In conditions of increased volatility of the ruble exchange rate, Sberbank offers its clients financial market products that make it possible to protect the operating and investment activities of companies from the risks of negative changes in the conditions of the capital markets, foreign exchange and commodity markets.

The integration of Russia into the world economy and the concomitant dependence of Russian business on world prices for the main products of domestic exporters, changes in bank rates and, as a result, on an increase or decrease in the cost of borrowed funds, require a very serious approach to assessing these risks and reducing them. Such fluctuations in international settlement currencies can pose great risks for domestic business.

In most cases, such risks are not core for the company, they may receive little attention, and their management will require the involvement of additional resources. At first glance, the risks of an exporter may depend only on exchange rates, but a deeper examination of the situation shows that the activities of, for example, a fishing campaign are affected by fuel prices. In conditions of high volatility in the oil and petroleum products market, the exporter must factor in the risks of a significant increase in costs in the price of its products, thereby reducing its competitiveness. It is almost impossible to do without the use of specific insurance instruments, that is, hedging such risks and attracting professionals.

One of the best options for solving the problem may be to contact third-party risk management specialists. The Department of Operations in Global Markets of Sberbank has successful experience in this area and can offer various ways to solve such problems.

For example, if a client company does business in the domestic Russian market and is an importer, for example, of equipment, then it is natural that it receives revenue in rubles, and bears the costs of equipment in foreign currency. Exchange rate fluctuations can have a negative impact on business. One of the simplest solutions to the problem may be to purchase currency option. This instrument can be compared to insurance in the usual sense - it represents the right to buy a certain amount of currency at a specific period of time in the future at the rate approved at the time of the transaction.

In this case, the client only pays a premium to the seller. However, in the event of an unfavorable change in the exchange rate, it will be able to exercise its right to purchase currency at a rate favorable to itself. If the rate does not change or changes in a direction favorable to the client, the option will not be exercised, and the losses will be equal to the premium paid to the seller of the option. The risk of loss is minimal and absolutely predictable.

Along with these mechanisms, others can be used, for example, a currency forward, using which the client does not suffer losses in the event of unfavorable movements in the currency market, fixing in advance an acceptable rate. Currency collar- a free instrument, a combination of two options that can not only significantly reduce currency risks, but also, due to a correctly selected premium, actually reduce the total cost of the strategy to zero.

If the client’s business is associated with regular borrowing on foreign markets and is highly dependent on changes in interest rates, then the client can secure it with the help of an interest rate swap. In conditions of instability in the bank rate market, using a swap, a company can replace a floating rate with fixed interest payments.

In addition to exclusively protective instruments, the client can choose instruments of an investment nature, for example, dual currency deposit, which allows you to get increased profitability in exchange for the bank’s right to choose the currency of return of the face value.

In order to offer the client the most optimal ways to solve the problems facing him, Sberbank compiles the client’s risk profile and determines his dependence on changes in the currency markets, bank rates and goods, studying in detail the specifics of the company’s activities. Taking into account the client’s wishes, we develop the most suitable algorithm for his activities for the purchase or sale of various financial instruments in order to reduce possible risks.

To gain a deeper understanding of hedging processes, Sberbank conducts training seminars not only for client managers, but also for clients; At these meetings, experts share their experience in using hedging instruments and how to use them depending on the client’s needs. Our immediate plans include conducting a series of consultations for clients on the specifics of reflecting derivative financial instruments in financial statements.

Risk analysis of Sberbank PJSC

In order to ensure sustainability and operational efficiency, Sberbank PJSC operates a comprehensive system for managing the main banking risks (credit, market, operational and liquidity risks), designed to ensure the identification, assessment, limitation of risks accepted by the Bank, control of their volume and structure.

Risk management processes are implemented consistently. The target state of the risk management system, which fully complies with the basic requirements of the Bank of Russia and the recommendations of the Basel Committee, is planned to be achieved in 2015.

The list of significant risks of the Group is updated annually. The functions of managing all significant risks are distributed among the committees of the Management Board of Sberbank PJSC. Risk management at an integrated level is carried out by the Group Risk Committees, the Management Board and the Supervisory Board of the Bank.

The Bank attaches particular importance to risk culture as one of the most important systems ensuring sustainable development in constantly changing conditions. Risk culture is part of Sberbank’s corporate culture. It is the body of risk management knowledge, values, principles and beliefs that shape the Bank's collective ability to identify, analyze, openly discuss and respond to existing and future risks. The risk culture complements the formal mechanisms existing in the Bank and is an integral part of the integrated risk management system. The Bank pays special attention to employee behavior as a practical manifestation of risk culture. Sberbank PJSC has formulated behavioral models that are targets for all employees, regardless of their position, from the point of view of risk culture.

The purpose of credit risk management is to determine and ensure the level of risk necessary to ensure the sustainable development of the Group, determined by the development strategy of the banking Group and macroeconomic parameters.

The Group’s objectives in managing credit risks:

• - implement a systematic approach, optimize the sectoral, regional and product structure of the portfolio in order to limit the level of credit risk;
• - increase the Group’s competitive advantages through a more accurate assessment of the risks taken and the implementation of risk management measures, including reducing the level of realized credit risks;
• - maintain sustainability when introducing new ones, incl. more complex products.

The Group uses the following credit risk management methods:

• - risk prevention before surgery;
• - planning the level of risk by assessing the level of expected losses;
• - limiting credit risk by setting limits;
• - structuring transactions;
• - transaction collateral management;
• - application of a system of powers when making decisions;
• - monitoring and control of the risk level.

Credit risk assessment is carried out in general for Sberbank PJSC and for individual asset portfolios, as well as in the context of individual counterparties, countries, regions and industries. The assessment is based on statistical models for quantifying credit risk.

The Group has created a unified internal rating system. It is based on economic and mathematical models for assessing the probability of default of counterparties and transactions. Models are periodically revised based on accumulated statistical data. Risk factors related to the financial condition of the counterparty and its dynamics, ownership structure, business reputation, credit history, cash flow and financial risk management system, information transparency, the client’s position in the industry and region, the availability of support from government authorities and parent companies, as well as from the Group, which includes the borrower. Based on the analysis of these factors, the probability of default of counterparties/transactions is assessed and a rating is assigned.

Individual risks of counterparties for transactions are assessed:

• - for corporate clients, banks, small businesses, countries, constituent entities of the Russian Federation, municipalities, insurance and leasing companies: based on a credit rating system, as well as by building models of forecast cash flows or other important indicators;
• - for individuals and micro-business entities: based on an assessment of the counterparty’s solvency in accordance with the Bank’s rules and express assessment.

Limitation of risk and control of expected losses due to the borrower's default are carried out using a system of limits available for each line of business. The volume of the limit is determined by the level of risk of the borrower, which depends on its financial position and other indicators: external influence, quality of management, assessment of business reputation. Country limits are highlighted separately. In 2014, the Bank introduced an automated system for managing credit risk limits. It is planned to replicate it to the Group's subsidiary banks.

The Group monitors the concentration of large credit risks, compliance with prudential requirements, and predicts the level of credit risks. To do this, a list of groups of related borrowers is maintained at the level of a Group member, limits are set for borrowers, and the portfolio is analyzed by segments and products.

The main tool for reducing credit risk is the availability of collateral. The amount of collateral accepted depends on the risk of the borrower/transaction and is fixed in the terms and conditions of the loan products. As one of the approaches to hedging credit risks, the Bank applies a Collateral Policy, which is aimed at improving the quality of the loan portfolio. The quality of collateral is determined by the likelihood of receiving funds in the amount of the expected collateral value upon its sale. The quality of collateral is determined by a number of factors: liquidity, reliability of value determination, risk of depreciation, exposure to risks of loss/damage, and legal risks. The value of the collateral is assessed based on the internal expert assessment of the Group’s specialists, the assessment of independent appraisers, or on the basis of the value of the collateral in the borrower’s financial statements using a discount. The guarantee of solvent legal entities as property security requires the same risk assessment of the guarantor as that of the borrower. Sberbank PJSC conducts regular monitoring of collateral assets in order to ensure control over the quantitative, qualitative and cost parameters of collateral, their legal ownership, storage and maintenance conditions. The frequency of monitoring is determined by: the requirements of Bank of Russia regulations; terms and conditions of the loan product; type of security. The standard monitoring frequency includes: confirmation of the value of collateral and insurance control on a quarterly basis; frequency of on-site inspections, control of ownership and encumbrances, depending on the type and quality category of the asset - once a quarter / every six months / a year.

The existing systems of limits and authorities allow us to optimize the credit process and manage credit risk. Each territorial division and member bank of the Group is assigned a risk profile, which determines the authority to make decisions depending on the risk category of the application.

Overdue assets are presented in Table 2.8.

Table 2.8

Overdue assets*

					More than 180 days
Credit organizations
Legal entities
Individuals
Legal entities
Individuals
Total overdue debt
Growth rate,%					More than 180 days
Legal entities
Individuals
Total overdue debt

The amount of overdue loans as of January 1, 2015 increased by 55.4%. The greatest increase in debt on loans from legal entities with a repayment period of up to 30 days occurred - more than 3 times.

As of January 1, 2015, the volume of restructured loans to legal entities is RUB 2,212.0 billion, their share in the loan portfolio of legal entities is 19.0%. Restructuring is the introduction of changes to the original essential terms of a loan agreement concluded with a debtor in a direction more favorable to him, not provided for by the original essential terms of the agreement.

As of January 1, 2015, the volume of restructured loans to individuals in the loan portfolio amounted to 72.5 billion rubles, their share in the loan portfolio of individuals was 1.8%. Typical restructuring options involve increasing the term of using the loan, changing the procedure for repaying the loan debt, refusing to collect penalties in whole or in part, and changing the currency of the loan.

The Bank pays close attention to controlling the level of concentration of large credit risks. The Bank has implemented a procedure for daily monitoring of large credit risks and forecasting compliance with the requirements established by the Bank of Russia according to standards 15 N6 (maximum amount of risk per one Borrower or group of related borrowers) and N7 (maximum amount of large credit risks). For these purposes, the List of large and related borrowers is maintained and monitored.

The share of loans from the 20 largest borrowers/groups of borrowers16 in 2014 changed from 22.0% to 24.5% of the customer loan portfolio. Among the Bank's largest borrowers are representatives of various sectors of the economy, thus the credit risk is sufficiently diversified.

The goal of liquidity risk management is to ensure the Bank’s ability to unconditionally and timely fulfill all its obligations to clients and counterparties while complying with the regulatory requirements of the Bank of Russia in the field of liquidity risk management both in normal business conditions and in crisis situations. The key document on the basis of which the assessment, control and management of liquidity risk is carried out is the “Policy of Sberbank of Russia OJSC on liquidity risk management”. When managing liquidity risk, the Bank identifies regulatory, physical and structural liquidity risks.

Liquidity management in 2014 was largely determined by the situation in the financial markets in connection with the current macroeconomic situation: complications in Ukraine, the introduction of sanctions against Russia by the EU and the United States, the depreciation of the ruble and other factors. Despite the instability of the financial markets, Sberbank made maximum use of the available opportunities to organize foreign currency borrowings on the debt and capital markets:

• - In February, the Bank placed subordinated bonds within the framework of the updated Regulation No. 395-P with the possibility of repayment with the consent of the Bank of Russia after 5 years. The volume of the issue amounted to 1 billion US dollars. The placement allowed not only to attract long-term funding, but also to improve the capital adequacy ratio.
• - In March - private placement under the MTN program in the amount of USD 500 million and EUR 500 million.
• - In June - the debut issue of Eurobonds in euros in the amount of 1 billion.

Thanks to a flexible interest rate policy, high diversification of the liability base and low dependence on external borrowings, Sberbank maintained a sufficient amount of ruble and foreign currency liquidity throughout the year. The bank managed to reduce the volume of short-term borrowings from the Bank of Russia, replacing them with medium- and long-term borrowings, and thereby improve the existing liquidity profile.

Liquidity standards of Sberbank PJSC are presented in Table 2.9.

Table 2.9

Meeting liquidity standards

As of January 1, 2015, Sberbank complies with the maximum values ​​of mandatory liquidity ratios established by the Bank of Russia. Over the year, the Bank improved the values ​​of instant and current liquidity indicators. The increase in the N4 standard is associated with a revaluation of the portfolio of long-term loan debt of clients due to the increase in exchange rates of major currencies, as well as an increase in the portfolio in real terms in the second half of 2014. On January 1, 2015, changes to the methodology for calculating mandatory liquidity ratios came into force (in accordance with the Bank of Russia Directive No. 3490-U dated December 16, 2014 “On amendments to the Bank of Russia Instruction No. 139-I dated December 3, 2012 “On Mandatory Bank Ratios” "), as a result of which there is a significant improvement in all Sberbank liquidity ratios (N2, N3, N4).

Interest and currency risks of the banking book - the risks of the Bank experiencing financial losses on positions in the banking book due to unfavorable changes in interest rates, foreign exchange rates and prices of precious metals.

The main goals of managing these types of risk are:

• - minimizing potential losses due to the realization of interest and currency risks;
• - compliance with regulatory requirements;
• - optimization of the risk-return ratio

The Bank assumes interest rate risk associated with the impact of fluctuations in market interest rates on cash flows. Interest rate risk of the banking book includes:

• - interest rate risk arising from a mismatch in the maturities (revision of interest rates) of assets and liabilities that are sensitive to changes in interest rates, with a parallel shift, change in the slope and shape of the yield curve;
• - basis risk arising from a discrepancy between the degree of change in interest rates on assets and liabilities that are sensitive to changes in interest rates with a similar maturity (term for revision of interest rates);
• - the risk of early repayment (revision of interest rates) of assets and liabilities that are sensitive to changes in interest rates.

To estimate interest rate risk, a standardized shock is used in accordance with the recommendations of the Basel Committee. Forecasting of possible changes in interest rates is performed separately for the ruble position and aggregated for the currency position. The interest rate shock is calculated as the 1% and 99% quantiles of the distribution of changes in the average annual interest rate obtained using the method of historical simulations based on data for at least the last 5 years. The reference rate for ruble interest rate swaps for a period of 1 year (RUB IRS 1Y), as well as LIBOR 3M for the foreign exchange position, are used as the base rate for assessing the interest rate shock in rubles.

The Bank is exposed to currency risk due to the presence of open currency positions21. The main sources of OCP in the banking book are: lending and borrowing operations in foreign currencies and income received in foreign currencies. Currency risk occurs due to unfavorable changes in exchange rates.

The Bank daily consolidates the total open balance and manages the open currency position of the banking book in order to reduce currency risk. As the main instruments for managing currency risks, the Bank uses exchange transactions through SPOT settlements, forward contracts, as well as futures contracts for the US dollar traded on the MICEX.

In 2014, the Bank closed currency positions in the banking book, as a result of which the Bank did not suffer losses due to a significant weakening of the Russian ruble exchange rate against foreign currencies in positions of the banking book.

Now let's talk about how it is done. And the best way to do this is with practical examples.

Hedging with futures

Futures contracts can be used to hedge both stock and foreign exchange market instruments. This occurs by opening multi-directional positions in the underlying and derivative instruments. As an example, let’s take a long position on Sberbank shares and hedge it with a short position on the corresponding futures contract with execution in September 2016 - SBRF-9.16.

Fig.1. Dynamics of Sberbank shares and futures SBRF 9.16

The main difference in the dynamics of stocks and futures for these stocks is the presence of an evening session in the futures (trading lasts until 23:50, while for stocks it lasts only until 18:40). Otherwise the dynamics are synchronous. If you need to hedge Sberbank shares with a price of 139.68 rubles, then you can sell futures for these shares at a price of 14,074 rubles. per futures (one futures involves a transaction with 100 shares). To carry out a transaction with futures (including options), you must have funds on the FORTS platform in the amount of GO (guarantee collateral) plus an additional 10-15% of the value of the position in shares to maintain the variation margin on the derivatives platform. Access to the site is provided at the time of opening a trading account, and money can be transferred to FORTS using a broker. The size of the GO can be viewed in the futures specification on the Moscow Exchange website by selecting the corresponding futures in the “Derivatives Market” section.

The minimum requirement for opening a futures position on Sberbank shares is RUB 1,980. The GO for buying and selling is the same and is usually 10-20% of the value of the futures, and the GO for futures rarely changes. For example, to open a hedging position for every 100 shares of Sberbank at a price of 139.68 rubles. you need GO in the amount of 1980 rubles, plus another 2000-3000 rubles. for the variation margin, that is, about 5,000 rubles. in total.

At the moment the futures position is closed, the GO will return, and the variation margin can not only be debited from the account, but also credited to it. Since positions in stocks and futures are in different directions, if the variation margin is written off, the stocks will become more expensive at this time. If the shares fall in price, for example, to 130 rubles. (drawdown - 968 rubles per 100 shares), then shorting the futures will bring an equivalent profit. Moreover, the futures can be either bought back (close the position with a profit of 1,074 rubles when buying back the futures at 13,000 rubles), or enter into execution - enter into a deal to write off shares at the specified price, which in our case is even higher than the initial share price . Judge for yourself: futures are 14,074 rubles, which is equal to 140.74 rubles. per share at a price of RUB 139.68. per share at the time of hedging, that is, the resulting profit will be 106 rubles. for 100 shares.

If the shares rise, for example, to 150 rubles. (profit of 1032 rubles per 100 shares), then the futures can be bought back (close the position with a loss of 926 rubles at a closing price of 15,000 rubles). In this case, the GO will return, and the negative variation margin will be written off, but the shares will already have risen in price, and the result will be 106 rubles. profit per 100 shares. Thus, futures hedging helps in controlling increasing risks from time to time.

Currency conversion, when the client sells funds in one currency for funds in another currency at the spot rate and, at the same time, implements a repurchase at the agreed forward rate in effect at the time the transaction is concluded. FX Swap is a combination of a spot and a forward transaction.

This type of bank product can also be used as a loan when there is a lack of cash in one currency and an excess of funds in another currency.

Example

A company that imports raw materials (payments in EURO) sells its products on the Czech market and abroad (revenue in CZK and EURO). The company knows that with the T+2 currency it would have to pay 100,000 EURO for the imported raw materials, but in a month it would have to receive a payment of 100,000 EURO for the exported products. The company has sufficient funds in Czech crowns and intends to pay the invoice on time, but does not want to take on currency risks. In this case, the solution is FX swap. The client will buy with T+2 currency 100,000 EURO/CZK at the rate of 24,500, and at the same time agree on the repurchase of this amount after 1 month at the forward rate of 24,400 CZK/EURO. The swap costs were CZK 10,000.

Advantages

• Protection against adverse changes in exchange rates
• Monitoring changes in exchange rates and implementing customer orders at the required exchange rate level
• The position can be closed with a counter transaction at any time before the payment deadline at the current rate
• Possibility to coordinate by phone

This bank product is subject to provisions for enhanced protection of client interests in accordance with European Union Directive No. 2004/39/EC “The Market in Financial Instruments Directive” - MiFID

Risk Warning

• Does not allow you to participate in generating income in the event of a favorable change in the exchange rate on the foreign exchange market
• Blocking the client's bank account or setting a limit on treasury bills (treasury limit)

Contacts

Head of Global Markets Department

Branko Sušić

+420 234 706 881

Treasury Securities Global Market Sales

Commercial transactions with foreign exchange and interest-bearing financial instruments

Ministry of Education and Science of the Russian Federation

NOVOSIBIRSK STATE UNIVERSITY

ECONOMICS AND MANAGEMENT "NINH"

Institute

Department

TO DEFENSE

Head of the department

17.06.2015

GRADUATE WORK

In the specialty of higher professional education

Management in the organization

Management of risks

Performer, _____________________ (A.A. Akulova)

Student gr. MOP1LI (signature, date)

Scientific adviser _____________________

(signature, date)

Standard control passed ______________________

(signature, date)

Novosibirsk 2015

Contents

Introduction

Today, risk is an integral characteristic of banking activities. It plays a decisive role in the formation of the financial results of banks, serves as an important characteristic of the quality of assets and liabilities of banks, and, thus, should be used in a comparative analysis of their financial condition and position in the banking services market.

Risks are present everywhere and always, so no matter what we do, assessing our decisions from the point of view of risks is important and necessary in any case. Even if we are talking about personal affairs and plans, the risks must be weighed. Of course, in the financial sector, risks come to the fore, because enormous amounts of information circulate here and a huge number of decisions are made. One of the most important tasks of risk management is the development and implementation into daily processes of tools that help make decisions, risk assessment models. Such models are primarily based on statistics. Therefore, Sberbank is an absolute paradise for any mathematician and modeler, because the volume of customer data is unprecedented. Currently, more than 600 models of varying levels of complexity have been introduced into the process and are in operation. It is very important that the model not only exists, but is also used in real processes and helps make risk-informed decisions. All models work and show high predictive ability.

Sberbank has implemented the “classical” concept of three lines of protection against risks. The first line of defense is those employees who directly communicate with clients or with documents. The first line of defense is not just big words. A lot depends on the professionalism and responsibility of these people - after all, they are the ones who see the “live” client and “real” documents. The second line of defense is risk management. Currently, the “Risks” block employs more than 4 thousand employees - these are underwriters for all lines of business (people who carry out an independent examination of risks) and methodologists. The third line of defense is the internal audit service, which regularly audits all processes and procedures in the bank, including risk management processes.

The main banking risk, especially in Russian practice, is credit risk. Managing this risk is a key factor determining the bank's performance. This is the risk of non-repayment or late repayment of the loan to the asset holder, who in this case will suffer financial losses. This determines relevance thesis topics.

The amount of credit risk can be influenced by both macro- and microeconomic factors. In conditions where the economy is unstable, legislation is imperfect, and in many cases contradictory, it is very important to have an effective credit risk management system. Therefore, the bank must develop a credit policy, a documented organizational scheme and a system of control over credit activities.

Object of study Novosibirsk branch 8047/0386 of Sberbank of Russia OJSC.

The purpose of this work is to study the theoretical foundations and analysis of credit risks in an organization using the example of the Internal structural division of Sberbank of Russia OJSC No. 8047/0386 (hereinafter referred to as VSP)

To achieve this goal, it is necessary to solve the following tasks:

1. Consider the theoretical foundations of credit risk;

2. Show the credit risk management system;

3. Analyze the methodology for analyzing credit risk;

4. Present an analysis of credit risk management using the example of VSP 8047/0386;

5. Analyze the main shortcomings in credit risk management;

6. Determine areas for improving credit risk management.

The following methods were used in the final qualifying work: the method of system analysis, the method of participant observation, the method of document analysis.

The practical significance of the work lies in the fact that the results obtained during the research process and the conclusions based on them can be directly used in the work of VSP 8047/0386 of Sberbank of Russia OJSC; with successful adaptation and identification of the real economic effect, it is possible to disseminate this practice throughout the entire branch networks of OJSC Sberbank of Russia.

1. THEORETICAL BASIS OF CREDIT RISKS

1.1 Essence and structure of credit risks

Credit operations of commercial banks are one of the most important types of banking activities. In the financial market, lending retains its position as the most profitable item of assets of credit institutions, although also the most risky. Credit risk, therefore, has been and remains the main type of banking risk.

Credit risk is the risk that a third party will fail to meet loan obligations to a credit institution and also means that payments may be delayed or not paid at all, which in turn can lead to cash flow problems and adversely affect the bank's liquidity. Despite innovation in the financial services sector, credit risk still remains the main cause of banking problems. More than 80% of the content of a bank's balance sheet is usually devoted to this aspect of risk management. The danger of this type of risk arises when carrying out lending and other equivalent operations, which are reflected on the balance sheet and may also be of an off-balance sheet nature.

Such operations include:

granted and received credits (loans);

placed and attracted deposits;

other allocated funds, including claims for receipt (return) of debt securities, shares and promissory notes provided under the loan agreement;

discounted bills;

payment by a credit institution to a beneficiary under bank guarantees, not collected from the principal;

monetary claims of a credit institution under financing transactions against the assignment of a monetary claim (factoring);

claims of the credit institution for the rights acquired under the transaction (assignment of the claim);

claims of a credit institution for mortgages purchased on the secondary market;

claims of a credit institution for sales (purchase) of financial assets with deferred payment (delivery of financial assets);

requirements of a credit institution to payers under paid letters of credit (in terms of uncovered export and import letters of credit);

requirements for the counterparty to return funds under the second part of the transaction for the acquisition of securities or other financial assets with the obligation to re-allocate them if the securities are unquoted;

requirements of the credit institution (lessor) to the lessee for financial lease (leasing) transactions.

The effectiveness of risk assessment and management is largely determined by its classification.

Acceptance of credit risks is the basis of banking, and their management is traditionally considered the main problem in the theory and practice of banking management. The following types of credit risks can be distinguished: Direct lending risk; Contingent lending risk; The risk of failure by the counterparty to fulfill the terms of the agreement; Risk of issue and placement; Clearing risk. Let's consider the classification characteristics of credit risks in Table 1.1

Table 1.1 Classification characteristics of credit risks

Depending on the scope of the factors, internal and external credit risks are distinguished; on the degree of connection of factors with the activities of the bank - credit risk, dependent or independent of the activities of the bank.

The following risk groups are also distinguished:

Group of “risks associated with the borrower”: the risk of the borrower’s failure to fulfill its obligations; country (region) risk; risk of restricting the transfer of funds; concentration risk.

Group of “Internal risks”: risks of non-payment of principal and interest; the risk of borrower replacement relates mainly to capital market operations; loan collateral risk.

Bank credit risk factor is the cause of possible losses in the value of bank assets, determining their nature and area of ​​occurrence. The study of bank credit risk factors should be approached comprehensively, highlighting the reasons that are in the sphere of the bank’s credit policy, the economic activities of the borrower and the general economic state of the industry, region, and state as a whole.

Thus, in general, it is obvious that credit risk is caused by the likelihood of banks’ counterparties not fulfilling their obligations, which, as a rule, manifests itself in the failure to repay (in whole or in part) the principal amount of the debt and interest on it within the terms established by the contract.

In general, banking risks are divided into four categories: financial, operational, business and emergency risks. Financial risks, in turn, include two types of risks: pure and speculative. Pure risks mean the possibility of a loss or zero result. Speculative risks are expressed in the possibility of obtaining both positive and negative results.

Financial banking risks include:

The occurrence of losses for a credit institution as a result of non-fulfillment, untimely or incomplete fulfillment by the debtor of financial obligations to the credit institution in accordance with the terms of the agreement.

These financial obligations may include the debtor's obligations for:

loans received, including interbank loans (deposits, loans), other funds placed, including claims for receipt (return) of debt securities, shares and bills provided under the loan agreement;

bills discounted by a credit institution;

bank guarantees under which the funds paid by the credit institution are not reimbursed;

financing transactions for assignment of monetary claims (factoring);

rights (claims) acquired by a credit institution under a transaction (assignment of a claim);

mortgages purchased by a credit institution on the secondary market;

transactions for the sale (purchase) of financial assets with deferred payment (delivery of financial assets);

letters of credit paid by the credit institution (including uncovered letters of credit);

return of funds (assets) under a transaction for the acquisition of financial assets with the obligation to re-allocate them;

requirements of the credit institution (lessor) for financial lease (leasing) transactions.

A characteristic feature of credit risk is that it arises not only in the process of granting a loan and receiving interest on it, but also in connection with other balance sheet and off-balance sheet obligations, such as guarantees, acceptances and investments in securities.

Concentration of credit risk is manifested in the provision of large loans to an individual borrower or a group of related borrowers, as well as as a result of the debtors of a credit institution belonging either to certain sectors of the economy, or to geographical regions, or in the presence of a number of other obligations that make them vulnerable to the same economic factors.

Credit risk increases when lending to persons associated with a credit institution, i.e. providing loans to individual individuals or legal entities who have real opportunities to influence the nature of decisions made by a credit institution on issuing loans and on lending conditions, as well as to persons whose decision-making may be influenced by a credit institution.

Credit risk, i.e. The risk that the debtor will be unable to make interest payments or repay the principal amount of the loan in accordance with the terms specified in the loan agreement is an integral part of banking. Credit risk means that payments may be delayed or not paid at all, which in turn can lead to cash flow problems and adversely affect the bank's liquidity. Despite innovation in the financial services sector, credit risk still remains the main cause of banking problems. More than 80% of the content of banks' balance sheets is usually devoted to this aspect of risk management.

Because of the dangerous consequences of credit risk, it is important to conduct a comprehensive analysis of banking capabilities to evaluate, administer, supervise, control, implement and repay loans, advances, guarantees and other credit instruments. An overall review of credit risk management includes an analysis of the bank's policies and practices.

This analysis should also determine the adequacy of the financial information received from the borrower, which was used by the bank when making a decision to grant a loan. The risks for each loan should be periodically reassessed, as they tend to change.

Operational risk is the risk of direct or indirect losses from unlawful and erroneous internal processes of the bank or external events.

Events within the VSP include:

Ineffectiveness/ineffectiveness of bank department processes;

Failures and downtime of IT systems;

Unintentional errors or deliberate violations on the part of personnel.

External VSP events include:

Natural disasters;

Changes in regulatory requirements;

Actions of third parties.

To determine the size of operational risk, three fundamentally different approaches are used:

BIA (Basic Indicator Approach) approach based on a basic indicator: calculation of operational risk is based on the organization’s income average gross income for 3 years is taken and included in capital with a 10-fold increase.

SA (Standardized Approach) standardized approach: depends on the amount of income by area of ​​activity (Table 1.2).

Table 1.2 Activity direction coefficient

AMA (Advanced Measurement Approaches) advanced approach to assessing operational risks: operational risk is calculated based on data on incurred and potential losses; takes into account the organization’s work in the field of operational risk management. The AMA provides more accurate estimates that reflect the magnitude of expected and unexpected losses for a given organization.

The choice of approach remains up to the bank. As information and technology advances, banks can move from the simple BIA approach to the more complex AMA and develop their own approach.

It is important to manage operational risk by all departments of the bank, since operational risk is not specific and is implemented in all processes of the bank, and losses from the realization of operational risk can be very significant and even catastrophic.

Table 2.1 Stages of operational risk management

These stages (Table 2) of identifying and managing operational risks involve a full analysis of all operating conditions of the bank for the presence or prospect of operational risks, their assessment by various methods (approaches), as well as their monitoring, control and minimization of operational risks.

Management of various operational risks is associated with factors influencing these risks, as well as with methods for obtaining assessments and statistical data that facilitate more accurate tracking of the causes and consequences of actions that led to the emergence of operational risks.

The consequences of operational risks associated with the illegal issuance of cards and the commission of fraudulent actions with them are (Table 3): an increase in the level of customer dissatisfaction, refusal to cooperate, a decrease in market share, and a decrease in bank income.

Table 3.1 - Manifestation of operational risk in remote customer service channels

Currently, the most widely used remote channel for servicing bank clients is Mobile Bank (MB), a service provided by Sberbank of Russia OJSC, which allows you to obtain information about all card transactions, as well as make payments, transfers and other transactions using mobile phone anytime, anywhere.

The MB service is popular among clients, but it also comes with operational risks.

The main reasons for clients to request unauthorized debits from a credit card using the MB service are:

Illegal connection of the MB service to the client’s card.

Untimely disconnection of the service when you lose your phone or change your number.

Fraudulent actions (presumably through the personal account of mobile operators and online stores, malicious viruses).

According to VSP 8047/0386 “Sberbank of Russia” for the period from 04/01/2014 to 04/31/2015, the number of customer requests for the “MB” service is 56, the peak of requests was in April 2015. 13. An analysis of 56 complaints was carried out 98% of them were related to unauthorized debiting of funds from credit cards through MB, the amount of damage amounted to 153,355 rubles.

At the beginning of the second quarter of 2015, the number of fraudulent actions with credit bank cards through the MB service increased by 2.6 times compared to the same period of the previous year. The growth of precedents related to the “MB” service occurs, first of all, due to the increase in the number of users.

Having analyzed the dynamics of requests from bank clients, we can conclude that there is an increase in dissatisfaction and distrust in the banking system, which increases its financial and reputational damage; therefore, a program of measures is needed, which will include the following measures:

Increased attention to information security issues, development of an information security system, a corporate anti-virus system, training of IT personnel capable of monitoring information flows and their safety.

Increasing IT literacy of bank employees and clients. The introduction of information technologies should be accompanied by training and advanced training courses for bank employees, who in turn should notify clients about the capabilities and dangers of the systems used.

Improving methods for determining operational risk, identifying individual approaches.

Business risk this is one of the main characteristics of the activities of a commercial enterprise in conditions of uncertainty and the possibility of adverse consequences in case of failure.

Extreme risks include all types of exogenous risks that jeopardize the bank's operations or may undermine its financial condition and capital adequacy. Such risks include political events (for example, the fall of a government), the spread of a chain reaction of crisis as a result of a bank bankruptcy or stock market crash, a crisis in the banking system, natural disasters, and civil wars. In most cases, extreme risks are unpredictable until the very last moment. Therefore, the bank has no other means of countering these risks other than maintaining additional reserve capital. The line between emergency and systemic (country) risk is often very blurry.

1.2 Principles and methods of credit risk management

The risk management system satisfies the following basic principles:

Risk Awareness. The risk management process affects every employee in an organization. Decisions to carry out any operation are made only after a comprehensive analysis of the risks at the organizational level that arise as a result of such an operation. Employees of organizations that engage in risk-exposed transactions are aware of the risk of transactions and identify, analyze and assess risks before performing transactions. Organizations have regulatory documents regulating the procedure for carrying out all operations exposed to risks. Carrying out new banking operations in the absence of regulatory, administrative documents or relevant decisions of collegial bodies regulating the procedure for their implementation is not allowed.Separation of powers.Organizations have implemented management structures in which there is no conflict of interest: at the level of the organizational structure, divisions and employees are divided, who are entrusted with responsibilities for conducting operations exposed to risks, accounting for these operations, managing and controlling risks.

Risk level control. The Bank's management and collegial bodies of the Bank regularly receive information about the level of accepted risks and facts of violations of established risk management procedures, limits and restrictions. At the organizational level, there is an internal control system that allows for effective control over the functioning of the risk management system of each department.The need to provide “three lines of defense”.Collective responsibility is established for risk-taking actions:

Risk taking (1st line of defense): Business units should strive to achieve the optimal combination of profitability and risk, follow the set goals for development and the balance of profitability and risk, monitor decisions on risk taking, take into account the risk profiles of clients when making transactions/transactions , implement and manage business processes and tools, participate in risk identification and assessment processes, comply with the requirements of internal regulations, including those related to risk management;

Risk management (2nd line of defense): functions of Risk and Finance - develop risk management standards, principles, limits and restrictions, monitor the level of risks and prepare reports, check the compliance of the risk level with risk appetite, advise, model and aggregate the overall risk profile ;

Audit (3rd line of defense): internal and external audit function conduct an independent assessment of the compliance of risk management processes with established standards, and external assessment of risk-taking decisions.

Combination of centralized and decentralized approaches to risk management. Sberbank combines centralized and decentralized risk management approaches. The authorized collegial bodies of the Bank for risk management determine the requirements, restrictions, limits, and methodology in terms of risk management for regional banks and organizations. Regional banks manage risks within the limits and powers established for them by authorized bodies and/or officials.

Formation of high-level1 risk committees.

High-level specialized committees make risk management decisions;

The committee system is formed taking into account the structure of the Group’s business model.The need to ensure the independence of the risk function.

Ensuring the independence of specialized risk assessment and analysis departments from departments performing operations/transactions exposed to risks;

Inclusion of the Risk function in the decision-making process at all levels, involvement of the Risk function both in the high-level strategic decision-making process and in risk management at the operational level; - Ensuring the independence of the validation function.

Use of information technology.

The risk management process is based on the use of modern information technologies. Organizations use information systems that allow timely identification, analysis, assessment, management and control of risks.

Continuous improvement of risk management systems.Organizations constantly improve all elements of risk management, including information systems, procedures and techniques, taking into account strategic objectives, changes in the external environment, and innovations in global risk management practice.

Management of the bank's activities taking into account the accepted risk.The organization assesses the sufficiency of the capital at its disposal (available to it), that is, internal capital (hereinafter referred to as IC) to cover accepted and potential risks. Internal procedures for assessing capital adequacy (hereinafter referred to as ICAAP) also include capital planning procedures based on the established development strategy of the bank, business growth guidelines and the results of a comprehensive current assessment of these risks, stress testing of the bank’s stability in relation to internal and external risk factors. The Group identifies priority areas for development and capital allocation using analysis of risk-adjusted performance indicators of individual divisions and business lines. The Group includes risk metrics in enlarged Business Plans.

Limiting accepted risks by setting limit values ​​within the framework of the established limit system.The Group has a system of limits and restrictions that allows it to ensure an acceptable level of risks for the organization’s aggregate positions. The bank's limit system has a multi-level structure:

The overall limit for the bank, which is set based on the risk appetite determined in accordance with the risk management strategy;

Limits on types of risks significant to the Group (for example, limits on credit and market risks);

Limits on the organizations participating in the Group, structural divisions of the organizations participating in the Group responsible for accepting risks that are significant for the Group;

Limits on individual borrowers (counterparties), on trading portfolio instruments, etc.
Methodology for identification, assessment and managementrisk management in divisions is formed on the basis of the unity of methodological approaches used within Sberbank.

To manage credit risk, the following management methods are used, which are presented in Fig. 1.

Rice. 1 - Credit risk management methods

The main methods of credit risk management include:

1) methods of quantitative risk assessment;

2) methods for preventing the occurrence of credit risks;

3) methods for reducing credit risks.

Quantitative analysis involves calculating the numerical values ​​of individual risks and the risk of the object as a whole, assessing the possible consequences of risk activities, and developing a system of measures to prevent them.

Quantitative assessment methods include: probabilistic, indirect, analytical, statistical, scoring, expert and combined methods.

1. Statistical methods

1.1. Estimation of the probability of execution.

The essence of this method is to calculate the share of completed and unfulfilled decisions in the total amount of decisions made, which allows us to estimate the probability of the execution of any decision.

1.2. Analysis of the probable distribution of the payment stream.

With a known probability distribution for each element of the payment flow, possible deviations of the values ​​of the payment flows from the expected ones are estimated. The stream with the least variation is considered less risky.

1.3. Decision trees.

Typically used to analyze the risks of events that have a foreseeable or reasonable number of development options.

1.4. Simulation modeling of risks.

This method involves conducting computer experiments with mathematical models. Used when conducting actual experiments is unreasonable, costly, or impracticable. If the information is insufficient, then the missing actual data is replaced with values ​​obtained during the simulation experiment (i.e., computer generated).

1.5. Risk Metrics technology.

Used to assess securities market risk. The degree of influence of risk on an event is carried out by calculating the maximum possible potential change in the price of a portfolio consisting of a different set of financial instruments, with a given probability and for a given period of time.

The main advantages of statistical methods include the ability to take into account various risk factors and scenarios. The main disadvantage of these methods is the need to use probabilistic characteristics in them.

2. Analytical methods

2.1. Sensitivity analysis.

This method involves studying the dependence of some resulting indicator on the variation in the values ​​of the indicators involved in its determination.

2.2. A method for adjusting the discount rate taking into account risk.

This method is most often used in practice. It consists of adjusting some basic discount rate that is considered risk-free. The adjustment is made by adding the required risk premium.

2.3. Method of equivalents.

This method allows you to adjust the expected values ​​of the flow of payments by introducing special reducing factors (a) in order to bring the expected receipts to the values ​​of payments, the receipt of which is practically beyond doubt and the values ​​of which can be reliably determined.

2.4. Scripting method.

This is essentially a more advanced method of sensitivity analysis. It allows you to combine the study of the sensitivity of the resulting indicator with the analysis of probabilistic estimates of its deviations.

Analytical methods are mainly used in assessing the risk of investment projects.

3. Method of expert assessments.

The method is based on conducting a survey of several independent experts, for example, to assess the level of risk or determine the influence of various factors on the level of risk. The information received is then analyzed and used to achieve the goal.

Credit scoring is a system for assessing the creditworthiness (credit risks) of a person, based on numerical statistical methods. As a rule, it is used in consumer (store) express lending for small amounts. Scoring consists of assigning points based on filling out a certain questionnaire developed by credit risk assessors and underwriters. Based on the results of the points scored, the system makes a decision on approval or refusal to issue a loan.

Data for scoring systems is obtained from the probabilities of loan repayment by individual groups of borrowers, obtained from an analysis of the credit history of thousands of people. It is believed that there is a correlation between certain social data (the presence of children, attitude towards marriage, higher education) and the conscientiousness of the borrower.

Credit scoring is a simplified system for analyzing the borrower, which allows reducing the qualification requirements of the credit inspector involved in reviewing loan applications and increasing the speed of their consideration.

Methods for preventing the occurrence of credit risks include assessment of the borrower’s creditworthiness and credit monitoring.

The assessment of a borrower’s creditworthiness is understood as both the ability to pay off one’s debt obligations in full and on time, and the willingness (desire) of a person to repay one’s debts in a timely manner and in full.

Credit monitoring is the bank's control over the use and repayment of a loan. The bank regularly monitors the intended use of the loan and compliance with other terms of the agreement.

Methods for reducing credit risks are conventionally divided into:

Conditionally active methods (diversification of the loan portfolio and risks, setting lending limits, monitoring the quality of the loan portfolio, managing problem loans, credit derivatives)

Conditionally passive methods (compliance with credit risk standards, loan collateral, insurance)

Conditionally active-passive methods (formation of a reserve for possible loan losses)

1.3Analysis of the state of risk management at Sberbank of Russia OJSC

Sberbank of Russia is a leader in the retail banking services market. Consistent stability, financial stability, fulfillment of all obligations to clients, and a flexible interest rate policy allow us to maintain public confidence and ensure a steady flow of funds into deposits. The Bank promptly responds to fluctuations in financial market conditions by improving existing products and introducing new products that take into account the needs of different groups of clients.

Along with accepting deposits, the Bank serves the economically active population and pensioners, paying them income. In accordance with the legislative acts of the Russian Federation, the Bank's branches pay preliminary compensation for deposits of citizens entitled to receive it. Along with traditional forms of servicing the population, Sberbank of Russia is actively introducing and developing modern banking technologies. We are developing our own payment system AS SBERCARD based on advanced technologies using microprocessor cards.

The purposeful work of Sberbank of Russia to organize comprehensive services for legal entities contributed to the formation of a stable client base of the Bank and the attraction of new corporate clients for servicing.

Clients of VSP 8047/0386 are enterprises from all sectors of the economy, all forms of ownership of any scale - from small businesses to leading enterprises in Russia, various financial institutions and public administration institutions. Most of the largest Russian corporations and companies are serviced and financed by the Bank, including OJSC Rostelecom, divisions of OJSC Gazprom, OJSC NK Lukoil, OJSC TNK, OJSC Sibneft, CJSC Severnaya Neft, OJSC Transneft, OJSC Severstal, etc.

The Bank services the Pension Fund of Russia, the Ministry of Fuel and Energy, divisions of the Ministry of Defense of the Russian Federation, the Ministry of Internal Affairs of the Russian Federation, the Ministry of Emergency Situations of the Russian Federation, the State Customs Committee, bailiffs of the Ministry of Justice of Russia, special accounts of project implementation groups within the framework of cooperation of the Russian Federation with the IBRD and the EBRD.

Cooperation with the constituent entities of the Russian Federation in the sphere of servicing the budgetary and financial structure of the regions is being improved. The Bank's branches service over 76 thousand accounts of local government departments and legal entities financed from local budgets.

To provide comprehensive customer service, the Bank’s own collection service has been created and operates. The circle of large clients from among exporters and importers served by the Bank has significantly expanded. Foreign trade documentary operations carried out by the Bank for its clients are actively developing.

The bank remains one of the leading operators on the Russian market of bonds denominated in foreign currency - OVGVZ and Eurobonds of Russian issuers.

Being a leading operator both in the Russian Trading System (RTS) and on the Moscow Interbank Currency Exchange (MICEX), and having an extensive branch network, the Bank promptly fulfilled customer requests for the purchase and sale of securities, both on the Moscow stock market and throughout Russia.

The bank occupies a leading position in the total amount of investments in the Russian economy, in the maximum amount of loans provided per borrower, as well as in the terms for which loans are issued.

In order to meet the needs of its clients for modern credit products, the Bank offered various types of loans, including overdraft, bill of exchange loans, credit lines on terms favorable to clients; provided all types of bank guarantees, including guarantees of proper execution of the contract, return of the advance, customs, etc.

The bank actively lent to projects related to the construction and reconstruction of housing, business centers, shops and other commercial construction projects.

Particular attention was paid to the creation of banking lending products that take into account the industry specifics of the enterprises being financed.

Thanks to the introduction of a new banking product - lending to enterprises mining gold and silver - in 14 regions of Russia: Krasnoyarsk, Primorsky, Altai Territories, Bashkortostan, Buryatia, Sakha (Yakutia), Tyva, Sverdlovsk, Novosibirsk, Khabarovsk, Chita, Irkutsk, Amur, Magadan regions - the volume of these operations has increased significantly.

The Bank is implementing a strategy to increase the volume of long-term investment lending to Russian enterprises, thus ensuring the development of the Russian economy.

Traditionally focusing on the retail banking services market, Sberbank is dynamically increasing the volume of lending to individuals.

To stimulate domestic production, loans for the purchase of Russian durable goods are issued to the population at lower interest rates.

The Bank's balanced credit policy and targeted work with problem loans ensured a significant reduction in overdue loans.

The main direction of lending is industry, which accounts for 39.47% of loans, this shows the main strategy of the credit policy pursued by Sberbank, but second place can be placed in construction, trade and intermediary activities and commercial banks, which together account for 30.33%. Least attention is paid to agriculture, since the situation in this industry is the most difficult and the possibility of loan repayment is low.

The volume of transactions with precious metals for individuals has significantly expanded. The sale of gold bullion bars to the public is carried out in the Bank's branches located in 37 regions of Russia.

Its role has increased in the field of banknote operations, in meeting the needs of its clients and commercial banks in cash and foreign currency.

The range of limited convertible currencies for which the Bank carried out conversion operations and satisfied the needs of clients expanded.

As security for the loan, the Bank can either insure the risk of non-repayment of the loan or require the borrower to insure its liability under the loan agreement.

One type of economic risk insurance is the allocation of reserves for possible loan losses. A reserve for possible losses for each loan is created on the day of its issuance. Its size is set as a percentage of its amount, depending on which risk group the loan belongs to.

There are 5 loan risk groups: for group 1 a reserve of at least 2% of their amount is created, group 2 - 5%, group 3 - 30%, group 4 - 75%, group 5 - 100%.

Table 2.1 - Classification of loans by risk groups

Security of the loan, availability of guarantees, its age.	Secured	Underfunded	Unsecured
Repayment of the loan on time.
Overdue debt up to 30 days.
Overdue debt from 30 to 60 days
Overdue debt from 60 to 180 days
Overdue debt over 180 days

2. ORGANIZATION OF A PERSONNEL DEVELOPMENT SYSTEM USING THE EXAMPLE OF SBERBANK OF RUSSIA OJSC VSP 8047/0386

2.1 General characteristics of O A.O. "Sberbank of Russia"

Sberbank of Russia is the largest bank in the Russian Federation and the CIS. Its assets make up more than a quarter of the country's banking system (27%), and its share in bank capital is at 26%. According to The Banker magazine (July 1, 2012), Sberbank ranked 43rd in terms of fixed capital (tier 1 capital) among the largest banks in the world.

Founded in 1841, Sberbank of Russia today is a modern universal bank that meets the needs of various groups of clients in a wide range of banking services. Sberbank occupies the largest share in the deposit market and is the main creditor of the Russian economy

Sberbank of Russia has a unique branch network and currently includes 18 territorial banks and more than 19,100 branches throughout the country. Subsidiary banks of Sberbank of Russia operate in Kazakhstan, Ukraine, Belarus, and Turkey.

Full name of the bank: OJSC "Sberbank of Russia"

License number 1481

The founder and main shareholder of the Bank is the Central Bank of the Russian Federation (Bank of Russia).

OJSC "Sberbank" is an organization with a vertical management structure, i.e. has several levels of management. By type it is a functional structure.

Functional organizational structure is the division of an organization into separate elements, each of which has its own clearly defined, specific task and responsibilities, i.e. The model involves dividing personnel into groups, depending on the specific tasks that employees perform.

The management of Sberbank of Russia is based on the principle of corporatism in accordance with the Corporate Governance Code approved by the annual General Meeting of Shareholders of the Bank in June 2002.

Services provided by Sberbank of Russia OJSC include:

For legal entities:

1) cash settlement services;

2) opening and maintaining correspondent accounts “Loro”;

3) lending;

4) transactions with securities;

5) conversion operations;

6)bank cards;

7) collection;

8) remote maintenance;

9) trade finance and documentary operations;

10) operations with precious metals;

11) depository services;

12)banking operations;

13) rent of safes.

For individuals:

1) deposits and compensation for deposits;

2) lending;

3) transactions with securities;

4)utility payments;

5)bank cards;

6) currency exchange and non-trading transactions;

7) operations with precious securities;

8) money transfers;

9)receiving wages;

10) depository services;

11) settlement checks;

12) rent of safes.

One of the main competitive advantages of Sberbank of Russia OJSC is its extensive customer base. The bank's cooperation with all groups of clients allows it to successfully manage resources and minimize financial risks. By attracting funds from the population, Sberbank of Russia OJSC forms a stable source of lendingenterprises of various sectors of the economy.

The bank's main competitors are:

Gazprombank

VTB 24

Alfa Bank

Raiffeisenbank

Rosbank, etc.

The main goals of the enterprise:

Like the goal of any commercial organization, the main goal of Sberbank is to make a profit.

4. Development of measures to reduce risks at the enterprise

3. Development of measures to reduce risks at the enterprise

3.1 Methods of managing financial risks at Sberbank

Currently, a number of methods for assessing financial risk are used, which can be divided into:

Statistical;

Analytical;

Method of analogies;

Method of expert assessments and expert systems.

Statistical methods used to assess risk are variance, regression and factor analysis. The advantages of this class of methods include a certain versatility. Their disadvantages stem from the very essence of statistical research - the need to have a large database, the complexity and ambiguity of the conclusions obtained, certain difficulties in analyzing time series, etc. For the purposes of calculating the risks of business activities, these methods are used relatively rarely. However, recently the method of cluster analysis has gained some popularity, with the help of which it is possible to obtain data suitable for use.

Analytical methods are used most often. Their advantage is that they are quite well designed, easy to understand and operate with simple concepts. These methods include: discounting method, cost recovery analysis, break-even production analysis, sensitivity analysis, stability analysis.

When using the discounting method, the discount rate is adjusted by the risk coefficient, which is obtained by the method of expert assessments. The disadvantage of this method is that the risk measure is determined subjectively.

The application of the cost recovery method involves calculating the payback period of the project.

The break-even method is similar to the cost recovery method, only unlike the first, it determines the break-even point of the project, i.e. The break-even method is a boundary for the payback method.

Application of the method of factor sensitivity analysis to the resulting technical and economic indicators of the investment project. The method of calculating sensitivity is close to one of the statistical methods - the method of factor analysis. It also determines the degree of influence of various factors on the resulting indicator.

The method of sustainability analysis determines the change in the main economic indicators of the project in the event of unfavorable changes in various factors. For example, the amount of possible profit is studied when prices for raw materials and supplies necessary for the production of a product change. Sustainability in economics means the ability of an economic system to maintain its performance after being exposed to unfavorable factors.

Method of analogies. The name of this method suggests that the forecast of the financial condition of the project and the risk of its implementation are determined in accordance with some similar project that was implemented earlier. It is assumed that the economic system within which the project is being implemented also behaves in a similar way.

Method of expert assessments and expert systems. Although these two methods are combined into one section, they are fundamentally different methods.

The method of expert assessments is based on intuition and practical knowledge of specially selected people - experts. During the work, experts are surveyed (various survey methods can be used) and based on this survey, a forecast of the investment project is built. With proper selection of experts and optimal organization of their work, this is one of the most accurate and reliable methods. The difficulty lies in the mechanism for selecting experts and organizing their work - eliminating conflict situations between experts, determining the rating of each expert, correctly posing the research question, etc.

Unlike the method of expert assessments, which is based on the intuition of experts, the method of expert systems is based on special software and mathematical software for a computer. This method was developed relatively recently. Its software includes a database, knowledge base, and interface. The database contains all kinds of information about the object of study. The knowledge base contains rules that describe various situations that arise during the evolution of the object under study. An interface is a system of connections, special software that allows a person working with an expert system to ask questions on a subject of interest and receive answers simulated by a computer. Currently, expert systems are developing rapidly. These are computer programs that simulate the actions of a human expert when solving problems in a narrow subject area based on accumulated knowledge that makes up the knowledge base.

The main disadvantage of all these risk calculation methods is that they operate with specific, deterministic values ​​of risk coefficients. The coefficients are calculated either by the method of expert assessments or by some other method. Their consideration excludes the random component of the process of evolution of the economic situation in the market for goods and services. However, ignoring this component sometimes leads to incorrect results. Thus, to correctly assess the risk of financial and economic activity, it is necessary to study not only the deterministic change in the market situation, but also its stochastic change. We should move from deterministic models to probabilistic models for forecasting market situations.

3.2 Diversification as a tool for managing financial risks

One of the most effective risk management techniques is diversification.

Diversification refers to the process of distributing investment funds between various investment objects that are not directly related to each other, in order to reduce the degree of risk and loss of income. Diversification is the most reasonable and relatively less costly way to reduce the degree of financial risk.

Diversification means owning many risky assets rather than concentrating all your investments in just one of them. Therefore, diversification limits our exposure to risk associated with a single type of asset.

Diversification is the dispersal of investment risk. However, it cannot reduce investment risk to zero. This is due to the fact that entrepreneurship and investment activities of an economic entity are influenced by external factors that are not related to the choice of specific investment objects, and, therefore, they are not affected by diversification.

External factors affect the entire financial market, i.e. they affect the financial activities of all investment institutions, banks, financial companies, and not individual economic entities.

External factors include processes occurring in the country’s economy as a whole, military actions, civil unrest, inflation and deflation, changes in the discount rate of the Bank of Russia, changes in interest rates on deposits, loans from commercial banks, etc. The risk associated with these processes cannot be reduced through diversification.

Thus, risk consists of two parts: diversifiable and non-diversifiable risk. Let's look at them in Figure 4.1.

In the figure, the value AB shows the volume of total risk, which consists of diversifiable risk (AK) and non-diversifiable risk (KB).

Volume of risk, rub.

0

Number of risk dispersion objects, units.

Rice. - Dependence of the volume (or degree) of risk on diversification

The given graphical dependence shows that the expansion of capital investment objects, i.e. risk dispersion, from 5 to 15 allows you to easily and significantly reduce the amount of risk from the value of OP1 to the value of OP2.

Diversifiable risk, also called unsystematic, can be eliminated by dispersing it, i.e. diversification. Non-diversifiable risk, also called systematic risk, cannot be reduced by diversification.

Moreover, studies show that the expansion of capital investment objects, i.e. Risk dispersion allows you to easily and significantly reduce the amount of risk. Therefore, the main focus should be on reducing the degree of non-diversifiable risk.

Diversification involves the inclusion of assets of different properties in a financial scheme. The more there are, the more significant (due to the mutual cancellation of risks and deviations) their joint influence on limiting risk is due to the large numbers.

The company's use of a diversified portfolio approach in the securities market allows it to minimize the likelihood of non-receipt of income. For example, an investor purchasing shares of five different joint-stock companies instead of shares of one company increases the probability of receiving an average income by 5 times and, accordingly, reduces the degree of risk by 5 times.

The diversification effect is essentially the only reasonable rule for working in financial and other markets. The same effect is embodied in folk wisdom - “don’t put all your eggs in one basket.” The principle of diversification states that it is necessary to carry out various, unrelated operations, then the efficiency will be averaged, and the risk will definitely decrease.

When comparing, after the fact, the amount of profit received by investors with diversified investments and those who did not, it turns out that the largest income was received by representatives of the second group. But among them there are most of those who suffered the most significant losses. If you diversify your investments, your chances of falling into both groups are reduced.

Of course, everyone wants to hit the biggest jackpot and be known as a genius. But to do this, you have to make a decision based on assumptions, the result of which will be either large income or large losses. It may be better to choose a middle option.

The principle of diversification is applied not only to averaging operations carried out simultaneously, but in different places (averaging in space), but also carried out sequentially in time, for example, when repeating one operation over time (averaging over time).

A completely reasonable strategy is to buy shares of some stable company on January 20th of each year. Thanks to this procedure, the inevitable fluctuations in the stock price of this company are averaged out and this is where the diversification effect is manifested.

Theoretically, the effect of diversification is only positive - efficiency is averaged, and risk is reduced.

3.3 Financial risk insurance

The most important and most common technique for reducing risk is risk insurance.

The essence of insurance is that the investor is ready to give up part of the income just to avoid risk, i.e. he is willing to pay to reduce the risk to zero.

Insurance is characterized by the intended purpose of the created monetary fund, the expenditure of its resources only to cover losses in pre-agreed cases; probabilistic nature of relationships; return of funds. Insurance as a method of risk management means two types of actions: 1) redistribution of losses among a group of entrepreneurs exposed to the same type of risk (self-insurance); 2) seeking help from an insurance company.

Insurance seems to be the most profitable measure in terms of risk reduction, if not for the insurance payment. Sometimes, the insurance payment makes up a significant part of the sum insured and represents a significant amount.

Insurance is a set of economic relations between its participants regarding the formation of a target insurance fund from cash contributions and its use for compensation of damage and payment of insurance amounts.

Most pure risks (but not all of them) are insurable, and speculative risks are generally not insurable.

An uninsurable risk is a risk that most insurance companies avoid insuring because the likelihood of losses associated with it is almost unpredictable. Insurance companies are always reluctant, to say the least, to consider cooperation in cases where the risk is related to government actions or the general economic situation. Uncertainties such as regulatory changes and economic fluctuations are beyond the scope of insurance.

Uninsurable risks include:

Market risks (factors that can lead to loss of property or income, such as: seasonal or cyclical price changes, consumer indifference, changes in fashion, etc.);

Political risks (the risk of events such as: change of government, war, restrictions on free trade, unreasonable or excessive taxes, restrictions on free trade of currencies, etc.);

Production risks (the danger of such factors as: non-economic operation of equipment, lack of raw materials, etc.);

Personal risks (unemployment, poverty due to divorce, etc.)

Sometimes, uninsurable risks become insurable when enough data is collected to accurately estimate upcoming losses.

An insured risk is a risk for which the level of acceptable losses is easily determined, and therefore the insurance company is ready to compensate for them.

Insured risks include:

Property risks - the danger of losses from a disaster, which lead to direct loss of property, to indirect loss of property.

Personal risks - the risk of losses as a result of: premature death, disability, old age.

Risks associated with legal liability - the risk of losses due to the use of a car, stay in a building, occupation, production of goods, professional errors.

Insurance involves paying an insurance premium, or premium (the price you pay for insurance) to avoid losses.

In accordance with current legislation, financial risk insurance is understood as a set of types of insurance that provide for the insurer’s obligations for insurance payments in the amount of full or partial compensation for loss of income (additional expenses) caused by the following events:

a) stoppage of production or reduction in production volume as a result of specified events;

b) job loss;

c) unforeseen expenses;

d) failure to fulfill contractual obligations by the counterparty of the insured person, who is the creditor of the transaction;

e) legal expenses (costs) incurred by the insured person;

f) other events.

There are two types of risk insurance:

1 - Self-insurance, when a company creates a certain reserve of funds from which possible losses are covered;

2 - Contacting an insurance company or firm.

The leaders in the financial risk insurance market for large Russian businesses are RESO-Garantiya, Ingosstrakh, ROSNO and AlfaStrakhovanie.

In foreign insurance practice, credit insurance often affects various areas of activity and is intertwined with other types of insurance. Depending on the location and reasons for the occurrence of credit risk, the following types of credit insurance can be distinguished:

Consumer credit insurance;

Commercial (commodity, trade) credit insurance;

Bank loan insurance;

Export credit insurance;

Bill credit insurance.

I was of great interest in bank loan insurance, which I decided to study in more detail.

Bank loan insurance is divided into two types:

Insurance against the risk of loan default.

Insurance of the borrower's liability for non-repayment of the loan.

The object subject to insurance, according to the first type, is the responsibility of all or individual borrowers (individuals or legal entities) to the bank for timely and full repayment of loans and interest on loans within the period established in the insurance agreement. The policyholder is faced with a choice: to insure the amount of the loan issued with interest or only the amount of the principal debt; insure the liability of all borrowers to whom loans were previously issued, or the liability of each individual. As a rule, in modern Russian conditions, in conditions of unstable economic situation, it is advisable to insure the loan amount with interest for each borrower separately. However, one should take into account the fact that when insuring all loans, automatic liability of the insurance organization is achieved, and under such contracts a preferential tariff rate is established.

An insurance contract for the risk of non-repayment of loans is concluded between insurance companies (insurers) and banks, as well as other credit organizations (policyholders). Under the insurance contract, the insurer pays the policyholder compensation in the amount of 50% to 90% of the amount of the loan not repaid by the borrower and interest on it.

The insurer's liability arises if the policyholder has not received the amount stipulated by the loan agreement within a certain time after the payment deadline stipulated by the loan agreement (according to the rules of insurance companies, from 10 to 20 days), or the period established by the bank if the borrower fails to comply with the terms of the loan agreement. The specific limit of the insurer's liability and the period for the onset of its liability is established by the insurance contract.

The insurance contract is concluded on the basis of a written application from the policyholder and a certificate of calculation, drawn up in 2 copies. At the same time, the policyholder represents:

A copy of the loan agreement along with all related documents;

Documents confirming the possibility of lending, i.e. loan security;

A copy of the conclusion on the technical and economic examination of the project for developing production or conducting a commercial operation and other documents that may be significant for judging the degree of risk;

Copies of constituent documents, registration certificate, financial statements of the borrower and other documents at the request of the insurance company.

Before concluding an insurance contract, the insurance company examines the submitted documents in order to determine the availability of guarantees for the return of funds by the borrower on the loan received and to ensure the financial stability of insurance operations. If it is determined that the loan is issued without sufficient guarantees, the insurer may set a higher tariff rate or even refuse the bank to enter into an insurance agreement or set a period after which the credit institution is obliged to return to the insurer an amount equal to the balance of the borrower’s debt under the loan agreement in in accordance with the special terms of the insurance contract.

The insurer, on the basis of the submitted documents, calculates insurance payments for each borrower individually and as a whole under the insurance contract, based on the amount of outstanding debt and established tariff rates. Insurance payments on short-term loans (issued for a period of less than one year) are paid at a time; For long-term loans provided as a lump sum, the annual amount of payments is paid in one or two terms.

The loan default risk agreement comes into force on the day following the day of payment of the first insurance payment.

The insurance amount is established in proportion to the percentage of the insurer's liability determined in the insurance contract, based on the entire amount of debt to be returned under the terms of the contract.

The insurance period for the risk of non-repayment of individual loans is established based on the terms of loan repayment. When insuring all issued loans, the loan non-repayment risk insurance contract is concluded for one year.

The tariff rate depends on a number of factors:

Duration of the loan;

Loan amount and interest rate;

Risk level;

Type of security.

And in each specific case it is determined by the insurance organization. In accordance with the conclusion of experts who determine the final degree of risk, when setting the rate, it is possible to use decreasing or increasing coefficients. When using the appropriate adjustment factor, the tariff rate is determined by multiplying the base rate by the coefficient. For example, when concluding an insurance agreement against the risk of non-repayment of a loan issued for 3 months, taking into account the lack of collateral and the possible declaration of the debtor as insolvent, it is possible to apply the maximum size of the increasing coefficient (for example, 5.0). With a base tariff rate of 1.2, the final tariff rate will be 6% (1.2 x 5).

In contrast to loan non-repayment insurance, a borrower liability insurance contract for loan non-repayment is concluded between an insurance company (insurers) and enterprises and organizations (insured). The object of insurance is the borrower's responsibility to the bank that issued the loan for timely and full repayment of the loan, or for repayment of loans, including interest on the use of the loan. The basic rules and conditions of insurance of borrowers' liability for non-repayment of loans are generally similar to the rules and conditions of insurance for the risk of loan non-repayment. The insurance contract is concluded on the basis of a written application from the policyholder, drawn up in 2 copies. Along with the application, the policyholder submits a copy of the loan agreement and a certificate of the loan repayment terms. Based on the submitted documents, the insurer calculates insurance payments based on the insured amount and established tariff rates. Insurance payments must be paid in one lump sum.

In accordance with the Civil Code of the Russian Federation, contractual liability can only be insured by the creditor party.

The liability of the insurance organization arises if the policyholder does not return to the creditor bank the amount stipulated by the loan agreement within three days after the due date of payment stipulated by the loan agreement, without the fact of its prolongation (extension). Not all of the borrower's liability is subject to insurance, but a certain part of it (from 50 to 90%).

The remaining share of responsibility rests with the policyholder himself. The insurance amount is established in proportion to the percentage of the insurer's liability determined in the insurance contract, based on the entire amount of debt to be repaid under the loan agreement.

When concluding insurance contracts for the risk of non-repayment of loans with banks and insurance contracts for the liability of borrowers for non-repayment of loans with enterprises and organizations, regardless of their organizational and legal form, insurance organizations must take into account the financial condition and reputation of the borrower in terms of its solvency.

There are many methods for analyzing a client’s financial situation. In the practice of American banks, the “5C” system is used, where the client selection criteria are indicated by words beginning with the letter “c”:

Character - the character of the borrower (his reputation, degree of responsibility, readiness and desire to repay the debt). The bank seeks to obtain a psychological portrait of the borrower, using a personal interview with him, a dossier from his personal archive, consultations with other banks and firms and other available information.

Capacity - financial capabilities, i.e. ability to repay the loan (determined through a careful analysis of its income and expenses and the prospects for changes in them in the future).

Capital - capital, property. The bank pays great attention to the share capital of the company, its structure, the relationship with other items of assets and liabilities, as well as loan collateral

Collateral (collateral), its sufficiency, quality and degree of realizability of the collateral in case of non-repayment of the loan.

Conditions - general economic conditions. General conditions that determine the business climate in the country and influence the position of both the bank and the borrower: the state of the economic environment, the presence of competition from other producers of similar goods, taxes, prices for raw materials, etc.

One of the goals of bank loan officers is to express in numbers (quantify) the specified criteria in relation to each specific case. Based on this, an informed decision will be made regarding the borrower’s creditworthiness, the advisability of issuing a loan to him, the price and non-price conditions of this loan, etc.

In the risk-return dilemma, borrowers who are in a weaker financial position (and therefore more exposed to risk) must pay more for the loan than more secure borrowers.

Insurance of financial investments. Financial investments represent the purchase of assets in the form of securities, both equity and debt, which will bring the investor not only profit, but also guarantee him a certain level of investment security. In a developed financial market, a stable gradation of riskiness and profitability of securities is established. It is believed, for example, that the most risky are speculative ordinary shares, which, however, bring the owner an income of 15-20%. The category of high-risk securities also includes ordinary shares of rapidly growing companies (income 10-12%).

Securities with moderate risk include ordinary shares that are highly quoted on the stock exchange (their income is 8-10%), securities of mutual investment funds with a balanced portfolio - an income of 7-8%, convertible shares with a fixed dividend - 6-10% , convertible bonds - bring income to their owner 5-10%.

Low-risk securities include municipal and government bonds that bring their owner an income of less than 4-6%.

The purpose of insurance is to protect investments from possible losses arising from unfavorable, unpredictable changes in market conditions and deterioration of other conditions for investment activities. It is divided according to the nature of the insurance risks into insurance against political and commercial risks. Political risk insurance contracts are concluded when making investments in foreign countries. It is characterized by the impossibility of mathematically assessing the probability of occurrence of insured events and extremely high amounts of damage. Therefore, private insurers, with rare exceptions, do not provide this insurance.

Such insurance is carried out mainly by state insurance structures of the investor country and international financial organizations. Currently, three government organizations (in the USA, Germany and Japan) account for 80% of the total volume of transactions carried out under national government investment risk insurance programs.

One of the specialized government agencies that insures the property interests of investors against political risks is established in 1969. US government Overseas Private Investment Corporation (OPIC). OPIC's activities cover American investments in 140 developed countries and emerging market economies.

A feature of the insurance system within the framework of OPIC is that a mandatory prerequisite for concluding an agreement with a specific investor is the conclusion of a bilateral intergovernmental agreement on the promotion of capital investments. Thus, only after the signing of such an agreement between the United States and Russia in 1992, OPIC received the opportunity to participate in insuring the non-commercial risks of US investors investing in Russia. Over the past three years, the corporation has supported 125 investment projects, valued at $3 billion, to implement 40 business projects.

Insurance of investment activities against commercial risks is carried out, as a rule, by private insurance companies. The purpose of such insurance is to protect investments from possible losses arising from unfavorable, unpredictable changes in market conditions and deterioration of other conditions for business activities.

The insured amount as the limit of liability under the contract can be determined in several ways:

In the amount of investments made in the acquisition of shares, other securities, etc.;

In the amount of investment and standard profit, which can be set at the level provided by a risk-free investment of capital.

In this case, the amount of insurance compensation is calculated as the difference between the insured amount and the actual financial result of the insured investment, i.e. the policyholder is compensated for losses if, after a certain period, the insured investments do not provide the expected payback due to an insured event.

One of the types of insurance of financial investments against commercial risks is insurance of financial liabilities. Its terms provide for the insurer to provide guarantees that certain financial obligations agreed upon in the process of concluding a business transaction, the parties to which are the borrower and the investor, will be fulfilled. Financial liability insurance is considered a special type of guarantee that provides insurance protection against risks associated with financial transactions.

Guaranty is an area of ​​business activity in which banks, special agencies and insurers can operate. Moreover, in each country there are specifics in the legal regulation of such operations. For example, in France and Japan, the issuance of guarantees is a monopoly of banks, and in the USA their issuance by banks is limited.

The Civil Code of the Russian Federation distinguishes between surety agreements and bank guarantees. Under a guarantee agreement, the guarantor undertakes to be responsible to the creditor of another person for the fulfillment by the latter of his obligations in whole or in part (Articles 971 - 979 of the Civil Code of the Russian Federation).

In accordance with the bank guarantee agreement, the guarantor gives, at the request of another person (principal), a written obligation to pay the principal's creditor (beneficiary) in accordance with the terms of the obligation given by the guarantor, a sum of money upon submission by the beneficiary of a written demand for its payment (Article 368 of the Civil Code of the Russian Federation). At the same time, banks, other credit institutions and insurance organizations have the right to issue bank guarantees.

The emergence and rapid development of types of insurance of financial obligations in the insurance markets of developed countries is caused by the fact that private and small corporate investors often do not have sufficient knowledge to conduct their own in-depth analysis of the risk of investments and at the same time are interested in investments with the lowest risk.

Among the types of insurance of financial obligations, one can distinguish insurance: bonds and other securities; loans for short-term trade transactions and long-term investments; mortgage bonds; payments for rent, leasing, etc.; payment for the cost of supplied equipment; car loans.

According to the duration of contracts, all types of insurance are usually divided into short-term (with a term of up to 8 years), medium-term (concluded for a period of 8 to 30 years) and long-term.

One of the features of this insurance is that when carrying out it, the insurer sets the task of ensuring practically break-even operations (i.e., not allowing the payment of insurance compensation), since the applied tariff rates stipulate that the probability of occurrence of insured events and the amount of losses from them should be minimal. In this regard, insurers carefully select policyholders and objects accepted for insurance, guided primarily by the principle of prudence.

3.4 Hedging financial risk using derivatives

Hedging - used in banking, exchange and commercial practice to refer to various methods of insuring currency risks. Thus, in the book by Dolan E. J. et al. “Money, Banking and Monetary Policy” this term is given the following definition: “Hedging is a system of concluding futures contracts and transactions that takes into account probable future changes in exchange rates and pursues the goal avoid the adverse consequences of these changes." In the domestic literature, the term “hedging” began to be used in a broader sense as risk insurance against unfavorable changes in prices for any inventory items under contracts and commercial transactions involving the supply (sale) of goods in future periods.

A contract that serves to insure against the risks of changes in exchange rates (prices) is called a “hedge”. The business entity engaged in hedging is called a “hedger”. There are two hedging operations: upward hedging; downside hedging.

Upside hedging, or purchase hedging, is an exchange transaction for the purchase of futures contracts (options). An upward hedge is used in cases where it is necessary to insure against a possible increase in prices (rates) in the future. It allows you to set the purchase price much earlier than the actual product has been purchased. Let’s assume that the price of a product (currency or securities exchange rate) increases after three months, and the product will be needed exactly in three months. To compensate for losses from the expected price increase, it is necessary to buy now at today’s price a futures contract related to this product and sell it in three months at the time when the product will be purchased. Since the price of a commodity and the futures contract associated with it changes proportionally in one direction, a previously purchased contract can be sold at a higher price by almost the same amount as the price of the commodity will increase by this time. Thus, a hedger who hedges upward insures himself against possible price increases in the future.

Downward hedging, or sell hedging, is an exchange transaction involving the sale of a futures contract. A hedger who hedges down expects to sell a commodity in the future, and therefore, by selling a futures contract or option on the exchange, he insures himself against a possible price decline in the future. Let's assume that the price of a product (currency rate, securities) decreases after three months, and the product will need to be sold in three months. To compensate for the expected losses from a decrease in price, the hedger sells a futures contract today at a high price, and when selling his product three months later, when the price for it has fallen, he buys the same futures contract at a price that has decreased (almost by the same amount). Thus, a downside hedge is used in cases where the product needs to be sold at a later date.

A hedger seeks to reduce the risk caused by price uncertainty in the market by buying or selling futures contracts. This makes it possible to fix the price and make income or expenses more predictable. However, the risk associated with hedging does not disappear. It is taken over by speculators, i.e. entrepreneurs taking a certain, pre-calculated risk.

Speculators play a big role in the futures market. By taking risks in the hope of making a profit by playing on price differences, they act as price stabilizers. When purchasing futures contracts on the stock exchange, the speculator pays a guarantee fee, which determines the amount of risk of the speculator. If the price of a product (currency rate, securities) has decreased, then the speculator who previously purchased the contract loses an amount equal to the guarantee fee. If the price of the product has increased, then the speculator returns an amount equal to the guarantee fee and receives additional income from the difference in the prices of the product and the purchased contract.

When a firm wishes to insure against a particular risk, there is no direct way to do so. The task of the financial manager in such cases is to develop new financial instruments and methods, using existing ones to find this way. This process is called “financial engineering”.

Corporate financial management often involves the buying and selling of derivatives. Derivative securities are a financial asset that is a derivative of another financial asset.

There are two types of derivative securities:

Futures contracts (commodity, currency, %, index, etc.) - futures;

Freely tradable or exchange-traded options.

Futures contracts are a standard exchange agreement for the purchase and sale of an exchange-traded asset at a certain point in the future at a price set by the parties to the transaction at the time of its conclusion.

Futures contracts are a class of future purchase agreements. The distinctive features of a futures contract are:

Exchange character, i.e. an exchange agreement developed on a given exchange and circulated only on it;

Standardization in all parameters except price;

Full guarantee on the part of the exchange that all obligations stipulated by the futures contract will be fulfilled;

The presence of a special mechanism for early termination of obligations under the contract of either party.

A freely tradable or exchange option is a standard exchange contract for the right to buy or sell an exchange asset or futures contract at the exercise price before a specified date with the payment for this right of a certain amount of money, called a premium. If options are concluded on an exchange, then, as for futures contracts, the conditions for their conclusion are standardized in all respects, except for the option price. Typically, two types of options are used in exchange practice:

buy option (call option) - giving the right, but not obligating, to buy a futures contract, commodity or other value at a given price, allowing, after paying a small premium, to receive unlimited profit from rising prices;

put option - giving the right, but not obligating, to sell a futures contract or other value at a given price, allowing, after paying a small premium, to receive unlimited profit from a decrease in prices.

Financial engineering often involves creating new derivatives as well as combining existing derivatives to perform specific hedging objectives. In a world where prices are stable and change very slowly, financial engineering would not be so necessary. However, now this industry is rapidly developing.

Thus, hedging is a form of insurance against possible losses by entering into a balancing transaction. As in cases of insurance, hedging requires the diversion of additional resources. Perfect hedging involves completely eliminating the possibility of making any profit or loss on a given position by opening an opposite or compensating position. This “double guarantee”, both against profits and losses, distinguishes perfect hedging from classical insurance.

4.5 Risk management service in Sberbank of Russia

Risk management is a management system for an organization, an enterprise, which aims to reduce risk and prevent unacceptable risk; represents an organic part of financial management.

Risk is the danger of unexpected losses of expected profit, income or property, cash, and other resources due to a random change in the conditions of economic activity or unfavorable circumstances.

There are quite a few types of risks. At the same time, banking risks differ in certain specifics and classification principles.

In order to organize work on risk management, Sberbank has formed a professional Risk Management Service, independent of front-office departments motivated by business performance. The work of the Risk Management Service is structured in such a way as to ensure internal balance of the Bank’s business in all areas of work.

The purpose of risk management activities is to improve financial performance, increase profitability, maintain liquidity and capital adequacy. In its risk management activities, the Bank is guided by the Risk Management Policy of Sberbank of Russia OJSC, approved by the Board of Sberbank of Russia.