MARKET RISK MANAGEMENT OF RETAIL BANKS
The paper illustrates issues of risk management of the bank in terms of retail financial market volatility, liquidity risk management techniques and interest rate risk. The author suggests a model that allows improving the quality of risk reporting. The statistical significance of the model is tested by tools of econometrics.
Keywords: asset and liability management, liquidity gap, interest rate gap, optional risk, hedging,
fixed interest rate, floating interest rate, model for forecasting prepayments.
Alexander M. Mikhailov, Doctor of Economics, Professor; Sergey M. Patrin, post-graduate - Samara State University of Economics.