Analysis of banks exposure to credit risk

Ovaj diplomski rad referira se na problematiku izloženosti banaka kreditnom riziku. Banke su u svom poslovanju izložene mnogobrojnim rizicima. Upravljanje rizicima u bankarstvu ima za cilj, izbjeći nesolventnost banke i maksimizirati stopu prinosa na kapital. Osnova financijskog upravljanja sastoji se u dobrom i učinkovitom upravljanju aktivom i pasivom. Krediti i drugi plasmani klijentima predstavljaju najvažniju sastavnicu aktive banke. Oko 80% bilance banaka otpada na kreditni rizik, stoga je taj rizik najznačajniji od svih rizika. Ovaj položaj dodatno naglašavaju međunarodni i domaći regulatorni propisi koji od banaka zahtijevaju konstantno usavršavanje i razvijanje različitih modela za procjenu i upravljanje različitih rizika, ali je najveća pozornost posvećena modelima za upravljanje kreditnim rizikom.Modeli koje banke koriste polaze od klasične kreditne analize, koja se temelji na subjektivnoj procjeni,pa sve do kompliciranijih internih modela koji omogućuju veću preciznost kod određivanja rizičnosti. Aktivno upravljanje kreditnim rizikom moguće je i pomoću sekuritizacije i kreditnih izvedenica kojima se na razvijenim tržištima trguje kako bi se kreditni rizik transferirao, a kreditorima omogućilo preuzimanje dodatnoga kreditnog rizika. Osnovni pokazatelji kreditnog rizika hrvatskih kreditnih institucija su stopa adekvatnosti jamstvenog kapitala, kvalifikacija plasmana i izvanbilančnih obveza, pokrivenost i struktura kreditnog portfelja. Da bi se smanjila izloženost kreditnom riziku, banke i regulatorne/nadzorne institucije trebale bi biti sposobne kvalitetno upravljati navedenim pokazateljima i, iako navedeni alati stručnjacima olakšavaju posao,potrebno je naglasiti da ne smiju u potpunosti prepustiti upravljanje rizicima modelima kako ne bi došlo do pogrešaka koje mogu ugroziti poslovanje banke.This graduate thesis refers to the problem of banks' exposure to credit risk. In its operations, banks are exposed to many risks.Risk management goal in the banking industry is, to avoid the insolvency and maximize the rate of return on equity adjusted for risk. The basis of financial management consists in good and efficient management of assets and liabilities. Loans and other advances to customers represent the most important component of the bank assets. About 80% of bank balance sheets relates to credit risk, therefore, that the risk is the most significant of all the risks faced by all banks.That position is further emphasized by local and international regulatory requirements which are demanding constant improvement and development of different models for evaluation of management of different risks, and the largest attention is still dedicated to models for credit risk management. The models which are used by banks span from classic credit analysis, which is based on subjective assessment, to more complicated internal models that enable greater precision in determining risk. Active credit risk management is viable with the support of securitization and credit derivatives which are traded on developed markets in order to transfer credit risk from banks to other financial institutions, which allows banks to accept more credit risk. Basic indicators of credit risk Croatian credit institutions have capital adequacy ratio, qualifications balance sheet liabilities, coverage and structure of the loan portfolio.In order to reduce exposure to credit risk, banks and regulatory / supervisory institutions should be able to manage the above indicators in a good way and although tools make it less problematic for experts to manage credit risk, it is argued that in order to avoid mistakes that could jeopardize the bank’s business analysts shouldn’t rely entirely on the risk management models