| Abstract [eng] |
Banks in the course of their work are confronted with various risks. That’s risks are associated with the expectation, that the return will compensate the risk assumed by bank. Risk in banking activities not only strengthens the internal management of a bank error, but also economic fluctuations or business cycles. In economic growth times, banks are optimistic about the future prospects of the borrowers and therefore banks acts a liberal supply of credit policies, reducing lending standards. When economy stat’s to fall, the cash flow of money will slow, bank risk profile increases, it requires larger provisions, reserves and a higher level of capital. The work issues confirms the relevance of the last financial crisis, which is the largest since the Great Depression. The financial sector crisis effected "the real" economy and financial crisis caused the specific effects of economic recessions. So it is looking for ways of properly assessing the risk of bank, and to prevent financial crises in time, to avoid unnecessary constraints hindering the financial sector and the economy development. For all these reasons, the banks' risk problems recently attracts many scientific societies, banking supervision, and most banks focus of attention. The object of work - the selection, the commercial banks, operating in Lithuania, risk-reflective indicators and indicators link to the business cycle. The aim of work - to explore the business cycle effects of bank risk. To achieve the aim of work is expected to solve these problems: • To exclude sources of banks risk; • To analyze how banks risks change, changing economic conditions; • To choose an appropriate model which assesses the business cycle effects on banks risks; • According to the model to investigate the business cycle effects of Lithuanian commercial banks risk; •To propose a new model of business cycle and the banks risk assessment; • According to chosen and proposed models results, to formulate conclusions about business cycles influence on bank‘s risk. In the first part of the work “Nature of bank risk management” is analyzed the risk of bank sources. There is described the activities of banks, the risk change as business cycle phases. There is examined how the economic situation might affect the banks' risks. And there is analyzed banking risk assessment models. In the second part of the work, “Bank risks assessment” is described in detail the observation, a model which conducted an empirical study. There is analyzed and interpreting survey data. There is drown conclusions on the chosen model the advantages and disadvantages. In the third part of the work “Business cycles influence on bank‘s risk” is introduced the new proposed model of the business cycle impact. There is assessed the practical applicability of the proposed model. Finally, according to chosen and proposed models results, there is formulated conclusions about the impact of the banking business cycle risk. The paper is assessed the impact of economic indicators of the banking provisions. There is offered a new model, which assessed the economic impact of VaR indicators of the loan portfolio. Conclusion the results of the two used models finding, that banks are risk contra-cyclical. When economy is falling, bank risk increases and vice versa, when economy rise or banks risk fall. |
