Rus News Journal

Brave fields

recently world financial community has got acquainted with materials of Basel committee on bank supervision. It already the second wave of the international standards which urged to save bank system from crises. In Russia at this time banks one after another burst. And it was still a small payment for catastrophic backlog in area risk - management.

Basel defends
Risk - management (RM) has appeared more recently - in 1970 - e years. In avant-guard of this direction always there were bankers. All modern techniques are developed in the bank environment. But so far as concerns progress risk - management, first of all remember so-called Basel committee on bank supervision which develops standards and specifications for whole world banks.

There was this organisation in 1976 shortly after the world financial system has entered into the long period of instability. The first series of the documents developed in Switzerland, has appeared only in 1988. In them requirements to a technique of definition of sufficiency of the banking capital contained. Now it is the operating standard for the majority of the developed countries. Right after a document exit the tears left the agreement " began to be found out; Basel I in protection of banks against crises. It was found out, for example, that not enough attention has been given operational risks. As a result the system sustained losses - the oldest English bank Barings has gone bankrupt, some more known credit institutions have sustained milliard losses. In 1999 the Basel committee declared working out of new, wider standard which has been recently published. In the developed countries it becomes the guide to action from the end of 2006.

the Truncated standards
Russia will lag behind with introduction of standards a minimum for two years, and these standards, according to representatives of the Russian Central Bank, will be used in the truncated kind. Phillip Galperin, the director for risk - to Alpha bank management, makes comments: It is a pity, after all the requirement of supervising bodies - stimulus typical for the whole world for bankers to develop systems RM . With bank crisis - management a situation in our country catastrophic. The majority of bankers have learnt about its existence only after crisis of 1998. For 1999-2000 the peak of conversations on its severe need has had. As a result all bank employees have learnt words Basel and Basel II . But to speak - does not mean to do, - Phillip Galperin reminds. - For today introduction of system risk - management was limited in many banks to drawing up of some documents on request of the Central Bank .

In opinion Vladimir Cherkashenko, the vice-president specialising on risk - company consultation Franklin & the Grant the condition risk - management in the Russian banks characterises even not summer crisis on Mezhbank when absence of objective estimations of risk and levers for its correction - than just normally working system risk - management also is occupied - has led to panic occurrence. Level RM in the Russian banks can be estimated on the refusal which has happened by spring of holding Rusagrokapital to answer on the bank debts. We will remind, then IBG NIKojl the Trust the Third Rome MDM - bank and others (including and the Savings Bank) have given out to holding the sum twice exceeding it estimated cost. It means that credit risks at us are estimated till now on the basis of newspaper publications.

the Problem what to correspond to Basel II all the same it is necessary to the Russian banks, if they, of course, want and to be engaged in this business further. Truly and that system risk - management suddenly you will not construct, on it is necessary not year and not two. It is possible to rely, of course, at random - introduction of many international standards in Russia was removed time and again. But such calculation - risky.

Round cemeteries
With what it is necessary to begin construction of system risk - management? Formally the first step is the choice of a profile of comprehensible risk. Andrey Galaev, the head of department on control over risks of the Moscow international bank: It is possible to buy papers MMM with mad profitableness and the same risks, and it is possible - state papers of the USA. Here this risk - a profile - a risk level which shareholders of bank are ready to accept - and is defined right at the beginning, more often it occurs at session of board of directors . The basic problem at system RM creation in bank, according to Phillip Galperin, is presence of necessary support from founders of bank. If shareholders perceive risk - management as fashionable a counter either necessity to collect five or six signatures under a paper for conformity to Central Bank requirements, sense will not be. It is important to remember that management of risks at all does not mean their minimisation. it just to reach simply - it is necessary to close simply doors before the client. It is more difficult to meet these risks face to face - Galperin considers.

allocation of types of risk which the concrete bank faces, and then - their quantitative estimation will be the Second step to construction complex RM, according to Andrey Galaeva. Most easier to address to the list from documents of Basel committee. In them three basic types of risk - credit, market and operational are allocated.

RAROC (Risk Adjusted Return On Capital; the profitability of the capital corrected on risk). The principle underlying this method of an estimation, consists that projects with higher risk should bring the big profitableness, rather than projects with low risk.

the Credit risk as it is possible to assume, is the core for the majority of banks. Models of an estimation of credit risks both physical, and legal bodies are called skoringovymi. For many bankers these models are represented till now a transcendental object . The scepticism reason in the relation skoringovyh models that in a classical variant their construction strongly depends on presence of the extensive historical information on defaults, refusals to repay a debt (on slenge experts - about credit cemeteries). Just such information in Russia does not suffice. To collect is minimum suitable file of the information, it is necessary, according to Andrey Galaeva, two - three years to collect the necessary data.

Absence of the information led to full refusal of use skoringa. Phillip Galperin: After crisis very often that named risk - management, was represented to many bankers as the second pair of eyes. The risk - management appeared in image hardly the advanced questionnaire of borrower Vneshtorgbanka of ten years` prescription . According to Vladimir Cherkashenko, the situation has not changed and today: On pages of one of popular business papers a top - managers of the Ural banks skoringa at delivery of credits compare efficiency to efficiency for the same purposes of a petting. Comments izlishni. And in one large capital bank, under my information, credit risks were estimated by means of Altman`s model.

But this model in Russia does not work, it and in the USA where it have developed, is applicable only with caution, for key economic branches .

the Leading analyst of company EGAR Technology (known software developer for RM) Dmitry Tsapaev says that already now exist - and are checked up in the Russian conditions - modern methods of an estimation of credit status of the borrower without use of credit cemeteries.

Elite chetyrehetazhka
Sense of system which force to introduce in practice and Basel I and Basel II Consists that each of the risks found out at the first investigation phase is estimated in a money`s worth is the sum of potential losses. Then this sum is compared with available bank the capital then the conclusion about its reliability becomes. If losses exceed the capital, means, the bank has accepted too many risks and the probability of shocks is too great. It only the elementary statement of operating system. Its realisation in practice is difficult and demands considerable expenses.

But the estimation of base risks, risks of separate operations, by Vladimir Cherkashenko`s definition, makes only the ground floor zdanijasovremennogo RM. World leaders complete the third floor. In Russia the second floor have reached schitanye units. On it the bank already operates risk of a portfolio of the same actives. Phillip Galperin: When I in 1999 have arrived under the invitation of Alpha bank, concepts of a risk level of a portfolio it was not simple. But, for example, portfolios of credits have, from the point of view of risks, the features which are not present at level of separate transactions - for example, level of concentration or sensitivity to external variables like the prices for oil or exchange rates. Now we in Alpha bank have constructed uniform management of market, operational and credit risks from level of transaction before full statistical control at portfolio level .

Complexity of this stage consists in management coordination in uniform system. At perfectly well built up system of market risks it is possible to lose the big money from - for risk credit. It means that control of risks and effort on their decrease should be balanced.

On the third, highest floor the risk - management is, for example, a practical embodiment of concept RAROC.

do not save on the base
to Construction of effective system wrong construction of structure can prevent. According to experts, this danger much above, say, dangers of application of wrong models of an estimation of risk. In Russia it is enough good mathematicians. According to Andrey Galaeva, system RM construction in bank appears work empty for other reason is much more often. The employee of the division, bringing to bank money, - the initiator of acceptance of risk, for example, the department which is making an application on delivery of the credit, - cannot be involved in the decision, to take this risk to bank or not. There is an obvious conflict of interests - both to develop business, and to constrain it, supervising level of risks, it is almost impossible. But in Russia this situation often meets. It is possible to apply as much as advanced mathematical model, but not to receive expected results because of defects of a control system. Moreover, according to Andrey Galaeva, in the western banks go further - divide tracing of a risk level and management of it.

Phillip Galperin sees one more patrimonial lack of typical Russian control systems. At the Russian enterprises there is a predisposition instead of correction of defects of system to search for the responsible. As Vladimir Putin has told, it is our national entertainment - to search for the guilty. Decision-making level is above the responsibility centre. As consequence we receive absence of the initiative. Also it is one of the reasons of a severe shortage of the qualified and skilled heads for development of this direction. According to Phillip Galperin, it is necessary to begin with search of leading experts: the Problem that in Russia there is no memory. Speech does not go about presence of long lines of figures. In departments risk - management in the Russian banks is not present fifty years` men who remember that occurred twenty years ago to risks in any markets, actives. For the Russian banks all for the first time. Therefore they make set of errors .

So at the Russian banks in the field of RM still all ahead.