SIGNIFICANCE OF APPLICATION OF STATISTICAL MODELS IN THE DEVELOPMENT OF THE RATING SYSTEM OF FINANCIAL INSTITUTIONS

Slobodan Šegrt; Aca Ranđelović; Dejan Đurić

doi:10.59864/Oditor62402SS

Autori

Slobodan Šegrt Fakultet za poslovne studije i pravo, Univerzitet “Union - Nikola Tesla", Beograd, Republika Srbija Author
Aca Ranđelović Fakultet za poslovne studije i pravo, Univerzitet “Union - Nikola Tesla", Beograd, Republika Srbija Author
Dejan Đurić Ministarstvo odbrane, Beograd, Republika Srbija Author

DOI:

https://doi.org/10.59864/Oditor62402SS

Ključne reči:

verovatnoća neplaćanja, dužnik, modeli, interni rejting, statistička analiza, adekvatnost bankarskog kapitala

Apstrakt

Najbitniji sistem za upravljanje rizicima i merenje finansijski performansi jeste rejting sistem. Rejting sistem se smatra integralnim delom bankarskih tekućih poslova i njihove kulture upravljanja rizicima. Sve banke se trude da istaknu tu njegovu pripadnost tekućim poslovima, kako bi pokazali supervizorima neophodnost njegovog korišćenja u svrhu determinisanja zahteva minimalnog regulatornog kapitala.

Komitet u Bazelu za pojedine klase izloženosti rizicima, preporučuje korišćenje osnovne metodologije kod koje bankarske institucije kao ulaznu veličinu koriste sopstvenu procenu rizika neplaćanja dužnika, dok se procene dodatnih faktora rizika primenjuju putem standardizovonih pravila supervizora.

Ova osnovna metodologija je dostupna za bankarske institucije koje imaju mogućnost da svoje supervizore uvere da su one sposobne da odgovore na određene minimalne zahteve bankarskog sistema, proces upravljanja rizika i sposobnost procene njegovih bitnih komponenti.

Takođe pored osnovne metodologije definisane su i napredne metodologije koje pružaju mogućnost unutrašnje procene komponenti rizika. Široka primena navedenih procena je važan deo dinamičkog i risk-senzitivnog IRB pristupa (Internal Rating Based). Tako mogu da se identifikuju i razlikuju one bankarske institucije koje imaju sposobnost da sprovedu određenu validnu i kvantifikovanu procenu rizika.

Neki određeni modeli, postupci i procesi procene verovatnoće neplaćanja u određenim situacijama, putem dobijenih rezultata, omogućuju menadžmentu bankarskih institucija detaljno analiziranje realne slike mogućih dužnika što u krajnjem pruža i moguću bolju analizu njihovog difolta.

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