THE RISK ASSESSMENT METHOD VAR FOR A CREDIT PORTFOLIO OF BANK
Abstract
In this paper stress-testing of the Kazakhstani banking sector, the analysis of international experience in the construction of systems approaches to risk assessment VaR, and highlights key points that could be useful for the supervisory authority in Kazakhstan. An approach VaR methodology the banking sector, based on the concept of «top-down» and evaluating stress distribution with macro-level phenomena to individual credit institutions through a system of interrelated economic and mathematical models. The most effective tool for measuring currency risks is currently used in the world by the methodology Value-at-Risk (VaR).
About the Authors
N. S. Zaurbekov
Almaty technological University
Russian Federation
Russian Federation
A. A. Amanbaev
Almaty University of energy and communications
Russian Federation
Russian Federation
E. B. Zhumahanbetov
Almaty technological University
Russian Federation
Russian Federation
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Review
For citations:
Zaurbekov N.S., Amanbaev A.A., Zhumahanbetov E.B. THE RISK ASSESSMENT METHOD VAR FOR A CREDIT PORTFOLIO OF BANK. The Journal of Almaty Technological University. 2019;(2):100-105. (In Russ.)
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