РАЗРАБОТКА СИСТЕМЫ УПРАВЛЕНИЯ РИСКАМИ И КАПИТАЛОМ (ВПОДК).
In order to successfully implement internal capital adequacy assessment procedures (ICAAP) within a bank key requirements are briefly comments with respect to timing, format and content that are awaited by the Bank of Russia according to 3624-U Directive "About requirements on risk and capital management of the credit institutions and banking group". Risk-appetite, risk aggregation and concentration risk stress-testing are additionally discussed.
The chapter reveals the essence of the capital management procedures (ICAAP) provided for in the Pilar-2 Basel Capital Adequacy Accordings (Basel II and Basel III)
The economic capital is calculated within the framework of ICAAP that are currently being introduced in Russia, however information of economic capital is not public. This papers aims to assess the volume and structure of economic capital of Russian banks based on analysis of publicly available data on historical volatility of net income utilizing a VaR-based approach developed in (Kuritzkes & Schuermann, 2006). We show that such estimates are likely to underestimate the aggregate risk of banks due to drawbacks of Russian accounting standards. Also we show that 45-50% of economic capital is attributed to IRRBB and business risk that are not covered by Pillar I capital.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.