Naslov (srp)

BANKARSKA KNJIGA vs. CENOVNI RIZIK

Autor

Jović, Željko

Publisher

Opis (srp)

Apstrakt: Zavisno od namene, ulaganja banke u hartije od vrednosti raspoređuju se u bankarsku knjigu ili knjigu trgovanja. Smanjenje cene hartije od vrednosti raspoređene u knjigu trgovanja, usled opšteg porasta kamatnih stopa, predstavlja gubitak po osnovu cenovnog rizika koji se odmah efektuira na bilans uspeha. Hartije od vrednosti raspoređene u bankarsku knjigu mogu se vrednovati po fer vrednosti kroz ostali rezultat i po amortizovanoj vrednosti, ukoliko se drže do dospeća. U kontekstu vrednovanja, hartije od vrednosti koje se drže do dospeća, neće tangirati opšti porast kamatnih stopa. Ukoliko je prisutan going concern koncept, neće ni doći do materijalizacije efekta porasta kamatnih stopa na cenu hartije od vrednosti. Međutim, u slučaju vanrednih okolnosti, kada banka postaje prinuđena da prodaje hartije od vrednosti koje je planirala držati do dospeća, dolazi do naglog prepoznavanja gubitaka po osnovu promene cene. Upravo primer za to imamo u poslednjem periodu intenzivnog rasta kamatnih stopa kao reakcije na visoku inflaciju, u slučaju Silikon Valley Bank. Ovaj primer pokazao je da kreatori regulatornih standarda i politike banaka u delu upravljanja rizicima nisu imali forward-looking pristup kapitalnim zahtevima za pozicije iz bankarske knjige u slučaju promene cene finansijskih instrumenata.

Opis (eng)

Abstract: Depending on the purpose, the bank’s investments in securities are allocated to the banking book or the trading book. A decrease in the price of a security placed in the trading book, due to a general increase in interest rates, represents a loss based on price risk that is immediately reflected on the income statement. Securities placed in the banking book can be valued at fair value through other comprehensive income and at amortized value, if held to maturity. In the context of valuation, held-to-maturity securities will not trigger a general rise in interest rates. If the going concern concept is present, the effect of rising interest rates on the price of securities will not materialize. However, in case of extraordinary circumstances, when the bank is forced to sell securities that it planned to hold until maturity, there is a sudden recognition of losses based on price changes. We have an example of this in the recent period of intensive growth of interest rates as a reaction to high inflation, in the case of Silicon Valley Bank. This example showed that the creators of regulatory standards and banks’ policies in the risk management part did not have a forward-looking approach to capital requirements for positions from the banking book in the event of a change in the price of financial instruments.

Jezik

srpski

Datum

2025

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY-NC-ND 4.0 - Creative Commons Autorstvo - Nekomercijalno - Bez prerada 4.0 International License.

http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode

Predmet

KEYWORDS: BANKING BOOK, TRADING BOOK, PRICE RISK, INTEREST RATE RISK

KLJUČNE REČI: BANKARSKA KNJIGA, KNJIGA TRGOVANJA, CENOVNI RIZIK, KAMATNI RIZIK

Deo kolekcije (1)

o:28218

Ekonomski fakultet