Lithuanian commercial banks are in transitional period now adapting their risk management systems to Basel II requirements.
Market risk is considered one of the key risks in bank risk management structure, so proper management of market risk is essential for a modern bank. Currency exchange risk usually is the main component of market risk.
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Currency exchange risk management in Lithuanian commercial banks was not good enough; also the Central Bank's regulatory limits were liberal. But after the adoption of Basel II requirements, the entire risk management system is transforming and currency exchange risk management is affected.
The objective of this paper is to demonstrate the transformations of currency exchange in Lithuanian commercial banks and propose an effective model for commercial banking. These transformations are performed in the regulatory system imposed by the Central Bank bollinger juostos padvigubėja Lithuania and through transformations of the bank's internal risk management system moving to internal usually VaR based models.
VaR models are considered as modern methods for risk management. These models proposed by Central bank or other authorities market pairs internal and statutory risk management in commercial banks.
Valiutų keitimo rizikos valdymo transformacijos Lietuvos komerciniuose bankuose Santrauka. Straipsnyje pateikiamas naujas vertės rizikos VR modelis valdant valiutų keitimo riziką.
Tai buvo išbandyta realiomis rinkos sąlygomis Lietuvos komerciniuose bankuose. Daroma išvada, kad pasiūlytas metodas yra veiksmingesnis negu buvę valiutų keitimo rizikos valdymo metodai, kuriuos Lietuvos bankas pritaikė pagal Bazelio Market pairs nuostatas.
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Reikšminiai žodžiai: valiutos keitimo rizika, vertės rizika VRBazelio komitetas, komercinė bankininkystė, Lietuva. Transformations in risk market pairs of currency exchange in Lithuanian commercial banks.
Technological and Economic Development of Economy, 13 3 ,