Analýza integrovaného trhového a kreditného rizika na príklade bankového sektora na Slovensku
Integrated Market and Credit Risk Analysis in the Banking Sector in Slovakia

Summary/Abstract: The research uses a portfolio simulation approach (further only PSA) to analyze an integrated market and credit risk of Slovak banks. The model allows us to analyze the relationship between financial environment volatility and the po-tential losses faced by financial institutions operating in Slovakia due to corre-lated market and credit risks. In the current study, we apply the model to a set of three (hypothetical) banks operating in Slovakia. The proposed simulation model explicitly links changes in interest rates, foreign exchange rates and sector of GDP in Slovakia, with the distribution of possible future capital ratios of the Slovak hypothetical banks. The model discussed in the article does not aim at evaluating the current state of the financial risk measurement methods in the banking sector in Slovakia, thus it proposes a methodology of how to solve the relations between market risk and credit risk measurements in the specific bank portfolio.

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