methods is the need to use probabilistic characteristics in them.

2. Analytical methods

2.1. Sensitivity analysis.

This method involves studying the dependence of some resulting indicator on the variation in the values ​​of the indicators involved in its determination.

2.2. A method for adjusting the discount rate taking into account risk.

This method most often used in practice. It consists of adjusting some basic discount rate that is considered risk-free. The adjustment is made by adding the required risk premium.

2.3. Method of equivalents.

This method allows you to adjust the expected values ​​of the flow of payments by introducing special reduction factors (a) in order to bring the expected receipts to the values ​​of payments, the receipt of which is practically beyond doubt and the values ​​of which can be reliably determined.

2.4. Scripting method.

This is essentially a more advanced method of sensitivity analysis. It allows you to combine the study of the sensitivity of the resulting indicator with the analysis of probabilistic estimates of its deviations.

Analytical methods are mainly used in assessing the risk of investment projects.

3. Method of expert assessments.

The method is based on conducting a survey of several independent experts, for example, to assess the level of risk or determine the influence of various factors on the level of risk. The information received is then analyzed and used to achieve the goal.

Credit scoring is a system for assessing the creditworthiness (credit risks) of a person, based on numerical statistical methods. As a rule, it is used in consumer (store) express lending for small amounts. Scoring consists of assigning points based on filling out a certain questionnaire developed by credit risk assessors and underwriters. Based on the results of the points scored, the system makes a decision on approval or refusal to issue a loan.

Data for scoring systems is obtained from the probabilities of loan repayment by individual groups of borrowers, obtained from an analysis of the credit history of thousands of people. It is believed that there is a correlation between certain social data (the presence of children, attitude towards marriage, higher education) and the conscientiousness of the borrower.

Credit scoring is a simplified system for analyzing the borrower, which allows reducing the qualification requirements of the credit inspector involved in reviewing loan applications and increasing the speed of their consideration.

Methods for preventing the occurrence of credit risks include assessment of the borrower’s creditworthiness and credit monitoring.

The assessment of a borrower’s creditworthiness is understood as both the ability to pay off one’s debt obligations in full and on time, and the willingness (desire) of a person to repay one’s debts in a timely manner and in full.

Credit monitoring is the bank's control over the use and repayment of a loan. The bank regularly monitors the intended use of the loan and compliance with other terms of the agreement.

Methods for reducing credit risks are conventionally divided into:

Conditionally active methods (diversification of the loan portfolio and risks, setting lending limits, monitoring the quality of the loan portfolio, managing problem loans, credit derivatives)

Conditionally passive methods (compliance with credit risk standards, loan collateral, insurance)

Conditionally active-passive methods (formation of a reserve for possible loan losses)

1.3Analysis of the state of risk management at Sberbank of Russia OJSC

Sberbank of Russia is a leader in the retail banking services market. Consistent stability, financial stability, fulfillment of all obligations to clients, and a flexible interest rate policy allow us to maintain public confidence and ensure a steady flow of funds into deposits. The Bank promptly responds to fluctuations in financial market conditions by improving existing products and introducing new products that take into account the needs of different groups of clients.

Along with accepting deposits, the Bank provides economic services active population and pensioners, paying them income. In accordance with the legislative acts of the Russian Federation, the Bank's branches pay preliminary compensation for deposits of citizens entitled to receive it. Along with traditional forms of servicing the population, Sberbank of Russia is actively introducing and developing modern banking technologies. Developing own system AS SBERCARD calculations based on advanced technologies using microprocessor cards.

The purposeful work of Sberbank of Russia to organize comprehensive services for legal entities contributed to the formation of a stable client base of the Bank and the attraction of new corporate clients for servicing.

VSP 8047/0386 clients are enterprises from all sectors of the economy, of all forms of ownership of scale - from small businesses to leading enterprises in Russia, various financial institutions and institutions government controlled. Most of the largest Russian corporations and companies are serviced and financed by the Bank, including OJSC Rostelecom, divisions of OJSC Gazprom, OJSC NK Lukoil, OJSC TNK, OJSC Sibneft, CJSC Severnaya Neft, OJSC Transneft, OJSC Severstal, etc.

The Bank services Pension Fund of Russia, the Ministry of Fuel and Energy, divisions of the Ministry of Defense of the Russian Federation, the Ministry of Internal Affairs of the Russian Federation, the Ministry of Emergency Situations of the Russian Federation, the State Customs Committee, bailiffs of the Ministry of Justice of Russia, special accounts of project implementation groups within the framework of cooperation of the Russian Federation with the IBRD and the EBRD.

Cooperation with the constituent entities of the Russian Federation in the sphere of servicing the budgetary and financial structure of the regions is being improved. The Bank's branches service over 76 thousand department accounts local authorities authorities and legal entities financed from local budgets.

To provide comprehensive customer service, the Bank’s own collection service has been created and operates. The circle of large clients from among exporters and importers served by the Bank has significantly expanded. Foreign trade documentary operations carried out by the Bank for its clients are actively developing.

The bank remains one of the leading operators on the Russian market of bonds denominated in foreign currency - OVGVZ and Eurobonds of Russian issuers.

As a leading operator in both the Russian Trading System (RTS) and the Moscow Interbank currency exchange(MICEX), and having an extensive branch network, the Bank promptly fulfilled customer requests for the purchase and sale of securities, as in Moscow stock market, and throughout Russia.

The bank occupies a leading position in the total amount of investments in the Russian economy, in the maximum amount of loans provided per borrower, as well as in the terms for which loans are issued.

In order to meet the needs of its clients for modern credit products, the Bank offered different kinds loans, including overdrafts, bill loans, credit lines on terms favorable to clients; provided all types of bank guarantees, including guarantees of proper execution of the contract, return of the advance, customs, etc.

The bank actively lent to projects related to the construction and reconstruction of housing, business centers, shops and other commercial construction projects.

Special attention focused on creating banking lending products that take into account the industry specifics of the enterprises being financed.

Thanks to the introduction of a new banking product - lending to enterprises mining gold and silver - in 14 regions of Russia: Krasnoyarsk, Primorsky, Altai Territories, Bashkortostan, Buryatia, Sakha (Yakutia), Tyva, Sverdlovsk, Novosibirsk, Khabarovsk, Chita, Irkutsk, Amur, Magadan regions - the volume of these operations has increased significantly.

The Bank is implementing a strategy to increase the volume of long-term investment lending to Russian enterprises, thus ensuring the development of the Russian economy.

Traditionally focusing on the retail banking services market, Sberbank is dynamically increasing the volume of lending to individuals.

To stimulate domestic production Loans for the purchase of Russian durable goods are issued to the population at lower interest rates.

The Bank's balanced credit policy and targeted work with problem loans ensured a significant reduction in overdue loans.

The main direction of lending is industry, which accounts for 39.47% of loans, this shows the main strategy of the credit policy pursued by Sberbank, but second place can be placed in construction, trade and intermediary activities and commercial banks, which together account for 30.33%. Least attention is paid agriculture, since in this industry the situation is the most difficult and the possibility of loan repayment is low.

The volume of transactions with precious metals for individuals has significantly expanded. The sale of gold bullion bars to the public is carried out in the Bank's branches located in 37 regions of Russia.

Its role has increased in the field of banknote operations, in meeting the needs of its clients and commercial banks in cash and foreign currency.

The range of limited convertible currencies for which the Bank carried out conversion operations and satisfied the needs of clients expanded.

As security for the loan, the Bank can either insure the risk of non-repayment of the loan or require the borrower to insure its liability under the loan agreement.

One type of economic risk insurance is the allocation of reserves for possible loan losses. A reserve for possible losses for each loan is created on the day of its issuance. Its size is set as a percentage of its amount, depending on which risk group the loan belongs to.

There are 5 loan risk groups: for group 1 a reserve of at least 2% of their amount is created, group 2 - 5%, group 3 - 30%, group 4 - 75%, group 5 - 100%.

Table 2.1 - Classification of loans by risk groups

Security of the loan, availability of guarantees, its age.	Secured	Underfunded	Unsecured
Repayment of the loan on time.
Overdue debt up to 30 days.
Overdue debt from 30 to 60 days
Overdue debt from 60 to 180 days
Overdue debt over 180 days

2. ORGANIZATION OF A PERSONNEL DEVELOPMENT SYSTEM USING THE EXAMPLE OF SBERBANK OF RUSSIA OJSC VSP 8047/0386

2.1 General characteristics of O A.O. "Sberbank of Russia"

Sberbank of Russia is the largest bank in the Russian Federation and the CIS. Its assets make up more than a quarter of the country's banking system (27%), and its share in bank capital is at 26%. According to The Banker magazine (July 1, 2012), Sberbank ranked 43rd in terms of fixed capital (tier 1 capital) among the largest banks in the world.

Founded in 1841, Sberbank of Russia today is a modern universal bank that meets the needs of various groups of clients in a wide range of banking services. Sberbank occupies the largest share in the deposit market and is the main creditor of the Russian economy

Sberbank of Russia has a unique branch network and currently includes 18 territorial banks and more than 19,100 branches throughout the country. Subsidiary banks of Sberbank of Russia operate in Kazakhstan, Ukraine, Belarus, and Turkey.

Full name of the bank: OJSC "Sberbank of Russia"

License number 1481

The founder and main shareholder of the Bank is the Central Bank of the Russian Federation (Bank of Russia).

OJSC "Sberbank" is an organization with a vertical management structure, i.e. has several levels of management. By type it is a functional structure.

Functional organizational structure is the division of an organization into separate elements, each of which has its own clearly defined, specific task and responsibilities, i.e. The model involves dividing personnel into groups, depending on the specific tasks that employees perform.

The management of Sberbank of Russia is based on the principle of corporatism in accordance with the Corporate Governance Code approved by the annual General Meeting of Shareholders of the Bank in June 2002.

Services provided by Sberbank of Russia OJSC include:

For legal entities:

1) cash settlement services;

2) opening and maintaining correspondent accounts “Loro”;

3) lending;

4) transactions with securities;

5) conversion operations;

6)bank cards;

7) collection;

8) remote maintenance;

9) trade finance and documentary operations;

10) operations with precious metals;

11) depository services;

12)banking operations;

13) rent of safes.

For individuals:

1) deposits and compensation for deposits;

2) lending;

3) transactions with securities;

4)utility payments;

5)bank cards;

6) currency exchange and non-trading transactions;

7) operations with precious securities;

8) money transfers;

9)receiving wages;

10) depository services;

11) settlement checks;

12) rent of safes.

One of the main competitive advantages of Sberbank of Russia OJSC is its extensive customer base. The bank's cooperation with all groups of clients allows it to successfully manage resources and minimize financial risks. By attracting funds from the population, Sberbank of Russia OJSC forms a stable source of lendingenterprises of various sectors of the economy.

The bank's main competitors are:

Gazprombank

VTB 24

Alfa Bank

Raiffeisenbank

Rosbank, etc.

The main goals of the enterprise:

Like the goal of any commercial organization, the main goal of Sberbank is to make a profit.

4. Development of measures to reduce risks at the enterprise

3. Development of measures to reduce risks at the enterprise

3.1 Methods of managing financial risks at Sberbank

Currently, a number of methods for assessing financial risk are used, which can be divided into:

Statistical;

Analytical;

Method of analogies;

Method of expert assessments and expert systems.

Statistical methods used to assess risk are variance, regression and factor analysis. The advantages of this class of methods include a certain versatility. Their disadvantages stem from the very essence of statistical research - the need to have a large database, the complexity and ambiguity of the conclusions obtained, certain difficulties in analyzing time series, etc. For the purposes of calculating the risks of business activities, these methods are used relatively rarely. However, in Lately The method of cluster analysis has gained some popularity, with the help of which it is possible to obtain data suitable for use.

Analytical methods are used most often. Their advantage is that they are quite well designed, easy to understand and operate with simple concepts. These methods include: discounting method, cost recovery analysis, break-even production analysis, sensitivity analysis, stability analysis.

When using the discounting method, the discount rate is adjusted by the risk coefficient, which is obtained by the method of expert assessments. The disadvantage of this method is that the risk measure is determined subjectively.

The application of the cost recovery method involves calculating the payback period of the project.

The break-even method is similar to the cost recovery method, only unlike the first, it determines the break-even point of the project, i.e. The break-even method is a boundary for the payback method.

Application of the method of factor sensitivity analysis to the resulting technical and economic indicators of the investment project. The method of calculating sensitivity is close to one of the statistical methods - the method of factor analysis. It also determines the degree of influence of various factors on the resulting indicator.

The method of stability analysis determines the change in the main economic indicators project in the event of unfavorable changes in various factors. For example, we study the quantity possible profit when prices for raw materials and supplies necessary for the production of the product change. Sustainability in economics means the ability of an economic system to maintain its performance after being exposed to unfavorable factors.

Method of analogies. The name of this method suggests that the forecast of the financial condition of the project and the risk of its implementation are determined in accordance with some similar project that was implemented earlier. It is assumed that the economic system within which the project is being implemented also behaves in a similar way.

Method of expert assessments and expert systems. Although these two methods are combined into one section, they are fundamentally different methods.

The method of expert assessments is based on intuition and practical knowledge of specially selected people - experts. During the work, experts are surveyed (various survey methods can be used) and based on this survey, a forecast of the investment project is built. With proper selection of experts and optimal organization of their work, this is one of the most accurate and reliable methods. The difficulty lies in the mechanism for selecting experts and organizing their work - eliminating conflict situations between experts, determining the rating of each expert, correct formulation of the research question, etc.

Unlike the method of expert assessments, which is based on the intuition of experts, the method of expert systems is based on special software and mathematical software for a computer. This method was developed relatively recently. Its software includes a database, knowledge base, and interface. The database contains all kinds of information about the object of study. The knowledge base contains rules that describe various situations that arise during the evolution of the object under study. An interface is a system of connections, special software that allows a person working with an expert system to ask questions on a subject of interest and receive answers simulated by a computer. Currently, expert systems are developing rapidly. These are computer programs that simulate the actions of a human expert when solving problems in a narrow subject area based on accumulated knowledge that makes up the knowledge base.

The main disadvantage of all these risk calculation methods is that they operate with specific, deterministic values ​​of risk coefficients. The coefficients are calculated either by the method of expert assessments or by some other method. Their consideration excludes the random component of the process of evolution of the economic situation in the market of goods and services. However, ignoring this component sometimes leads to incorrect results. Thus, to correctly assess the risk of financial and economic activity, it is necessary to study not only the deterministic change in the market situation, but also its stochastic change. We should move from deterministic models to probabilistic models for forecasting market situations.

3.2 Diversification as a tool for managing financial risks

One of the most effective risk management techniques is diversification.

Diversification refers to the process of distributing investment funds between various investment objects that are not directly related to each other, in order to reduce the degree of risk and loss of income. Diversification is the most reasonable and relatively less costly way to reduce the degree of financial risk.

Diversification means owning many risky assets rather than concentrating all your investments in just one of them. Therefore, diversification limits our exposure to risk associated with a single type of asset.

Diversification is the dispersal of investment risk. However, it cannot reduce investment risk to zero. This is due to the fact that entrepreneurship and investment activities of an economic entity are influenced by external factors that are not related to the choice of specific investment objects, and, therefore, they are not affected by diversification.

External factors affect the entire financial market, i.e. they influence the financial activities of all investment institutions, banks, financial companies, and not on individual economic entities.

External factors include processes occurring in the country’s economy as a whole, military actions, civil unrest, inflation and deflation, changes in the discount rate of the Bank of Russia, changes in interest rates on deposits, loans from commercial banks, etc. The risk associated with these processes cannot be reduced through diversification.

Thus, risk consists of two parts: diversifiable and non-diversifiable risk. Let's look at them in Figure 4.1.

In the figure, the value AB shows the volume of total risk, which consists of diversifiable risk (AK) and non-diversifiable risk (KB).

Volume of risk, rub.

0

Number of risk dispersion objects, units.

Rice. - Dependence of the volume (or degree) of risk on diversification

The given graphical dependence shows that the expansion of capital investment objects, i.e. risk dispersion, from 5 to 15 allows you to easily and significantly reduce the amount of risk from the value of OP1 to the value of OP2.

Diversifiable risk, also called unsystematic, can be eliminated by dispersing it, i.e. diversification. Non-diversifiable risk, also called systematic risk, cannot be reduced by diversification.

Moreover, studies show that the expansion of capital investment objects, i.e. Risk dispersion allows you to easily and significantly reduce the amount of risk. Therefore, the main focus should be on reducing the degree of non-diversifiable risk.

Diversification involves the inclusion of assets of different properties in a financial scheme. The more there are, the stronger large numbers, more significant (due to the mutual cancellation of risk-evasion) joint influence to limit risk.

The company's use of a diversified portfolio approach in the securities market allows it to minimize the likelihood of non-receipt of income. For example, an investor purchasing shares of five different joint-stock companies instead of shares of one company increases the probability of receiving an average income by 5 times and, accordingly, reduces the degree of risk by 5 times.

The diversification effect is essentially the only reasonable rule for working in financial and other markets. The same effect is embodied in folk wisdom - “don’t put all your eggs in one basket.” The principle of diversification states that it is necessary to carry out various, unrelated operations, then the efficiency will be averaged, and the risk will definitely decrease.

When comparing, after the fact, the amount of profit received by investors with diversified investments and those who did not, it turns out that the largest income was received by representatives of the second group. But among them there are most of those who suffered the most significant losses. If you diversify your investments, your chances of falling into both groups are reduced.

Of course, everyone wants to hit the biggest jackpot and be known as a genius. But to do this, you have to make a decision based on assumptions, the result of which will be either large income or large losses. It may be better to choose a middle option.

The principle of diversification is applied not only to averaging operations carried out simultaneously, but in different places (averaging in space), but also carried out sequentially in time, for example, when repeating one operation over time (averaging over time).

A completely reasonable strategy is to buy shares of some stable company on January 20th of each year. Thanks to this procedure, the inevitable fluctuations in the stock price of this company are averaged out and this is where the diversification effect is manifested.

Theoretically, the effect of diversification is only positive - efficiency is averaged, and risk is reduced.

3.3 Financial risk insurance

The most important and most common technique for reducing risk is risk insurance.

The essence of insurance is that the investor is ready to give up part of the income just to avoid risk, i.e. he is willing to pay to reduce the risk to zero.

Insurance is characterized by the intended purpose of the created monetary fund, the expenditure of its resources only to cover losses in pre-agreed cases; probabilistic nature of relationships; return of funds. Insurance as a method of risk management means two types of actions: 1) redistribution of losses among a group of entrepreneurs exposed to the same type of risk (self-insurance); 2) seeking help from an insurance company.

Insurance seems to be the most profitable measure in terms of risk reduction, if not for the insurance payment. Sometimes, the insurance payment makes up a significant part of the sum insured and represents a significant amount.

Insurance is a set of economic relations between its participants regarding the formation of a target at the expense of cash contributions. insurance fund and use it to compensate for damage and pay insurance amounts.

Most pure risks (but not all of them) are insurable, and speculative risks are generally not insurable.

An uninsurable risk is a risk that most insurance companies avoid insuring because the likelihood of losses associated with it is almost unpredictable. Insurance companies are always reluctant, to say the least, to consider cooperation in cases where the risk is related to government actions or the general economic situation. Uncertainties such as regulatory changes and economic fluctuations are beyond the scope of insurance.

Uninsurable risks include:

Market risks (factors that can lead to loss of property or income, such as: seasonal or cyclical price changes, consumer indifference, changes in fashion, etc.);

Political risks (the risk of events such as: change of government, war, restrictions on free trade, unreasonable or excessive taxes, restrictions on free trade of currencies, etc.);

Production risks (the danger of such factors as: non-economic operation of equipment, lack of raw materials, etc.);

Personal risks (unemployment, poverty due to divorce, etc.)

Sometimes, uninsurable risks become insurable when enough data is collected to accurately estimate upcoming losses.

An insured risk is a risk for which the level of acceptable losses is easily determined, and therefore the insurance company is ready to compensate for them.

Insured risks include:

Property risks - the danger of losses from a disaster, which lead to direct loss of property, to indirect loss of property.

Personal risks - the risk of losses as a result of: premature death, disability, old age.

Risks associated with legal liability - the risk of losses due to the use of a car, stay in a building, occupation, production of goods, professional errors.

Insurance involves paying an insurance premium, or premium (the price you pay for insurance) to avoid losses.

In accordance with current legislation, under insurance financial risks is understood as a set of types of insurance that provide for the insurer’s obligations for insurance payments in the amount of full or partial compensation for loss of income (additional expenses) caused by the following events:

a) stoppage of production or reduction in production volume as a result of specified events;

b) job loss;

c) unforeseen expenses;

d) failure to fulfill contractual obligations by the counterparty of the insured person, who is the creditor of the transaction;

e) legal expenses (costs) incurred by the insured person;

f) other events.

There are two types of risk insurance:

1 - Self-insurance, when a company creates a certain reserve of funds from which possible losses are covered;

2 - Contacting an insurance company or firm.

The leaders in the financial risk insurance market for large Russian businesses are RESO-Garantiya, Ingosstrakh, ROSNO and AlfaStrakhovanie.

In foreign insurance practice, credit insurance often affects various areas of activity and is intertwined with other types of insurance. Depending on the location and causes of credit risk, the following types of credit insurance can be distinguished:

Consumer credit insurance;

Commercial (commodity, trade) credit insurance;

Bank loan insurance;

Export credit insurance;

Bill credit insurance.

I was of great interest in bank loan insurance, which I decided to study in more detail.

Bank loan insurance is divided into two types:

Insurance against the risk of loan default.

Insurance of the borrower's liability for non-repayment of the loan.

The object subject to insurance, according to the first type, is the responsibility of all or individual borrowers (individuals or legal entities) to the bank for timely and full repayment of loans and interest on loans within the period established in the insurance agreement. The policyholder is faced with a choice: to insure the amount of the loan issued with interest or only the amount of the principal debt; insure the liability of all borrowers to whom loans were previously issued, or the liability of each individual. As a rule, in modern Russian conditions, in conditions of unstable economic situation, it is advisable to insure the loan amount with interest for each borrower separately. However, one should take into account the fact that when insuring all loans, automatic liability of the insurance organization is achieved, and under such contracts a preferential tariff rate is established.

An insurance contract for the risk of non-repayment of loans is concluded between insurance companies (insurers) and banks, as well as other credit organizations (policyholders). Under the insurance contract, the insurer pays the policyholder compensation in the amount of 50% to 90% of the amount of the loan not repaid by the borrower and interest on it.

The insurer's liability arises if the policyholder has not received the amount stipulated by the loan agreement within a certain time after the payment deadline stipulated by the loan agreement (according to the rules of insurance companies, from 10 to 20 days), or the period established by the bank if the borrower fails to comply with the terms of the loan agreement. The specific limit of the insurer's liability and the period for the onset of its liability is established by the insurance contract.

The insurance contract is concluded on the basis of a written application from the policyholder and a certificate of calculation, drawn up in 2 copies. At the same time, the policyholder represents:

A copy of the loan agreement along with all related documents;

Documents confirming the possibility of lending, i.e. loan security;

A copy of the conclusion on the technical and economic examination of the project for developing production or conducting a commercial operation and other documents that may be significant for judging the degree of risk;

Copies of constituent documents, registration certificate, financial statements of the borrower and other documents at the request of the insurance company.

Before concluding an insurance contract, the insurance company examines the submitted documents in order to determine the availability of guarantees for the return of funds by the borrower on the loan received and to ensure the financial stability of insurance operations. If it is determined that the loan is issued without sufficient guarantees, the insurer may set a higher tariff rate or even refuse the bank to enter into an insurance agreement or set a period after which the credit institution is obliged to return to the insurer an amount equal to the balance of the borrower’s debt under the loan agreement in in accordance with the special terms of the insurance contract.

The insurer, on the basis of the submitted documents, calculates insurance payments for each borrower individually and as a whole under the insurance contract, based on the amount of outstanding debt and established tariff rates. Insurance payments on short-term loans (issued for a period of less than one year) are paid at a time; for long-term loans provided at a time, annual amount payments are made in one or two terms.

The loan default risk agreement comes into force on the day following the day of payment of the first insurance payment.

The insurance amount is established in proportion to the percentage of the insurer's liability determined in the insurance contract, based on the entire amount of debt to be returned under the terms of the contract.

The insurance period for the risk of non-repayment of individual loans is established based on the terms of loan repayment. When insuring all issued loans, the loan non-repayment risk insurance contract is concluded for one year.

The tariff rate depends on a number of factors:

Duration of the loan;

Loan amount and interest rate;

Risk level;

Type of security.

And in each specific case it is determined by the insurance organization. In accordance with the conclusion of experts who determine the final degree of risk, when setting the rate, it is possible to use decreasing or increasing coefficients. When using the appropriate adjustment factor, the tariff rate is determined by multiplying the base rate by the coefficient. For example, when concluding an insurance agreement against the risk of non-repayment of a loan issued for 3 months, taking into account the lack of collateral and the possible declaration of the debtor as insolvent, it is possible to apply the maximum size of the increasing coefficient (for example, 5.0). With a base tariff rate of 1.2, the final tariff rate will be 6% (1.2 x 5).

In contrast to loan non-repayment insurance, a borrower liability insurance contract for loan non-repayment is concluded between an insurance company (insurers) and enterprises and organizations (insured). The object of insurance is the borrower's responsibility to the bank that issued the loan for timely and full repayment of the loan, or for repayment of loans, including interest on the use of the loan. The basic rules and conditions of insurance of borrowers' liability for non-repayment of loans are generally similar to the rules and conditions of insurance for the risk of loan non-repayment. The insurance contract is concluded on the basis of a written application from the policyholder, drawn up in 2 copies. Along with the application, the policyholder submits a copy of the loan agreement and a certificate of the loan repayment terms. Based on the submitted documents, the insurer calculates insurance payments based on the insured amount and established tariff rates. Insurance payments must be paid in one lump sum.

In accordance with the Civil Code of the Russian Federation, contractual liability can only be insured by the creditor party.

The liability of the insurance organization arises if the policyholder does not return to the creditor bank the amount stipulated by the loan agreement within three days after the due date of payment stipulated by the loan agreement, without the fact of its prolongation (extension). Not all of the borrower's liability is subject to insurance, but a certain part of it (from 50 to 90%).

The remaining share of responsibility rests with the policyholder himself. The insurance amount is established in proportion to the percentage of the insurer's liability determined in the insurance contract, based on the entire amount of debt to be repaid under the loan agreement.

When concluding insurance contracts for the risk of non-repayment of loans with banks and insurance contracts for the liability of borrowers for non-repayment of loans with enterprises and organizations, regardless of their organizational and legal form, insurance organizations must take into account the financial condition and reputation of the borrower in terms of its solvency.

There are many analysis techniques financial situation client. In the practice of American banks, the “5C” system is used, where the client selection criteria are indicated by words beginning with the letter “c”:

Character - the character of the borrower (his reputation, degree of responsibility, readiness and desire to repay the debt). The bank seeks to obtain a psychological portrait of the borrower, using a personal interview with him, a dossier from his personal archive, consultations with other banks and firms and other available information.

Capacity - financial capabilities, i.e. ability to repay the loan (determined through a careful analysis of its income and expenses and the prospects for changes in them in the future).

Capital - capital, property. The bank pays great attention to the share capital of the company, its structure, the relationship with other items of assets and liabilities, as well as loan collateral

Collateral (collateral), its sufficiency, quality and degree of realizability of the collateral in case of non-repayment of the loan.

Conditions - general economic conditions. General conditions that determine the business climate in the country and influence the position of both the bank and the borrower: the state of the economic environment, the presence of competition from other producers of similar goods, taxes, prices for raw materials, etc.

One of the goals of bank loan officers is to express in numbers (quantify) the specified criteria in relation to each specific case. Based on this, an informed decision will be made regarding the borrower’s creditworthiness, the advisability of issuing a loan to him, the price and non-price conditions of this loan, etc.

In the risk-return dilemma, borrowers who are in a weaker financial position (and therefore more exposed to risk) must pay more for the loan than more secure borrowers.

Insurance financial investments. Financial investments represent the purchase of assets in the form of securities, both equity and debt, which will bring the investor not only profit, but also guarantee him a certain level of investment security. In a developed financial market, a stable gradation of riskiness and profitability of securities is established. It is believed, for example, that the most risky are speculative ordinary shares, which, however, bring the owner an income of 15-20%. The category of high-risk securities also includes ordinary shares of rapidly growing companies (income 10-12%).

Securities with moderate risk include ordinary shares that are highly quoted on the stock exchange (their income is 8-10%), securities of mutual investment funds with a balanced portfolio - an income of 7-8%, convertible shares with a fixed dividend - 6-10% , convertible bonds - bring income to their owner 5-10%.

Low-risk securities include municipal and government bonds that bring their owner an income of less than 4-6%.

The purpose of insurance is to protect investments from possible losses arising from unfavorable, unpredictable changes in market conditions and deterioration of other conditions for investment activities. It is divided according to the nature of the insurance risks into insurance against political and commercial risks. Political risk insurance contracts are concluded when making investments in foreign countries. It is characterized by the impossibility of mathematically assessing the probability of occurrence of insured events and extremely high amounts of damage. Therefore, private insurers, with rare exceptions, do not provide this insurance.

Such insurance is carried out mainly by state insurance structures of the investor country and international financial organizations. Currently, three government organizations (in the USA, Germany and Japan) account for 80% of the total volume of transactions carried out under national government investment risk insurance programs.

One of the specialized government agencies that insures the property interests of investors against political risks is established in 1969. US government Overseas Private Investment Corporation (OPIC). OPIC's activities cover American investments in 140 developed countries and emerging market economies.

A feature of the insurance system within the framework of OPIC is that a mandatory prerequisite for concluding an agreement with a specific investor is the conclusion of a bilateral intergovernmental agreement on the promotion of capital investments. Thus, only after the signing of such an agreement between the United States and Russia in 1992, OPIC received the opportunity to participate in insuring the non-commercial risks of US investors investing in Russia. Over the past three years, the corporation has supported 125 investment projects, valued at $3 billion, to implement 40 business projects.

Insurance of investment activities against commercial risks is carried out, as a rule, by private insurance companies. The purpose of such insurance is to protect investments from possible losses arising from unfavorable, unpredictable changes in market conditions and deterioration of other conditions for the implementation of entrepreneurial activity.

The insured amount as the limit of liability under the contract can be determined in several ways:

In the amount of investments made in the acquisition of shares, other securities, etc.;

In the amount of investment and standard profit, which can be set at the level provided by a risk-free investment of capital.

In this case, the amount of insurance compensation is calculated as the difference between the insured amount and the actual financial result from insured investments, i.e. the policyholder is compensated for losses if, after a certain period, the insured investments do not provide the expected payback due to an insured event.

One of the types of insurance of financial investments against commercial risks is insurance of financial liabilities. Its terms provide for the insurer to provide guarantees that certain financial obligations agreed upon in the process of concluding a business transaction, the parties to which are the borrower and the investor, will be fulfilled. Financial liability insurance is considered a special type of guarantee that provides insurance protection against risks associated with financial transactions.

Guaranty is an area of ​​business activity in which banks, special agencies and insurers can operate. However, each country has its own specific legal regulation such operations. For example, in France and Japan, the issuance of guarantees is a monopoly of banks, and in the USA their issuance by banks is limited.

Civil Code The Russian Federation separates surety agreements and bank guarantees. Under a guarantee agreement, the guarantor undertakes to be responsible to the creditor of another person for the fulfillment by the latter of his obligations in whole or in part (Articles 971 - 979 of the Civil Code of the Russian Federation).

In accordance with the bank guarantee agreement, the guarantor gives, at the request of another person (principal), a written obligation to pay the principal's creditor (beneficiary) in accordance with the terms of the obligation given by the guarantor, a sum of money upon submission by the beneficiary of a written demand for its payment (Article 368 of the Civil Code of the Russian Federation). At the same time, banks, other credit institutions and insurance organizations have the right to issue bank guarantees.

The emergence and rapid development of types of insurance of financial obligations in the insurance markets of developed countries is caused by the fact that private and small corporate investors often do not have sufficient knowledge to conduct their own in-depth analysis of the risk of investments and at the same time are interested in investments with the lowest risk.

Among the types of insurance of financial obligations, one can distinguish insurance: bonds and other securities; loans for short-term trade transactions and long-term investments; mortgage bonds; payments for rent, leasing, etc.; payment for the cost of supplied equipment; car loans.

According to the duration of contracts, all types of insurance are usually divided into short-term (with a term of up to 8 years), medium-term (concluded for a period of 8 to 30 years) and long-term.

One of the features of this insurance is that when carrying out it, the insurer sets the task of ensuring practically break-even operations (i.e., not allowing the payment of insurance compensation), since the applied tariff rates stipulate that the probability of occurrence of insured events and the amount of losses from them should be minimal. In this regard, insurers carefully select policyholders and objects accepted for insurance, guided primarily by the principle of prudence.

3.4 Hedging financial risk using derivatives

Hedging - used in banking, exchange and commercial practice to indicate various methods insurance of currency risks. Thus, in the book by Dolan E. J. et al. “Money, Banking and Monetary Policy” this term is given the following definition: “Hedging is a system of concluding futures contracts and transactions that takes into account probable future changes in exchange rates and pursues the goal avoid the adverse consequences of these changes." In the domestic literature, the term “hedging” began to be used in more in a broad sense as insurance of risks against unfavorable changes in prices for any inventory items under contracts and commercial transactions involving the supply (sale) of goods in future periods.

A contract that serves to insure against the risks of changes in exchange rates (prices) is called a “hedge”. The business entity engaged in hedging is called a “hedger”. There are two hedging operations: upward hedging; downside hedging.

Upside hedging, or purchase hedging, is an exchange transaction for the purchase of futures contracts (options). An upward hedge is used in cases where it is necessary to insure against a possible increase in prices (rates) in the future. It allows you to set the purchase price much earlier than the actual product has been purchased. Let’s assume that the price of a product (currency or securities exchange rate) increases after three months, and the product will be needed exactly in three months. To compensate for losses from the expected price increase, it is necessary to buy now at today’s price a futures contract related to this product and sell it in three months at the time when the product will be purchased. Since the price of a commodity and the futures contract associated with it changes proportionally in one direction, a previously purchased contract can be sold at a higher price by almost the same amount as the price of the commodity will increase by this time. Thus, a hedger who hedges upward insures himself against possible price increases in the future.

Downward hedging, or sell hedging, is an exchange transaction involving the sale of a futures contract. A hedger who hedges down expects to sell a commodity in the future, and therefore, by selling a futures contract or option on the exchange, he insures himself against a possible price decline in the future. Let's assume that the price of a product (currency rate, securities) decreases after three months, and the product will need to be sold in three months. To compensate for the expected losses from a decrease in price, the hedger sells a futures contract today at a high price, and when selling his product three months later, when the price for it has fallen, he buys the same futures contract at a price that has decreased (almost by the same amount). Thus, a downside hedge is used in cases where the product needs to be sold at a later date.

A hedger seeks to reduce the risk caused by price uncertainty in the market by buying or selling futures contracts. This makes it possible to fix the price and make income or expenses more predictable. However, the risk associated with hedging does not disappear. It is taken over by speculators, i.e. entrepreneurs taking a certain, pre-calculated risk.

Speculators in the futures market play big role. By taking risks in the hope of making a profit by playing on price differences, they act as price stabilizers. When purchasing futures contracts on the stock exchange, the speculator pays a guarantee fee, which determines the amount of risk of the speculator. If the price of a product (currency rate, securities) has decreased, then the speculator who previously purchased the contract loses an amount equal to the guarantee fee. If the price of the product has increased, then the speculator returns an amount equal to the guarantee fee and receives additional income from the difference in the prices of the product and the purchased contract.

When a firm wishes to insure against a particular risk, there is no direct way to do so. The task of the financial manager in such cases is to develop new financial instruments and methods, using existing ones to find this way. This process is called “financial engineering”.

Corporate financial management often involves the buying and selling of derivatives. Derivative securities are a financial asset that is a derivative of another financial asset.

There are two types of derivative securities:

Futures contracts (commodity, currency, %, index, etc.) - futures;

Freely tradable or exchange-traded options.

Futures contracts are a standard exchange agreement for the purchase and sale of an exchange-traded asset at a certain point in the future at a price set by the parties to the transaction at the time of its conclusion.

Futures contracts are a class of future purchase agreements. Distinctive features futures contract are:

Exchange character, i.e. an exchange agreement developed on a given exchange and circulated only on it;

Standardization in all parameters except price;

Full guarantee on the part of the exchange that all obligations stipulated by the futures contract will be fulfilled;

The presence of a special mechanism for early termination of obligations under the contract of either party.

A freely tradable or exchange option is a standard exchange contract for the right to buy or sell an exchange asset or futures contract at the exercise price before a specified date with the payment for this right of a certain amount of money, called a premium. If options are concluded on an exchange, then, as for futures contracts, the conditions for their conclusion are standardized in all respects, except for the option price. Typically, two types of options are used in exchange practice:

buy option (call option) - giving the right, but not obligating, to buy a futures contract, commodity or other value at a given price, allowing, after paying a small premium, to receive unlimited profit from rising prices;

put option - giving the right, but not obligating, to sell a futures contract or other value at a given price, allowing, after paying a small premium, to receive unlimited profit from a decrease in prices.

Financial engineering often involves creating new derivatives as well as combining existing derivatives to perform specific hedging objectives. In a world where prices are stable and change very slowly, financial engineering would not be so necessary. However, now this industry is rapidly developing.

Thus, hedging is a form of insurance against possible losses by entering into a balancing transaction. As in cases of insurance, hedging requires the diversion of additional resources. Perfect hedging involves completely eliminating the possibility of making any profit or loss on a given position by opening an opposite or compensating position. This “double guarantee”, both against profits and losses, distinguishes perfect hedging from classical insurance.

4.5 Risk management service in Sberbank of Russia

Risk management is a management system for an organization, an enterprise, which aims to reduce risk and prevent unacceptable risk; represents an organic part of financial management.

Risk is the danger of unexpected losses of expected profit, income or property, cash, and other resources due to a random change in the conditions of economic activity or unfavorable circumstances.

There are quite a few types of risks. At the same time, banking risks differ in certain specifics and classification principles.

In order to organize work on risk management, Sberbank has formed a professional Risk Management Service, independent of front-office departments motivated by business performance. The work of the Risk Management Service is structured in such a way as to ensure internal balance of the Bank’s business in all areas of work.

The purpose of risk management activities is to improve financial performance, increase profitability, maintain liquidity and capital adequacy. In its risk management activities, the Bank is guided by the Risk Management Policy of Sberbank of Russia OJSC, approved by the Board of Sberbank of Russia.